开始时间: 12/21/2023 持续时间: 5-8 hours/week
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所在平台: Coursera |
课程主页: https://www.coursera.org/learn/financial-engineering-advancedtopics
课程评论：没有评论
This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and hedging and often used to measure portfolio value change. Then we will analyze risk management of derivatives portfolios from two perspectives—Greeks approach and scenario analysis. The second module reveals how option’s theoretical price links to real market price—by implied volatility. We will discuss pricing by volatility surface as well as explanations of volatility smile and skew, which are common in real markets. The third module involves topics in credit derivatives and structured products and focuses on Credit Debit Obligation (CDO), which played an important part in the past financial crisis starting from 2007. We will cover CDO’s definition, simple and synthetic versions of CDO, and CDO portfolios. The final module is the application of option pricing methodologies and takes natural gas and electricity related options as an example to introduce valuation methods such as dynamic programming in real options.
Name:Course Overview
Description:
Name:Equity Derivatives in Practice: Part I
Description:This module contains the first part of equity derivatives. After a brief review on the binomial model, we introduce Black-Scholes model and how to utilize this model to derive so-called "Greeks." Greeks are very important indices in options, which measure the sensitivity of option value to a wide range of variables such as stock price and volatility. We are also covering risk management and hedging. Greeks play an important role in risk management and hedging, as traders and quants often use Greeks approach to hedge and construct their portfolios. Moreover, we will introduce scenario analysis and how Greeks are used to measure portfolio value change. In the end, we are covering an introduction to implied volatility and volatility smile. Implied volatility is a key link between market option prices and options prices under the framework of Black-Scholes model. We'll be covering more about this topic in the next module.
Name:Equity Derivatives in Practice: Part II
Description:This module contains the second part of equity derivatives. Following past module, we'll continue discussing implied volatility and volatility smile. We introduce two main explanations about volatility skew: risk aversion and leverage effect. Next, we will cover how to utilize volatility surface to price derivatives, including digital options and range accruals. Meanwhile, we will introduce a method to obtain risk-neutral density of terminal stock price distribution from option prices. We will also cover two additional topics about joint distribution of two securities and dynamic replication in practice. In module 3, you will have a real-world assignment where you will use all the knowledge from previous modules to solve the problems about equity derivatives. In this assignment, you will be exposed to many think-about questions where you can jump out of the Black-Scholes framework and think in a model-free world.
Name:Review and Assignment for Equity Derivatives
Description:
Name:Credit Derivatives and Structured Products
Description:This module involves topics in credit derivatives and structured products. Firstly, we will cover the definition of Credit Debit Obligation (CDO) and Gaussian Copula model, where Gaussian Copula can be used to compute the portfolio loss function. CDO plays an important part in the past financial crisis starting from 2008, and it is an important part of working for traders and quants in Securitized Products Group (SPG). Next, we will introduce a simple version of 1-period CDO, where you can learn how to get the expected tranche losses and understand CDO from observations about equity, mezzanine and senior tranches. In the end, we will cover the mechanism about synthetic CDO and the method to calculate the fair value of premium lag, default lag, and CDO tranche. We will also cover CDO portfolios, including pricing and risk management of CDO portfolios and higher-order CDO products.
Name:Other Applications of Financial Engineering
Description:This module involves topics in real options. Real options are based on highly volatile underlying assets with many uncertainties including market, industrial, technical, organizational, and political issues. We take natural gas and electricity related options as an example to introduce valuation methods such as dynamic programming in real options.
本课程讨论衍生品定价的主题。第一个模块旨在了解 Black-Scholes 模型并利用它推导出希腊字母，该模型衡量期权价值对标的资产价格、波动性和到期时间等变量的敏感性。希腊人在风险管理和对冲方面很重要，经常被用来衡量投资组合的价值变化。然后我们将从希腊方法和情景分析两个角度分析衍生品投资组合的风险管理。第二个模块通过隐含波动率揭示期权的理论价格如何与实际市场价格联系起来。我们将讨论通过波动率表面定价以及波动率微笑和倾斜的解释，这在实际市场中很常见。第三个模块涉及信用衍生品和结构性产品的主题，重点关注信用借方义务（CDO），它在从 2007 年开始的过去金融危机中发挥了重要作用。我们将介绍 CDO 的定义、CDO 的简单和综合版本以及 CDO投资组合。最后一个模块是期权定价方法的应用，以天然气和电力相关期权为例，介绍实物期权中动态规划等估值方法。
