Важная информация
Резюме
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.
Программа
- 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
Пользователи
Martin Haugh
Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Garud Iyengar
Professor
Industrial Engineering and Operations Research Department
Разработчик
L'université Columbia est une université privée située dans le quartier de Morningside Heights, dans le nord-ouest de l'arrondissement de Manhattan, à New York (États-Unis). Elle trouve son origine dans le King's College fondée en 1754 par le roi George II de Grande-Bretagne. Elle est l'un des plus anciens établissements d’enseignement supérieur aux États-Unis et fait partie du groupe de l'Ivy League regroupant huit des universités les plus anciennes, les plus célèbres, les plus prestigieuses et les plus élitistes du pays.
Columbia est l'une des universités les plus sélectives et prestigieuses au monde. Le taux d'admission était de 5,1 % en 2019, comparable à ceux de Harvard et de Stanford. Classée première aux États-Unis pour la recherche, elle figure au sixième rang mondial (4e aux États-Unis) du classement CUWR des 1 000 meilleures universités mondiales et au huitième rang mondial du Classement Shanghai des universités.
Платформа
Coursera - это цифровая компания, предлагающая массовые открытые онлайн-курсы, основанные учителями компьютеров Эндрю Нгом и Стэнфордским университетом Дафни Коллер, расположенные в Маунтин-Вью, штат Калифорния.
Coursera работает с ведущими университетами и организациями, чтобы сделать некоторые из своих курсов доступными в Интернете, и предлагает курсы по многим предметам, включая: физику, инженерию, гуманитарные науки, медицину, биологию, социальные науки, математику, бизнес, информатику, цифровой маркетинг, науку о данных и другие предметы.
