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

   

课程主页: https://www.coursera.org/course/fe

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课程评论: 1 个评论

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课程详情

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.

课程大纲

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.

课程评论(1条)

0

wzyer 2013-05-17 08:51 0 票支持; 0 票反对

我是被Derman的光环吸引进去的。但发现被坑了,Derman就出现了一会儿,而且就是个小访谈。好吧,不过我还是坚持完了,对于一个完全没有基础的实在是不容易……确实学到了很多东西,不过不确定对于金工专业的来讲,这些内容到底价值几何?难度几何?

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课程简介

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.

课程标签

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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