Financial Engineering and Risk Management Part II

开始时间: 01/26/2014 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



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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.  


We plan to cover the following topics in FE & RM Part II:

  • Asset allocation and portfolio optimization
  • The Capital Asset Pricing Model (CAPM)
  • Statistical biases in portfolio selection
  • Equity derivatives in practice
  • Credit derivatives and the Gaussian copula model
  • Risk management: scenario analysis and stress testing
  • Other topics including real options and algorithmic trading





This course follows on from FE & RM Part I. We will consider portfolio optimization, risk management and some advanced examples of derivatives pricing that draw from structured credit, real options and energy derivatives. We will also cast a critical eye on how financial models are used in practice.


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