Financial Engineering and Risk Management Part II
date_range Débute le 20 mars 2017
event_note Se termine le 8 mai 2017
list 7 séquences
assignment Niveau : Introductif
label Gestion d'Entreprise
chat_bubble_outline Langue : Anglais
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Les infos clés

credit_card Formation gratuite
timer 91 heures de cours

En résumé

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.

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Le programme

  • 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
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Le concepteur

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.
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La plateforme

Coursera est une entreprise numérique proposant des formation en ligne ouverte à tous fondée par les professeurs d'informatique Andrew Ng et Daphne Koller de l'université Stanford, située à Mountain View, Californie.

Ce qui la différencie le plus des autres plateformes MOOC, c'est qu'elle travaille qu'avec les meilleures universités et organisations mondiales et diffuse leurs contenus sur le web.

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