Financial Engineering and Risk Management Part II
Columbia University via Coursera
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Overview
Class Central Tips
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.
Syllabus
- 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
- 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.
- 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.
- 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.
- 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.
- Other Applications of Financial Engineering
- Real options; energy and commodities modeling; algorithmic trading.
- Background Material
Taught by
Martin Haugh and Garud Iyengar
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Reviews
4.3 rating, based on 3 reviews
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Zulqarnain Haider Shah is taking this course right now, spending 2 hours a week on it and found the course difficulty to be medium.
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John Walsh31
John Walsh completed this course and found the course difficulty to be very hard.
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Rohit Mendiratta completed this course.
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