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Financial Engineering and Risk Management Part I
Course
en
English
96 h
This content is rated 0 out of 5
- Self-paced
- Free Access
- Fee-based Certificate
- 8 Sequences
- Introductive Level
Course details
Syllabus
- Week 1 - Course Overview
An introduction to the course. - Week 2 - Introduction to Basic Fixed Income Securities
Review of interest and basic fixed income securities; introduction to arbitrage pricing. - Week 3 - Introduction to Derivative Securities
The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model. - Week 4 - Option Pricing in the Multi-Period Binomial Model
Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes. - Week 5 - Term Structure Models I
Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities. - Week 6 - Term Structure Models II and Introduction to Credit Derivatives
Calibration of term-structure models; the Black-Derman-Toy and Ho-Lee models. Limitations of term-structure models and derivatives pricing models in general. Introduction to credit-default swaps (CDS) and the pricing of CDS and defaultable bonds. - Week 7 - Introduction to Mortgage Mathematics and Mortgage-Backed Securities
Basic mortgage mathematics; mechanics of mortgage-backed securities (MBS) including pass-throughs, principal-only and interest-only securities, and CMOs; pricing of MBS; MBS and the financial crisis. - Week 8 - Background Material
Prerequisite
None.
Instructors
Martin Haugh
Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Garud Iyengar
Professor
Industrial Engineering and Operations Research Department
Editor
Columbia University is a private university located in Morningside Heights, in the north-western part of the borough of Manhattan, in New York (United States). Its origins lie in King's College, founded in 1754 by King George II of Great Britain. It is one of the oldest institutions of higher learning in the United States and is part of the Ivy League group of eight of the country's oldest, most famous, most prestigious and most elitist universities.
Columbia is one of the most selective and prestigious universities in the world. The admission rate was 5.1% in 2019, comparable to Harvard and Stanford. Ranked first in the United States for research, it is sixth in the world (fourth in the United States) in the CUWR ranking of the world's top 1,000 universities and eighth in the Shanghai University Rankings.
Platform
Coursera is a digital company offering massive open online course founded by computer teachers Andrew Ng and Daphne Koller Stanford University, located in Mountain View, California.
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