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.
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 |
- Reading: Lesson Supplements
- Vidéo: Overview of Mean Variance
- 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
- Reading: Lesson Supplements
- Vidéo: Implementation Difficulties with Mean Variance
- 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
- Reading: Lesson Supplements
- Vidéo: Review of the Binomial Model for Option Pricing
- 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
- Reading: Lesson Supplements
- Vidéo: The Volatility Surface in Action
- 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
- Reading: Lesson Supplements
- Vidéo: Structured Credit: CDOs and Beyond
- 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
- Reading: Lesson Supplements
- Vidéo: Liquidity, Trading Costs, and Portfolio Execution
- 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
- Reading: Lesson Supplements
- Vidéo: Review of Basic Probability
- 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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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.
The professors explained the concepts very clear in an intuitive way. The contents are real stuff and covers a wide range. Although some of them cannot go into depth, useful references are provided. I learned a lot. Thank you!
The course was interesting with challenging quizzes. I enjoyed it but struggled to complete the quizzes.
My only humble submission is that the course could have been made little more elaborate so that the understanding could have been better. More examples and exercise/quizzes would have given more practical value.
Thank you for both of your extraordinary efforts in bringing out this practical and valuable course.
nice course but more pratice exercises won't hurt