Professor Ali Hirsa joined Columbia IEOR in 2017. He had been associated with Columbia University as an Adjunct Professor since 2000. He is also Managing Partner at Sauma Capital, LLC a New York Hedge Fund.
This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and [...]
This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will introduce different types of options in the market, followed by an in-depth discussion into numerical techniques helpful in pricing them, e.g. Fourier Transform (FT) and Fast Fourier Transform (FFT) [...]