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.
Financial Engineering and Risk Management Part II
제공자:
Financial Engineering and Risk Management Part II
컬럼비아대학교
About this Course
최근 조회 36,736회
학습자 경력 결과
30%
이 강좌를 수료한 후 새로운 경력 시작하기
47%
이 강좌를 통해 확실한 경력상 이점 얻기
22%
급여 인상 또는 승진하기
귀하가 습득할 기술
Real Options ValuationDerivative (Finance)Risk ManagementReal Options
학습자 경력 결과
30%
이 강좌를 수료한 후 새로운 경력 시작하기
47%
이 강좌를 통해 확실한 경력상 이점 얻기
22%
급여 인상 또는 승진하기
100% 온라인
지금 바로 시작해 나만의 일정에 따라 학습을 진행하세요.
유동적 마감일
일정에 따라 마감일을 재설정합니다.
완료하는 데 약 25시간 필요
권장: 13 hours videos and quizzes
영어
자막: 영어
강의 계획 - 이 강좌에서 배울 내용
완료하는 데 2시간 필요
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 lines
완료하는 데 2시간 필요
6개 동영상 (총 97분), 2 readings, 1 quiz
6개의 동영상
Introduction to Mean Variance in Excel9m
Efficient Frontier19m
Mean Variance with a Risk-free Asset14m
Risk-free Frontier in Excel13m
Capital Asset Pricing Model20m
2개의 읽기 자료
Lesson Supplements10m
Quiz Instructions10m
1개 연습문제
Mean-Variance Analysis and CAPM Problem Set14m
완료하는 데 2시간 필요
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.
완료하는 데 2시간 필요
6개 동영상 (총 103분), 2 readings, 1 quiz
6개의 동영상
Negative Exposures and Leveraged ETFs14m
Beyond Variance13m
Statistical Biases in Performance Evaluation17m
How Should Average Returns be Computed?14m
Survivorship Bias and Data Snooping23m
2개의 읽기 자료
Lesson Supplements10m
Quiz Instructions10m
1개 연습문제
Practical Issues in Implementing Mean Variance Problem Set14m
완료하는 데 2시간 필요
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.
완료하는 데 2시간 필요
7개 동영상 (총 112분), 2 readings, 1 quiz
7개의 동영상
The Black-Scholes Model8m
The Greeks: Delta and Gamma19m
The Greeks: Vega and Theta18m
Risk-Management of Derivatives Portfolios16m
Delta-Hedging14m
The Volatility Surface23m
2개의 읽기 자료
Lesson Supplements10m
Quiz Instructions10m
1개 연습문제
Equity Derivatives in Practice: Part I16m
완료하는 데 2시간 필요
Equity Derivatives in Practice: Part II
More about Black-Scholes, the Greeks and delta-hedging; the volatility surface; pricing derivatives using the volatility surface; model calibration.
완료하는 데 2시간 필요
5개 동영상 (총 82분), 1 reading
5개의 동영상
Why is There a Skew?14m
What the Volatility Surface Tells Us17m
Pricing Derivatives Using the Volatility Surface21m
Beyond the Volatility Surface and Black-Scholes19m
1개의 읽기 자료
Lesson Supplements10m
검토
4.7
FINANCIAL ENGINEERING AND RISK MANAGEMENT PART II의 최상위 리뷰
YS 제공Jun 27, 2016
Very similar style with Part I. The instructors are clear in explaining the models. However, it would be more useful if the instructors can give several real-world examples on the financial market.
SY 제공Jun 7, 2019
I really enjoyed this course and learned a lot. The quizzes were challenging but really forced me to think through the problems. The forums were very helpful when I got stuck. Thanks Professors!
MU 제공Aug 22, 2018
One of the best courses available on Coursera! If you're interested in Quantitative Finance or trying to get a good idea of what financial engineering entails, please take this course.
QP 제공Dec 16, 2016
This course is amazing\n\nHowever, I do not give full score for it because it lack of some quizzes. I do expect we study more since there are many thing left behind.
DL 제공Nov 19, 2015
This course is challenging and the skills learnt are valuable. The materials are well-made and formulas well-defined. I hope they provide more practice quizzes.
QL 제공Mar 21, 2017
Very great introduction to the financial engineering topics. It mainly covers the basics of portfolio management and structured products. Really insightful!
RK 제공Dec 15, 2016
Very insightful course, working in the financial industry can often imagine the material learn't being applied in work environment which is rewarding.
CS 제공Apr 20, 2018
excellent course! questions were hard and had to really work to get the grades. I'll keep going back to the questions from time to time for a review.
컬럼비아대학교 정보
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