Financial Engineering is a multidisciplinary field drawing from finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part I will be on the use of simple stochastic models to price derivative securities in various asset classes including equities, fixed income, credit and mortgage-backed securities. We will also consider the role that some of these asset classes played during the financial crisis. A notable feature of this course will be an interview module with Emanuel Derman, the renowned ``quant'' and best-selling author of "My Life as a Quant".
À propos de ce cours
Résultats de carrière des étudiants
23%
27%
11%
Compétences que vous acquerrez
Résultats de carrière des étudiants
23%
27%
11%
Offert par

Université Columbia
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.
Programme du cours : ce que vous apprendrez dans ce cours
Course Overview
An introduction to the course.
Introduction to Basic Fixed Income Securities
Review of interest and basic fixed income securities; introduction to arbitrage pricing.
Introduction to Derivative Securities
The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
Option Pricing in the Multi-Period Binomial Model
Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes.
Avis
Meilleurs avis pour INGÉNIERIE FINANCIÈRE ET GESTION DES RISQUES PARTIE 1
I appreciate how this course not only discusses the concepts in technical detail, but actually delves into the mathematics of the subject matter, and teaches how to actually do the actual work inv
Very well presented, structured and selected material, easy to follow, relevant and interesting. Quizz problems are well thought through and have a reasonable degree of difficulty and length.
A very well designed course! I knew some topics prior to the course and it helped me to strengthen my knowledge on derivative market systematically, particularly on interest rate derivatives
Extremely hard for someone like me who is trying to do this as a complete novice, need time to understand, no feedback on quizzes so if you are stuck, you need to spend a lot of time on this
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