Introduction to Financial Engineering and Risk Management course belongs to the Financial Engineering and Risk Management Specialization and it provides a fundamental introduction to fixed income securities, derivatives and the respective pricing models. The first module gives an overview of the prerequisite concepts and rules in probability and optimization. This will prepare learners with the mathematical fundamentals for the course. The second module includes concepts around fixed income securities and their derivative instruments. We will introduce present value (PV) computation on fixed income securities in an arbitrage free setting, followed by a brief discussion on term structure of interest rates. In the third module, learners will engage with swaps and options, and price them using the 1-period Binomial Model. The final module focuses on option pricing in a multi-period setting, using the Binomial and the Black-Scholes Models. Subsequently, the multi-period Binomial Model will be illustrated using American Options, Futures, Forwards and assets with dividends.
Ce cours fait partie de la Spécialisation ingénierie financière et gestion des risques
Offert par
Spécialisation ingénierie financière et gestion des risquesUniversité ColumbiaÀ propos de ce cours
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
Compétences que vous acquerrez
- Derivatives
- Swaps and options
- Fixed Income
- Binomial Distribution
- black scholes model
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
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 de cours : ce que vous apprendrez dans ce cours
Course Overview
Welcome to Financial Engineering and Risk Management
Pre-Requisite Materials
Welcome to Week 2! This week, we will cover mathematical foundations that are necessary for the study of future modules. In a nutshell, we will introduce probabilities and optimization. The theory of probability is the mathematical language to characterize uncertainties, e.g. how to describe the chances that the price of a particular stock will go up tomorrow. To make things precise, we need probabilities. Optimization is a set of toolkits that allow us to search for optimal solutions. For example, given a budget constraint, how do we maximize the profit? We need mathematical optimization. Financial engineers apply probabilistic models to capture the regularities of financial products, and apply optimization techniques to optimize their strategies. These mathematical toolkits will serve as a cornerstone for your financial engineering career.
Introduction to Basic Fixed Income Securities
Welcome to Week 3! This week, we officially embark on the journey of financial engineering and risk management. We will start with the fundamentals of financial engineering, i.e. the principles of pricing. In financial markets, given a financial product, how do we calculate its prices? These pricing principles will serve as the cornerstone of our future modules. We will also cover the basics of fixed income instruments, which serve as the building blocks of financial markets. If you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)
Introduction to Derivative Securities
Welcome to Week 4! This week, we will cover a new family of financial products: derivative securities. Derivative securities, as the name suggests, are financial products that derive their value from some underlying assets, such as interest rates or stocks. The prosperity of modern financial markets is due in large part to the wide variety of derivative securities on the markets such as forwards, futures, swaps, and options as we will introduce in this module. We will also introduce the 1-period binomial model, a simplified framework that allows us to calculate the prices of derivative securities. Despite its simplicity, 1-period binomial model is the building block of more powerful pricing models as we will find out in future modules. As always, if you get stuck on the quizzes, you should post on the Discussions to ask for help. (And if you finish early, I hope you'll go there to help your fellow classmates as well.)
Avis
- 5 stars75,51 %
- 4 stars14,28 %
- 3 stars4,08 %
- 2 stars4,08 %
- 1 star2,04 %
Meilleurs avis pour INTRODUCTION TO FINANCIAL ENGINEERING AND RISK MANAGEMENT
Great course, but the math at the beginning was never used. Probably better to introduce math on the go.
The course is interestingly challenging, and tough at the same time.
Really nice lectures and the lectures are easy to follow and lecture notes are very logically written with a lot of nice examples. Highly recommended for anyone who has solid math backgrounds.
À propos du Spécialisation ingénierie financière et gestion des risques
This specialization is intended for aspiring learners and professionals seeking to hone their skills in the quantitative finance area. Through a series of 5 courses, we will cover derivative pricing, asset allocation, portfolio optimization as well as other applications of financial engineering such as real options, commodity and energy derivatives and algorithmic trading. Those financial engineering topics will prepare you well for resolving related problems, both in the academic and industrial worlds.
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