Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part II will be on the use of simple stochastic models to (i) solve portfolio optimization problems (ii) price derivative securities in various asset classes including equities and credit and (iii) consider some advanced applications of financial engineering including algorithmic trading and the pricing of real options. We will also consider the role that financial engineering played during the financial crisis.
金融工程与风险管理，第 2 部分
哥伦比亚大学课程信息
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学生职业成果
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完成这些课程后已开始新的职业生涯
47%
通过此课程获得实实在在的工作福利
22%
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完成时间大约为17 小时
英语（English）
字幕：英语（English）
您将获得的技能
Real Options ValuationDerivative (Finance)Risk ManagementReal Options
学生职业成果
30%
完成这些课程后已开始新的职业生涯
47%
通过此课程获得实实在在的工作福利
22%
加薪或升职
可分享的证书
完成后获得证书
100% 在线
立即开始，按照自己的计划学习。
可灵活调整截止日期
根据您的日程表重置截止日期。
完成时间大约为17 小时
英语（English）
字幕：英语（English）
提供方
哥伦比亚大学
For more than 250 years, Columbia has been a leader in higher education in the nation and around the world. At the core of our wide range of academic inquiry is the commitment to attract and engage the best minds in pursuit of greater human understanding, pioneering new discoveries and service to society.
教学大纲 - 您将从这门课程中学到什么
完成时间为 2 小时
Mean-Variance Analysis and CAPM
Problem formulation and solution; the efficient frontier; including the risk-free asset; the Capital Asset Pricing Model (CAPM);implications of CAPM: α, β, security and capital market lines
完成时间为 2 小时
6 个视频 （总计 97 分钟）, 2 个阅读材料, 1 个测验
6 个视频
Introduction to Mean Variance in Excel9分钟
Efficient Frontier19分钟
Mean Variance with a Risk-free Asset14分钟
Risk-free Frontier in Excel13分钟
Capital Asset Pricing Model20分钟
2 个阅读材料
Lesson Supplements10分钟
Quiz Instructions10分钟
1 个练习
Mean-Variance Analysis and CAPM Problem Set30分钟
完成时间为 3 小时
Practical Issues in Implementing Mean Variance
Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls.
完成时间为 3 小时
6 个视频 （总计 103 分钟）, 2 个阅读材料, 1 个测验
6 个视频
Negative Exposures and Leveraged ETFs14分钟
Beyond Variance13分钟
Statistical Biases in Performance Evaluation17分钟
How Should Average Returns be Computed?14分钟
Survivorship Bias and Data Snooping23分钟
2 个阅读材料
Lesson Supplements10分钟
Quiz Instructions10分钟
1 个练习
Practical Issues in Implementing Mean Variance Problem Set30分钟
完成时间为 3 小时
Equity Derivatives in Practice: Part I
Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls.
完成时间为 3 小时
7 个视频 （总计 112 分钟）, 2 个阅读材料, 1 个测验
7 个视频
The Black-Scholes Model8分钟
The Greeks: Delta and Gamma19分钟
The Greeks: Vega and Theta18分钟
Risk-Management of Derivatives Portfolios16分钟
Delta-Hedging14分钟
The Volatility Surface23分钟
2 个阅读材料
Lesson Supplements10分钟
Quiz Instructions10分钟
1 个练习
Equity Derivatives in Practice: Part I30分钟
完成时间为 2 小时
Equity Derivatives in Practice: Part II
More about Black-Scholes, the Greeks and delta-hedging; the volatility surface; pricing derivatives using the volatility surface; model calibration.
完成时间为 2 小时
5 个视频 （总计 82 分钟）, 1 个阅读材料
5 个视频
Why is There a Skew?14分钟
What the Volatility Surface Tells Us17分钟
Pricing Derivatives Using the Volatility Surface21分钟
Beyond the Volatility Surface and Black-Scholes19分钟
1 个阅读材料
Lesson Supplements10分钟
审阅
来自金融工程与风险管理，第 2 部分的热门评论
由 YS 提供Jun 27, 2016
Very similar style with Part I. The instructors are clear in explaining the models. However, it would be more useful if the instructors can give several real-world examples on the financial market.
由 SY 提供Jun 7, 2019
I really enjoyed this course and learned a lot. The quizzes were challenging but really forced me to think through the problems. The forums were very helpful when I got stuck. Thanks Professors!
由 CS 提供May 4, 2019
Great course structure. You get the chance to understand the mechanics around securities and derivatives valuation, as well as put in practice what you just have learnt by completing the exams.
由 TR 提供Aug 30, 2020
Great course. It is very useful to get into Financial Engineering Topics. The tests are not easy, so every week presents a challenge that forces you to deeply understand what is being taught.
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