- 来自www.coursera.org
Financial Engineering and Risk Management Part II
课程
en
英语
91 时
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- 7 序列
- 等级 介绍
课程详情
教学大纲
- 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
先决条件
没有。
讲师
Martin Haugh
Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Garud Iyengar
Professor
Industrial Engineering and Operations Research Department
编辑
哥伦比亚大学是一所私立大学,位于美国纽约曼哈顿区西北部的晨边高地。它起源于 1754 年由英国国王乔治二世创建的国王学院。哥伦比亚大学是美国历史最悠久的高等学府之一,也是常春藤联盟(Ivy League)的成员之一,常春藤联盟由美国历史最悠久、最著名、最有声望和最精英化的八所大学组成。
哥伦比亚大学是世界上最挑剔、最负盛名的大学之一。2019 年的录取率为 5.1%,与哈佛大学和斯坦福大学相当。其研究水平在美国排名第一,在CUWR世界千强大学排名中位列世界第六(美国第四),在上海大学排名中位列第八。
平台
Coursera是一家数字公司,提供由位于加利福尼亚州山景城的计算机教师Andrew Ng和达芙妮科勒斯坦福大学创建的大型开放式在线课程。
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