À propos de ce cours : 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.
Créé par : Columbia University
Enseigné par : Martin Haugh, Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Enseigné par : Garud Iyengar, Professor
Industrial Engineering and Operations Research Department
| Engagement | 13 hours videos and quizzes |
| Langue | English |
| Comment réussir | Réussissez tous les devoirs notés pour terminer le cours. |
| Notes des utilisateurs |
Programme de cours
SEMAINE 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 lines
6 vidéos, 2 lectures
- Reading: Lesson Supplements
- Vidéo: Introduction to Mean Variance in Excel
- Vidéo: Efficient Frontier
- Vidéo: Mean Variance with a Risk-free Asset
- Vidéo: Risk-free Frontier in Excel
- Vidéo: Capital Asset Pricing Model
- Reading: Quiz Instructions
Noté: Mean-Variance Analysis and CAPM Problem Set
SEMAINE 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.
6 vidéos, 2 lectures
- Reading: Lesson Supplements
- Vidéo: Negative Exposures and Leveraged ETFs
- Vidéo: Beyond Variance
- Vidéo: Statistical Biases in Performance Evaluation
- Vidéo: How Should Average Returns be Computed?
- Vidéo: Survivorship Bias and Data Snooping
- Reading: Quiz Instructions
Noté: Practical Issues in Implementing Mean Variance Problem Set
SEMAINE 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.
7 vidéos, 2 lectures
- Reading: Lesson Supplements
- Vidéo: The Black-Scholes Model
- Vidéo: The Greeks: Delta and Gamma
- Vidéo: The Greeks: Vega and Theta
- Vidéo: Risk-Management of Derivatives Portfolios
- Vidéo: Delta-Hedging
- Vidéo: The Volatility Surface
- Reading: Quiz Instructions
Noté: Equity Derivatives in Practice: Part I
SEMAINE 4
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.
5 vidéos, 1 lecture
- Reading: Lesson Supplements
- Vidéo: Why is There a Skew?
- Vidéo: What the Volatility Surface Tells Us
- Vidéo: Pricing Derivatives Using the Volatility Surface
- Vidéo: Beyond the Volatility Surface and Black-Scholes
SEMAINE 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.
9 vidéos, 2 lectures
- Reading: Lesson Supplements
- Vidéo: The Gaussian Copula Model
- Vidéo: A Simple Example: Part I
- Vidéo: A Simple Example: Part II
- Vidéo: The Mechanics of a “Synthetic” CDO Tranche
- Vidéo: Computing the Fair Value of a CDO Tranche
- Vidéo: Cash and Synthetic CDOs
- Vidéo: Pricing and Risk Management of CDO Portfolios
- Vidéo: CDO-Squared's and Beyond
- Reading: Quiz Instructions
Noté: Credit Derivatives and Structured Products
SEMAINE 6
Other Applications of Financial Engineering
Real options; energy and commodities modeling; algorithmic trading.
8 vidéos, 2 lectures
- Reading: Lesson Supplements
- Vidéo: Optimal Execution
- Vidéo: Portfolio Execution
- Vidéo: Optimal Execution in Excel 1
- Vidéo: Optimal Execution in Excel 2
- Vidéo: Real Options
- Vidéo: Valuation of Natural Gas and Electricity Related Options
- Vidéo: Real Options in Excel
- Reading: Quiz Instructions
Noté: Other Applications of Financial Engineering
SEMAINE 7
Background Material
11 vidéos, 1 lecture
- Reading: Lesson Supplements
- Vidéo: Review of Conditional Expectations and Variances
- Vidéo: Review of Multivariate Distributions
- Vidéo: The Multivariate Normal Distribution
- Vidéo: Introduction to Martingales
- Vidéo: Introduction to Brownian Motion
- Vidéo: Geometric Brownian Motion
- Vidéo: Review of Vectors
- Vidéo: Review of Matrices
- Vidéo: Review of Linear Optimization
- Vidéo: Review of Nonlinear Optimization
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Créateurs
Columbia University
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Notation et examens
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.
nice course but more pratice exercises won't hurt
Excelent course. The 5th week about Gaussian Copula was very dificult for me. I suggest to improve the explanation of this topic, and to give bibliography. I liked very much the Real Option themes. I would like to have the implementation of natural gas and electricity examples in excel. Thanks to professors Martin Haugh and Garud Iyengar and to the mentors in the forums.
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Tough but good!