Financial Engineering and Risk Management Part I

开始时间: 04/22/2022 持续时间: 6 weeks

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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