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 ResearchEnseigné 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
FAQ
Comment cela fonctionne
Coursework
Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.
Help from Your Peers
Connect with thousands of other learners and debate ideas, discuss course material, and get help mastering concepts.
Certificates
Earn official recognition for your work, and share your success with friends, colleagues, and employers.
Créateurs
Columbia University
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.
Notation et examens
Tough but good!
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
Coursera propose un accès universel à la meilleure formation au monde,
en partenariat avec des universités et des organisations du plus haut niveau, pour proposer des cours en ligne.
© 2018 Coursera Inc. Tous droits réservés.
MU
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.