Об этом курсе: 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.
Автор: Columbia University
Преподаватели: Martin Haugh, Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research
Преподаватели: Garud Iyengar, Professor
Industrial Engineering and Operations Research Department
| Выполнение | 12 hours videos and quizzes |
| Язык | English |
| Как пройти курс | Чтобы пройти курс, выполните все оцениваемые задания. |
| Оценки пользователей |
Программа курса
НЕДЕЛЯ 1
Course Overview
An introduction to the course.
1 видео, 2 материала для самостоятельного изучения
- Reading: Course Overview
- Reading: About Us
НЕДЕЛЯ 2
Introduction to Basic Fixed Income Securities
Review of interest and basic fixed income securities; introduction to arbitrage pricing.
4 видео, 2 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: Interest Rates and Fixed Income Instruments
- Reading: Lesson Supplements
- Видео: Floating Rate Bonds and Term Structure of Interest Rates
- Видео: Forward Contracts
Оцениваемый: Introduction to Basic Fixed Income Securities
НЕДЕЛЯ 3
Introduction to Derivative Securities
The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
7 видео, 2 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: Futures
- Видео: Futures Excel
- Reading: Lesson Supplements
- Видео: Options
- Видео: Options Pricing
- Видео: The 1-Period Binomial Model
- Видео: Option Pricing in the 1-Period Binomial Model
Оцениваемый: Introduction to Derivative Securities
НЕДЕЛЯ 4
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.
8 видео, 2 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: What’s Going On?
- Видео: Pricing American Options
- Видео: Replicating Strategies
- Видео: Including Dividends
- Видео: Pricing Forwards and Futures in the Binomial Model
- Видео: The Black-Scholes Model
- Видео: An Example: Pricing a European Put on a Futures Contract
- Reading: Quiz Instructions
Оцениваемый: Option Pricing in the Multi-Period Binomial Model
НЕДЕЛЯ 5
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.
8 видео, 2 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: The Cash Account and Pricing Zero-Coupon Bonds
- Видео: Fixed Income Derivatives: Options on Bonds
- Видео: Fixed Income Derivatives: Bond Forwards
- Видео: Fixed Income Derivatives: Bond Futures
- Видео: Fixed Income Derivatives: Caplets and Floorlets
- Видео: Fixed Income Derivatives: Swaps and Swaptions
- Видео: The Forward Equations
- Reading: Quiz Instructions
Оцениваемый: Term Structure Models I
НЕДЕЛЯ 6
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.
8 видео, 3 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: An Application: Pricing a Payer Swaption in a BDT Model
- Видео: Fixed Income Derivatives Pricing in Practice
- Reading: Lesson Supplements
- Видео: Modeling Defaultable Bonds
- Видео: Pricing Defaultable Bonds
- Видео: Credit Default Swaps
- Видео: Pricing Credit Default Swaps
- Видео: Interview with Emmanuel Derman
- Reading: Quiz Instructions
Оцениваемый: Term Structure Models II and Introduction to Credit Derivatives
НЕДЕЛЯ 7
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.
7 видео, 2 материала для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: Prepayment Risk and Mortgage Pass-Throughs
- Видео: Mortgage Pass-Throughs in Excel
- Видео: Principal-Only and Interest-Only MBS
- Видео: Risks of Principal-Only and Interest-Only MBS
- Видео: Collateralized Mortgage Obligations (CMOs)
- Видео: Pricing Mortgage-Backed Securities
- Reading: Quiz Instructions
Оцениваемый: Introduction to Mortgage Mathematics and Mortgage-Backed Securities
НЕДЕЛЯ 8
Background Material
10 видео, 1 материал для самостоятельного изучения
- Reading: Lesson Supplements
- Видео: Review of Conditional Expectations and Variances
- Видео: Review of Multivariate Distributions
- Видео: The Multivariate Normal Distribution
- Видео: Introduction to Martingales
- Видео: Introduction to Brownian Motion
- Видео: Geometric Brownian Motion
- Видео: Review of Vectors
- Видео: Review of Matrices
- Видео: Review of Linear Optimization
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Авторы
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.
Рейтинги и отзывы
This course is definitely for people who really like to use their math skills in finance. I admit that quizzes a little bit challenging and check the learners' understanding. After some practice I'll definitely take FE&RM II. My only feedback is that is would be better to add some more practical examples to slides instead of emphasizing only theory. Thanks a lot:))
Interesting and well laid-out, the only improvements I would suggest are more effective ways to troubleshoot questions around the quizzes, as well as better integration of the optional sections at the end, which jump into heavy maths without practical examples, limiting the motivation for students to stick with them.
Good course to brush up basics when attempting to learn more complex financial theory
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Excellent course, which give you pretty good understanding of valuation of equity and interest rates derivatives. I want to recomend this course for all students who want to focus on financial field.