课程信息
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.
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100% 在线课程

立即开始,按照自己的计划学习。
Clock

完成时间大约为31 小时

建议:12 hours videos and quizzes
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English

字幕:English

您将获得的技能

PricingFinancial ModelingDerivative (Finance)Bond Market
Globe

100% 在线课程

立即开始,按照自己的计划学习。
Clock

完成时间大约为31 小时

建议:12 hours videos and quizzes
Comment Dots

English

字幕:English

Syllabus - What you will learn from this course

1

Section
Clock
29 minutes to complete

Course Overview

An introduction to the course....
Reading
1 video (Total 9 min), 2 readings
Video1 videos
Reading2 readings
Course Overview10m
About Us10m

2

Section
Clock
2 hours to complete

Introduction to Basic Fixed Income Securities

Review of interest and basic fixed income securities; introduction to arbitrage pricing. ...
Reading
4 videos (Total 70 min), 2 readings, 1 quiz
Video4 videos
Interest Rates and Fixed Income Instruments21m
Floating Rate Bonds and Term Structure of Interest Rates21m
Forward Contracts13m
Reading2 readings
Lesson Supplements10m
Lesson Supplements10m
Quiz1 practice exercises
Introduction to Basic Fixed Income Securities14m

3

Section
Clock
2 hours to complete

Introduction to Derivative Securities

The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model....
Reading
7 videos (Total 99 min), 2 readings, 1 quiz
Video7 videos
Futures 17m
Futures Excel7m
Options17m
Options Pricing13m
The 1-Period Binomial Model12m
Option Pricing in the 1-Period Binomial Model20m
Reading2 readings
Lesson Supplements10m
Lesson Supplements10m
Quiz1 practice exercises
Introduction to Derivative Securities12m

4

Section
Clock
2 hours to complete

Option Pricing in the Multi-Period Binomial Model

Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes....
Reading
8 videos (Total 95 min), 2 readings, 1 quiz
Video8 videos
What’s Going On?12m
Pricing American Options11m
Replicating Strategies16m
Including Dividends8m
Pricing Forwards and Futures in the Binomial Model11m
The Black-Scholes Model11m
An Example: Pricing a European Put on a Futures Contract6m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Option Pricing in the Multi-Period Binomial Model16m

5

Section
Clock
2 hours to complete

Term Structure Models I

Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities....
Reading
8 videos (Total 92 min), 2 readings, 1 quiz
Video8 videos
The Cash Account and Pricing Zero-Coupon Bonds15m
Fixed Income Derivatives: Options on Bonds9m
Fixed Income Derivatives: Bond Forwards9m
Fixed Income Derivatives: Bond Futures9m
Fixed Income Derivatives: Caplets and Floorlets 8m
Fixed Income Derivatives: Swaps and Swaptions12m
The Forward Equations15m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Term Structure Models I12m

6

Section
Clock
3 hours to complete

Term Structure Models II and Introduction to Credit Derivatives

Calibration of term-structure models; the Black-Derman-Toy and Ho-Lee models. Limitations of term-structure models and derivatives pricing models in general. Introduction to credit-default swaps (CDS) and the pricing of CDS and defaultable bonds....
Reading
8 videos (Total 120 min), 3 readings, 1 quiz
Video8 videos
An Application: Pricing a Payer Swaption in a BDT Model12m
Fixed Income Derivatives Pricing in Practice6m
Modeling Defaultable Bonds15m
Pricing Defaultable Bonds16m
Credit Default Swaps18m
Pricing Credit Default Swaps12m
Interview with Emmanuel Derman19m
Reading3 readings
Lesson Supplements10m
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Term Structure Models II and Introduction to Credit Derivatives10m

7

Section
Clock
2 hours to complete

Introduction to Mortgage Mathematics and Mortgage-Backed Securities

Basic mortgage mathematics; mechanics of mortgage-backed securities (MBS) including pass-throughs, principal-only and interest-only securities, and CMOs; pricing of MBS; MBS and the financial crisis....
Reading
7 videos (Total 93 min), 2 readings, 1 quiz
Video7 videos
Prepayment Risk and Mortgage Pass-Throughs16m
Mortgage Pass-Throughs in Excel7m
Principal-Only and Interest-Only MBS13m
Risks of Principal-Only and Interest-Only MBS11m
Collateralized Mortgage Obligations (CMOs)11m
Pricing Mortgage-Backed Securities13m
Reading2 readings
Lesson Supplements10m
Quiz Instructions10m
Quiz1 practice exercises
Introduction to Mortgage Mathematics and Mortgage-Backed Securities18m

8

Section
Clock
2 hours to complete

Background Material

...
Reading
10 videos (Total 139 min), 1 reading
Video10 videos
Review of Conditional Expectations and Variances8m
Review of Multivariate Distributions11m
The Multivariate Normal Distribution6m
Introduction to Martingales14m
Introduction to Brownian Motion9m
Geometric Brownian Motion9m
Review of Vectors17m
Review of Matrices23m
Review of Linear Optimization19m
Reading1 readings
Lesson Supplements10m
4.6
Direction Signs

33%

started a new career after completing these courses
Briefcase

83%

got a tangible career benefit from this course

Top Reviews

By MMJul 12th 2017

I appreciate how this course not only discusses the concepts in technical detail, but actually delves into the mathematics of the subject matter, and teaches how to actually do the actual work inv

By CCAug 27th 2017

The course profile is quite useful and helpful. Combined with the homework and the discussion forum, the course offers a great opportunity for me to get some knowledge about financial economics.

Instructors

Avatar

Martin Haugh

Co-Director, Center for Financial Engineering
Avatar

Garud Iyengar

Professor

About Columbia University

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