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Financial Engineering and Risk Management Part II
Course
en
English
91 h
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- Self-paced
- Free Access
- Fee-based Certificate
- 7 Sequences
- Introductive Level
Course details
Syllabus
- Week 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 - Week 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. - Week 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. - Week 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. - Week 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. - Week 6 - Other Applications of Financial Engineering
Real options; energy and commodities modeling; algorithmic trading. - Week 7 - 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.
Coursera works with top universities and organizations to make some of their courses available online, and offers courses in many subjects, including: physics, engineering, humanities, medicine, biology, social sciences, mathematics, business, computer science, digital marketing, data science, and other subjects.
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