Financial Engineering and Risk Management Part I

开始时间: 10/28/2013 持续时间: 6 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: Martin Haugh Garud Iyengar

   

课程主页: https://www.coursera.org/course/fe1

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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 FE & RM Part I will be on the use of simple stochastic models to price derivative securities in various asset classes including equities, fixed income, credit and mortgage-backed securities. We will also consider the role that some of these asset classes played during the financial crisis. A notable feature of this course will be an interview module with Emanuel Derman, the renowned ``quant'' and best-selling author of "My Life as a Quant".  

We hope that students who complete the course and the follow-up course (FE & RM Part II) 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 in FE & RM Part I:

  • Introduction to forwards, futures and swaps
  • Introduction to options and the 1-period binomial model
  • The multi-period binomial model and risk-neutral pricing
  • Term structure models and pricing fixed income derivative securities
  • Introduction to credit derivatives 
  • Introduction to mortgage mathematics and mortgage-backed securities

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课程简介

This course provides an introduction to various classes of derivative securities and we will learn how to price them using "risk-neutral pricing". In the follow-up to this course (FE & RM Part II) we will consider portfolio optimization, risk management and more advanced examples of derivatives pricing including, for example, real options and energy derivatives.

课程标签

哥伦比亚大学 金融 金融学 风险管理 金融工程 金融工程与风险管理

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