Financial Engineering and Risk Management Part I

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Columbia University

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Financial Engineering is a multidisciplinary field drawing from 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 will begin to understand 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. The follow-on course FE & RM Part II will continue to develop derivatives pricing models but it will also focus on asset allocation and portfolio optimization as well as other applications of financial engineering such as real options, commodity and energy derivatives and algorithmic trading.

金融工程和风险管理第一部分:金融工程是一个涉及金融,经济学,数学,统计,工程和计算方法的多学科领域。有限元分析的重点RM第一部分,将使用简单的随机模型对各种资产类别(包括股票,固定收益,信贷和抵押支持证券)中的衍生证券定价。我们还将考虑其中的某些资产类别在金融危机中所扮演的角色。本课程的一个显着特点是与著名的``定量研究''和《我的量化人生》畅销书作者伊曼纽尔·德曼的访谈模块。 我们希望完成本课程的学生将开始理解金融工程学背后的“火箭科学”,但也许更重要的是,我们希望他们也将理解该理论在实践中的局限性以及为什么应该始终以健康的程度对待金融模型怀疑主义。后续课程FE& RM第二部分将继续开发衍生产品定价模型,但还将重点关注资产分配和投资组合优化以及金融工程的其他应用,例如实物期权,商品和能源衍生产品以及算法交易。

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