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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课程简介

This course provides an introduction to various classes of derivative securities and we will learn how to price them using "risk-neutral pricing". In the follow-up to this course (FE & RM Part II) we will consider portfolio optimization, risk management and more advanced examples of derivatives pricing including, for example, real options and energy derivatives.

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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