20. Option Price and Probability Duality

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
Instructor: Stephen Blyth

This guest lecture focuses on option price and probability duality.

License: Creative Commons BY-NC-SA

[WhiteNoiseChannel]

We are probably underestimating the great times we are living in. I am basically taking an MIT class for free while sitting on my couch.

[richardchua]

All these haters saying this guy doesnt really understand practical finance - he was CEO of Harvard’s endowment and paid nearly $16M in 2015. I think the guy is a legit mathematician and practitioner of finance

[SeikoVanPaath]

Some notable Timestamps:
0:04:47 Introduction
0:11:36 Option--Probability Duality
0:49:38 Fundamental Theorem of Asset Pricing (FTAP)

[gerardomoscatelli]

Each step of the explanation, each formula has a huge importance in the theory of asset pricing. Excellent content. Best finance course I ever watched in my entire life, and I thought I had good teachers at my university.

[yd_]

Somehow followed this despite no financial background. An enthusiastic lecturer makes a huge difference

[rafanovak]

Amazing lecture! And, for the record, he was third wrangler of his Cambridge class back in 1985.

[pharaohgarmar]

Such a clear exposition, with completely new angles for me on a familiar topic. Brilliant.

[jiancongwang]

God bless the only professor in this course that actually uses the black board and not purely bullshitting without formula or explanation and being annoying as fuck. Will check out his book.

[sihouma]

Best lecture I have seen on Options pricing. I enjoyed this very much

[RollenJokers]

I enjoyed the side story about wranglers.

[joshuapowell]

Thanks for sharing this information MIT. People don’t have no excuse now a days. If you have a desire to learn imagine where it can take you ….

[retrofuturst]

Got baked and now paranoid that there is a pop quiz on this 😱 thanks for the content!

[bmwman]

Very interesting lecture, although I only understood 20% of it.

[amitdey]

He himself is a third wrangler of his Cambridge class

[zkkrhfhska]

excellent introductory treatment of a topic which is usually mired in infernal stochastic calculus.

[bleacherz]

As important of a class as you’ll find in academic finance

[johnchessant]

Really interesting how the cancellation of the SSC contributed to the rise of quant finance. The discussion about wranglers was pretty cool, one he didn't mention was the 1973 Senior Wrangler: Lee Hsien Loong, current prime minister of Singapore. Of course the lecture was great too.

[whatsup]

Will buy his book to digest all points. They are still available on Ebay and Amazon in 2021.

[shumetnecho]

Best Pedagogical Skills And Talented Instructor

[gerardomoscatelli]

Excellent course, this is the essence of asset pricing