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".
Financial Engineering and Risk Management Part I
Offered By
Financial Engineering and Risk Management Part I
Columbia University
About this Course
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Learner Career Outcomes
40%
started a new career after completing these courses
38%
got a tangible career benefit from this course
Skills you will gain
PricingFinancial ModelingFinancial RiskFinancial Engineering
Learner Career Outcomes
40%
started a new career after completing these courses
38%
got a tangible career benefit from this course
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Flexible deadlines
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Approx. 32 hours to complete
Suggested: 12 hours videos and quizzes
English
Subtitles: English
Syllabus - What you will learn from this course
29 minutes to complete
Course Overview
An introduction to the course.
29 minutes to complete
1 video (Total 9 min), 2 readings
1 video
2 readings
Course Overview10m
About Us10m
2 hours to complete
Introduction to Basic Fixed Income Securities
Review of interest and basic fixed income securities; introduction to arbitrage pricing.
2 hours to complete
4 videos (Total 70 min), 2 readings, 1 quiz
4 videos
Interest Rates and Fixed Income Instruments21m
Floating Rate Bonds and Term Structure of Interest Rates21m
Forward Contracts13m
2 readings
Lesson Supplements10m
Lesson Supplements10m
1 practice exercise
Introduction to Basic Fixed Income Securities14m
2 hours to complete
Introduction to Derivative Securities
The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
2 hours to complete
7 videos (Total 99 min), 2 readings, 1 quiz
7 videos
Swaps10m
Futures 17m
Futures Excel7m
Options17m
Options Pricing13m
The 1-Period Binomial Model12m
Option Pricing in the 1-Period Binomial Model20m
2 readings
Lesson Supplements10m
Lesson Supplements10m
1 practice exercise
Introduction to Derivative Securities12m
2 hours to complete
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.
2 hours to complete
8 videos (Total 95 min), 2 readings, 1 quiz
8 videos
What’s Going On?12m
Pricing American Options11m
Replicating Strategies16m
Including Dividends8m
Pricing Forwards and Futures in the Binomial Model11m
The Black-Scholes Model11m
An Example: Pricing a European Put on a Futures Contract6m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Option Pricing in the Multi-Period Binomial Model16m
Reviews
4.6
TOP REVIEWS FROM FINANCIAL ENGINEERING AND RISK MANAGEMENT PART I
by MMJul 11, 2017
I appreciate how this course not only discusses the concepts in technical detail, but actually delves into the mathematics of the subject matter, and teaches how to actually do the actual work inv
by JDDec 9, 2015
Very well presented, structured and selected material, easy to follow, relevant and interesting. Quizz problems are well thought through and have a reasonable degree of difficulty and length.
by EGAug 10, 2015
The content of this course is apropiate for drive the finances and risk, We be lear more about this course\n\nI am Engenier in Sofware, the know of finances is aplicable in anyware software.
by NTJan 19, 2017
This course is amazing. The structure is very clear and coherent. It is very mathematically focused and the models are interesting. I would always recommend this course to my colleagues.
by KANov 25, 2017
The material is clear stated, the volume and the deepness of the course is substantial, the supplements are very helpful. The spreadsheets can even use as basis for practice modelling.
by ALOct 19, 2018
Good content, especially liked how professor Haugh explained things. Some assignments could have clearer instructions - but discussion forums are useful to troubleshoot the problems.
by ZLMay 10, 2017
Some of the models are not what's really used on the street. e.g. Street uses SABR and Black-73 to price swaptions. The quiz instruction is also a bit amibious for some questions.
by SMNov 2, 2016
Excellent course and learnt a lot of details. It really gives me lot of confidence and motivation to do more courses and I have already started Part 2. Can't wait for it complete.
by KAug 11, 2017
Tests your endurance and helps you improve your MS Excel skills. I had been working on it for some months before I was able to complete it. It was very challenging but rewarding.
by GWFeb 25, 2017
Wonderful course with helpful materials and assignments. I especially appreciate the depth of assignments, which really helped me discover blind spots in my knowledge structure.
by JLDec 24, 2017
Great course. Challenging quizzes later on but it was definitely worth it to take it (even though I'm already a Finance student and this is literally what I study at school)
by RAFeb 15, 2017
The instructors have come up with an excellent introductory material into valuation of different instruments. The concepts are very clear and the assignments helped a lot.
About Columbia University
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