Financial Engineering and Risk Management Part II
€0, aangeboden door Coursera
About this course: Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part II will be on the use of simple stochastic models to (i) solve portfolio optimization problems (ii) price derivative securities in various asset classes including equities and credit and (iii) consider some advanced applications of financial engineering including algorithmic trading and the pricing of real options. We will also consider the role that financial engineering played during the financial crisis. We hope that students who complete the course and the prerequisite course (FE & RM Part I) will have a good understanding of the "rocket science" behind financial engineering. But perhaps more importantly, we hope they will also understand the limitations of this theory in practice and why financial models should always be treated with a healthy degree of skepticism.
Created by:Â Â Â Columbia University
Taught by:Â Â Â Â Martin Haugh, Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Taught by:Â Â Â Â Garud Iyengar, Professor
Industrial Engineering and Operations Research Department
Commitment
13 hours videos and quizzes
Language
English
How To Pass
Pass all graded assignments to complete the course.
User Ratings
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Coursework
Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.
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About Columbia University
For more than 250 years, Columbia has been a leader in higher education in the nation and around the world. At the core of our wide range of academic inquiry is the commitment to attract and engage the best minds in pursuit of greater human understanding, pioneering new discoveries and service to society.
Syllabus
WEEK 1
Mean-Variance Analysis and CAPM
Problem formulation and solution; the efficient frontier; including the risk-free asset; the Capital Asset Pricing Model (CAPM);implications of CAPM: α, β, security and capital market linesÂ
6 videos, 2 readings
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Graded: Mean-Variance Analysis and CAPM Problem Set
WEEK 2
Practical Issues in Implementing Mean Variance
Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls.Â
6 videos, 2 readings
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Graded: Practical Issues in Implementing Mean Variance Problem Set
WEEK 3
Equity Derivatives in Practice: Part I
Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls.Â
7 videos, 2 readings
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Graded: Equity Derivatives in Practice: Part I
WEEK 4
Equity Derivatives in Practice: Part II
about Black-Scholes, the Greeks and delta-hedging; the volatility surface; pricing derivatives using the volatility surface; model calibration.Â
5 videos, 1 reading
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WEEK 5
Credit Derivatives and Structured Products
Mechanics and pricing of CDOs; exotic structured credit securities including CDO-squared’s and CDO-cubed’s. Risk management of these products and their role in the financial crisis.Â
9 videos, 2 readings
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Graded: Credit Derivatives and Structured Products
WEEK 6
Other Applications of Financial Engineering
Real options; energy and commodities modeling; algorithmic trading.Â
8 videos, 2 readings
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Graded: Other Applications of Financial Engineering
WEEK 7
Background Material
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11 videos, 1 reading
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