金融工程与风险管理,第 2 部分

Financial Engineering and Risk Management Part II

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.

哥伦比亚大学

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金融工程与风险管理,第 2 部分
  • 分类: 金融
  • 平台: Coursera
  • 语言: 英语

课程概况

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.

授课大纲

WEEK 1
Mean-Variance Analysis and CAPM
Mean Variance Overview and in Excel
Efficient Frontier
Mean Variance with a Risk-free Asset and Risk-free Frontier in Excel
Capital Asset Pricing Model
Mean-Variance Analysis and CAPM Problem Set
测验: Mean-Variance Analysis and CAPM Problem Set

WEEK 2
Practical Issues in Implementing Mean Variance
Implementation Difficulties
Negative Exposures, Leveraged ETFs, and Beyond Variance
Statistical Biases and Potential Pitfalls
Practical Issues in Implementing Mean Variance Problem Set
测验: Practical Issues in Implementing Mean Variance Problem Set

WEEK 3
Equity Derivatives in Practice: Part I
Review of the Binomial Model and the Black-Scholes Model
The Greeks
Risk Management of Derivatives Portfolios and Delta-Hedging
The Volatility Surface
Review
测验: Equity Derivatives in Practice: Part I

WEEK 4
Equity Derivatives in Practice: Part II
The Volatility Surface in Action and Skew
The Volatility Surface and Pricing Derivatives

WEEK 5
Credit Derivatives and Structured Products
CDOs and the Gaussian Copula Model
A Simple Example
Understanding a CDO Tranche
CDO Portfolios
Review
测验: Credit Derivatives and Structured Products

WEEK 6
Other Applications of Financial Engineering
Liquidity, Trading Costs, and Portfolio Execution
Optimal Execution and Portfolio Execution
Optimal Execution in Excel and Real Options
Energy and Commodities Modeling
Review
测验: Other Applications of Financial Engineering

WEEK 7
Background Material

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