关于此课程： 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. We hope that students who complete the course and the prerequisite course (FE & RM Part I) 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.
制作方： Columbia University
教学方： Martin Haugh, Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
教学方： Garud Iyengar, Professor
Industrial Engineering and Operations Research Department
| 承诺学习时间 | 13 hours videos and quizzes |
| 语言 | English |
| 如何通过 | 通过所有计分作业以完成课程。 |
| 用户评分 |
授课大纲
第 1 周
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
6 个视频, 2 个阅读材料
- 阅读: Lesson Supplements
- 视频: Introduction to Mean Variance in Excel
- 视频: Efficient Frontier
- 视频: Mean Variance with a Risk-free Asset
- 视频: Risk-free Frontier in Excel
- 视频: Capital Asset Pricing Model
- 阅读: Quiz Instructions
已评分: Mean-Variance Analysis and CAPM Problem Set
第 2 周
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.
6 个视频, 2 个阅读材料
- 阅读: Lesson Supplements
- 视频: Negative Exposures and Leveraged ETFs
- 视频: Beyond Variance
- 视频: Statistical Biases in Performance Evaluation
- 视频: How Should Average Returns be Computed?
- 视频: Survivorship Bias and Data Snooping
- 阅读: Quiz Instructions
已评分: Practical Issues in Implementing Mean Variance Problem Set
第 3 周
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.
7 个视频, 2 个阅读材料
- 阅读: Lesson Supplements
- 视频: The Black-Scholes Model
- 视频: The Greeks: Delta and Gamma
- 视频: The Greeks: Vega and Theta
- 视频: Risk-Management of Derivatives Portfolios
- 视频: Delta-Hedging
- 视频: The Volatility Surface
- 阅读: Quiz Instructions
已评分: Equity Derivatives in Practice: Part I
第 4 周
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.
5 个视频, 1 个阅读材料
- 阅读: Lesson Supplements
- 视频: Why is There a Skew?
- 视频: What the Volatility Surface Tells Us
- 视频: Pricing Derivatives Using the Volatility Surface
- 视频: Beyond the Volatility Surface and Black-Scholes
第 5 周
Credit Derivatives and Structured Products
Mechanics and pricing of CDOs; exotic structured credit securities including CDO-squared’s and CDO-cubed’s. Risk management of these products and their role in the financial crisis.
9 个视频, 2 个阅读材料
- 阅读: Lesson Supplements
- 视频: The Gaussian Copula Model
- 视频: A Simple Example: Part I
- 视频: A Simple Example: Part II
- 视频: The Mechanics of a “Synthetic” CDO Tranche
- 视频: Computing the Fair Value of a CDO Tranche
- 视频: Cash and Synthetic CDOs
- 视频: Pricing and Risk Management of CDO Portfolios
- 视频: CDO-Squared's and Beyond
- 阅读: Quiz Instructions
已评分: Credit Derivatives and Structured Products
第 6 周
Other Applications of Financial Engineering
Real options; energy and commodities modeling; algorithmic trading.
8 个视频, 2 个阅读材料
- 阅读: Lesson Supplements
- 视频: Optimal Execution
- 视频: Portfolio Execution
- 视频: Optimal Execution in Excel 1
- 视频: Optimal Execution in Excel 2
- 视频: Real Options
- 视频: Valuation of Natural Gas and Electricity Related Options
- 视频: Real Options in Excel
- 阅读: Quiz Instructions
已评分: Other Applications of Financial Engineering
第 7 周
Background Material
11 个视频, 1 个阅读材料
- 阅读: Lesson Supplements
- 视频: Review of Conditional Expectations and Variances
- 视频: Review of Multivariate Distributions
- 视频: The Multivariate Normal Distribution
- 视频: Introduction to Martingales
- 视频: Introduction to Brownian Motion
- 视频: Geometric Brownian Motion
- 视频: Review of Vectors
- 视频: Review of Matrices
- 视频: Review of Linear Optimization
- 视频: Review of Nonlinear Optimization
常见问题解答
运作方式
课程作业
每门课程都像是一本互动的教科书，具有预先录制的视频、测验和项目。
来自同学的帮助
与其他成千上万的学生相联系，对想法进行辩论，讨论课程材料，并寻求帮助来掌握概念。
证书
获得正式认证的作业，并与朋友、同事和雇主分享您的成功。
制作方
Columbia University
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.
评分和审阅
excellent course! questions were hard and had to really work to get the grades. I'll keep going back to the questions from time to time for a review.
nice course but more pratice exercises won't hurt
Excelent course. The 5th week about Gaussian Copula was very dificult for me. I suggest to improve the explanation of this topic, and to give bibliography. I liked very much the Real Option themes. I would like to have the implementation of natural gas and electricity examples in excel. Thanks to professors Martin Haugh and Garud Iyengar and to the mentors in the forums.
Tough but good!