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.
Globe

Cours en ligne à 100 %

Commencez dès maintenant et apprenez aux horaires qui vous conviennent.
Clock

Approx. 25 heures pour terminer

Recommandé : 13 hours videos and quizzes
Comment Dots

English

Sous-titres : English

Compétences que vous acquerrez

Risk ManagementDerivative (Finance)PricingFinance
Globe

Cours en ligne à 100 %

Commencez dès maintenant et apprenez aux horaires qui vous conviennent.
Clock

Approx. 25 heures pour terminer

Recommandé : 13 hours videos and quizzes
Comment Dots

English

Sous-titres : English

Syllabus - What you will learn from this course

1

Section
Clock
2 hours to complete

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...
Reading
6 videos (Total 97 min), 2 readings, 1 quiz
Video6 videos
Introduction to Mean Variance in Excel9m
Efficient Frontier19m
Mean Variance with a Risk-free Asset14m
Risk-free Frontier in Excel13m
Capital Asset Pricing Model20m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Mean-Variance Analysis and CAPM Problem Set14m

2

Section
Clock
2 hours to complete

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....
Reading
6 videos (Total 103 min), 2 readings, 1 quiz
Video6 videos
Negative Exposures and Leveraged ETFs14m
Beyond Variance13m
Statistical Biases in Performance Evaluation17m
How Should Average Returns be Computed?14m
Survivorship Bias and Data Snooping23m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Practical Issues in Implementing Mean Variance Problem Set14m

3

Section
Clock
2 hours to complete

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....
Reading
7 videos (Total 112 min), 2 readings, 1 quiz
Video7 videos
The Black-Scholes Model8m
The Greeks: Delta and Gamma19m
The Greeks: Vega and Theta18m
Risk-Management of Derivatives Portfolios16m
Delta-Hedging14m
The Volatility Surface23m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Equity Derivatives in Practice: Part I16m

4

Section
Clock
2 hours to complete

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....
Reading
5 videos (Total 82 min), 1 reading
Video5 videos
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
Reading1 readings
Lesson Supplements10m

5

Section
Clock
3 hours to complete

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....
Reading
9 videos (Total 122 min), 2 readings, 1 quiz
Video9 videos
The Gaussian Copula Model18m
A Simple Example: Part I13m
A Simple Example: Part II15m
The Mechanics of a “Synthetic” CDO Tranche10m
Computing the Fair Value of a CDO Tranche14m
Cash and Synthetic CDOs10m
Pricing and Risk Management of CDO Portfolios17m
CDO-Squared's and Beyond13m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Credit Derivatives and Structured Products12m

6

Section
Clock
2 hours to complete

Other Applications of Financial Engineering

Real options; energy and commodities modeling; algorithmic trading....
Reading
8 videos (Total 90 min), 2 readings, 1 quiz
Video8 videos
Optimal Execution10m
Portfolio Execution13m
Optimal Execution in Excel 17m
Optimal Execution in Excel 25m
Real Options12m
Valuation of Natural Gas and Electricity Related Options14m
Real Options in Excel11m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Other Applications of Financial Engineering8m

7

Section
Clock
3 hours to complete

Background Material

...
Reading
11 videos (Total 154 min), 1 reading
Video11 videos
Review of Conditional Expectations and Variances8m
Review of Multivariate Distributions11m
The Multivariate Normal Distribution6m
Introduction to Martingales14m
Introduction to Brownian Motion9m
Geometric Brownian Motion9m
Review of Vectors17m
Review of Matrices23m
Review of Linear Optimization19m
Review of Nonlinear Optimization 15m
Reading1 readings
Lesson Supplements10m
4.7
Direction Signs

25%

started a new career after completing these courses
Briefcase

83%

got a tangible career benefit from this course

Top Reviews

By ROOct 10th 2015

Im very pleased with this course and the teachers, many thanks to the Columbia university. However, It will be usefull explain the answer when you got it like the first modules in part 1.

By DLNov 20th 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.

Instructors

Avatar

Martin Haugh

Co-Director, Center for Financial Engineering
Avatar

Garud Iyengar

Professor

About Columbia University

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