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.
Offered By
- Risk Managers
- Financial Analysts
- Traders
- Financial Advisors
- Auditors
Skills you will gain
Syllabus - What you will learn from this course
Course Overview
An introduction to the course.
Introduction to Basic Fixed Income Securities
Review of interest and basic fixed income securities; introduction to arbitrage pricing.
Introduction to Derivative Securities
The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
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.
40%
38%
Top reviews from Financial Engineering and Risk Management Part I
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
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.
Instructors
Martin Haugh
Co-Director, Center for Financial Engineering
Garud Iyengar
ProfessorAbout Columbia University
Frequently Asked Questions
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Once you enroll for a Certificate, you’ll have access to all videos, quizzes, and programming assignments (if applicable). Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments.
What will I get if I purchase the Certificate?
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Is financial aid available?
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