Financial Engineering and Risk Management

开始时间: 02/24/2013 持续时间: 10 weeks

所在平台: Coursera

课程类别: 经济与金融

大学或机构: Columbia University(哥伦比亚大学)

授课老师: Garud Iyengar Martin Haugh Emanuel Derman



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Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods.  The emphasis of this course will be on the use of simple stochastic models and optimization for portfolio optimization, derivatives pricing and risk management. 

Our examples will draw from many asset classes including equities, fixed income, credit, mortgage-backed securities and structured products. We will also consider the role that some of these asset classes played during the financial crisis. If time permits, we will also discuss other applications including real options, energy and commodities modeling, and algorithmic trading among others.

We hope that students who complete the course 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.


We plan to cover the following topics:

  • Introduction to derivative securities and option pricing. 
  • The binomial model and martingale pricing.
  • Equity derivatives in practice.
  • Asset allocation and portfolio optimization. 
  • The Capital Asset Pricing Model.
  • Statistical biases and portfolio selection.
  • Risk management I: VaR, CVaR and coherent risk measures.
  • Risk management II: scenario analysis and stress testing.
  • Term structure models and fixed income derivatives.
  • Mortgage mathematics and mortgage-backed securities.
  • Credit derivatives, structured products and the Gaussian copula model.
  • Other topics including real options, commodities and energy modeling, and algorithmic trading.



wzyer 2013-05-17 08:51 0 票支持; 0 票反对





This course is an introduction to the theory and practice of financial engineering and risk management. We consider the pricing of derivatives, portfolio optimization and risk management and cast a critical eye on how these are used in practice.


金融 金融学 风险管理 金融工程 金融工程与风险管理 哥伦比亚大学




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