Financial Engineering and Risk Management

开始时间: 04/22/2022 持续时间: 10 weeks

所在平台: CourseraArchive

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

课程评论: 1 个评论

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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？