Financial Engineering and Risk Management Part I

4.6
stars
2,303 ratings
•
452 reviews

Martin Haugh +1 more instructor

377,194 already enrolled

Offered By

Financial Engineering and Risk Management Part I

Columbia University

About this Course

142,787 recent views

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.

Learner Career Outcomes

21%

started a new career after completing these courses

25%

got a tangible career benefit from this course

10%

got a pay increase or promotion

Flexible deadlines

Reset deadlines in accordance to your schedule.

Shareable Certificate

Earn a Certificate upon completion

100% online

Start instantly and learn at your own schedule.

Approx. 18 hours to complete

English

Subtitles: Arabic, French, Portuguese (European), Italian, Vietnamese, German, Russian, English, Spanish

Skills you will gain

PricingFinancial ModelingFinancial RiskFinancial Engineering

Learner Career Outcomes

21%

started a new career after completing these courses

25%

got a tangible career benefit from this course

10%

got a pay increase or promotion

Flexible deadlines

Reset deadlines in accordance to your schedule.

Shareable Certificate

Earn a Certificate upon completion

100% online

Start instantly and learn at your own schedule.

Approx. 18 hours to complete

English

Subtitles: Arabic, French, Portuguese (European), Italian, Vietnamese, German, Russian, English, Spanish

Instructors

Instructor rating

4.56/5 (170 Ratings)

Martin Haugh

Co-Director, Center for Financial Engineering

Industrial Engineering & Operations Research

391,192 Learners

2 Courses

Garud Iyengar

Professor

Industrial Engineering and Operations Research Department

391,192 Learners

2 Courses

Offered by

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.

Syllabus - What you will learn from this course

Content Rating92%(10,845 ratings)

Week

Week 1

29 minutes to complete

Course Overview

An introduction to the course.

29 minutes to complete

1 video (Total 9 min), 2 readings

Week

Week 2

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

Week

Week 3

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

Week

Week 4

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

Week

Week 5

2 hours to complete

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.

2 hours to complete

8 videos (Total 92 min), 2 readings, 1 quiz

8 videos

Introduction to Term Structure Lattice Models11m

The Cash Account and Pricing Zero-Coupon Bonds15m

Fixed Income Derivatives: Options on Bonds9m

Fixed Income Derivatives: Bond Forwards9m

Fixed Income Derivatives: Bond Futures9m

Fixed Income Derivatives: Caplets and Floorlets 8m

Fixed Income Derivatives: Swaps and Swaptions12m

The Forward Equations15m

2 readings

Lesson Supplements10m

Quiz Instructions10m

1 practice exercise

Term Structure Models I30m

Week

Week 6

3 hours to complete

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.

3 hours to complete

8 videos (Total 120 min), 3 readings, 1 quiz

8 videos

Model Calibration17m

An Application: Pricing a Payer Swaption in a BDT Model12m

Fixed Income Derivatives Pricing in Practice6m

Modeling Defaultable Bonds15m

Pricing Defaultable Bonds16m

Credit Default Swaps18m

Pricing Credit Default Swaps12m

Interview with Emmanuel Derman19m

3 readings

Lesson Supplements10m

Quiz Instructions10m

1 practice exercise

Term Structure Models II and Introduction to Credit Derivatives30m

Week

Week 7

2 hours to complete

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.

2 hours to complete

7 videos (Total 93 min), 2 readings, 1 quiz

7 videos

Introduction to Mortgage Mathematics and Mortgage-Backed Securities20m

Prepayment Risk and Mortgage Pass-Throughs16m

Mortgage Pass-Throughs in Excel7m

Principal-Only and Interest-Only MBS13m

Risks of Principal-Only and Interest-Only MBS11m

Collateralized Mortgage Obligations (CMOs)11m

Pricing Mortgage-Backed Securities13m

2 readings

Lesson Supplements10m

Quiz Instructions10m

1 practice exercise

Introduction to Mortgage Mathematics and Mortgage-Backed Securities30m

Week

Week 8

2 hours to complete

Background Material

2 hours to complete

10 videos (Total 139 min), 1 reading

Reviews

4.6

452 reviews

5 stars
75.68%
4 stars
15.96%
3 stars
3.69%
2 stars
1.47%
1 star
3.17%

TOP REVIEWS FROM FINANCIAL ENGINEERING AND RISK MANAGEMENT PART I

by DPMar 8, 2020

I have an engineering / numerics background and enjoyed this course very much. Good overview and comprehensive explanation of mathematical models of fixed income and equities as well as derivatives.

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 JPOct 20, 2019

Perfect course to grasp the fundamental theories in financial engineering and risk management! I deeply appreciate the videos and lecture notes! Hopefully, I can start the next course soon :)

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.

View all reviews

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Financial Engineering and Risk Management Part I

Financial Engineering and Risk Management Part I

About this Course

Learner Career Outcomes

21%

25%

10%

Skills you will gain

Learner Career Outcomes

21%

25%

10%

Instructors

Martin Haugh

Garud Iyengar

Offered by

Columbia University

Syllabus - What you will learn from this course

Week 1

Course Overview

Week 2

Introduction to Basic Fixed Income Securities

Week 3

Introduction to Derivative Securities

Week 4

Option Pricing in the Multi-Period Binomial Model

Week 5

Term Structure Models I

Week 6

Term Structure Models II and Introduction to Credit Derivatives

Week 7

Introduction to Mortgage Mathematics and Mortgage-Backed Securities

Week 8

Background Material

Reviews

TOP REVIEWS FROM FINANCIAL ENGINEERING AND RISK MANAGEMENT PART I

Frequently Asked Questions

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