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.
제공자:
귀하가 습득할 기술
- Risk Managers
- Traders
- Financial Analysts
- Economists
- Machine Learning Engineers
강의 계획 - 이 강좌에서 배울 내용
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
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.
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.
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.
38%
54%
22%
Financial Engineering and Risk Management Part II의 최상위 리뷰
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!
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.
강사
Martin Haugh
Co-Director, Center for Financial Engineering
Garud Iyengar
Professor컬럼비아대학교 정보
자주 묻는 질문
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