Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part II will be on the use of simple stochastic models to (i) solve portfolio optimization problems (ii) price derivative securities in various asset classes including equities and credit and (iii) consider some advanced applications of financial engineering including algorithmic trading and the pricing of real options. We will also consider the role that financial engineering played during the financial crisis.
Offered By
Financial Engineering and Risk Management Part II
Columbia University
About this Course
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Learner Career Outcomes
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started a new career after completing these courses
47%
got a tangible career benefit from this course
22%
got a pay increase or promotion
Skills you will gain
Real Options ValuationDerivative (Finance)Risk ManagementReal Options
Learner Career Outcomes
30%
started a new career after completing these courses
47%
got a tangible career benefit from this course
22%
got a pay increase or promotion
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Approx. 29 hours to complete
English
Subtitles: English
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
2 hours to complete
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
2 hours to complete
6 videos (Total 97 min), 2 readings, 1 quiz
6 videos
Introduction to Mean Variance in Excel9m
Efficient Frontier19m
Mean Variance with a Risk-free Asset14m
Risk-free Frontier in Excel13m
Capital Asset Pricing Model20m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Mean-Variance Analysis and CAPM Problem Set14m
2 hours to complete
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.
2 hours to complete
6 videos (Total 103 min), 2 readings, 1 quiz
6 videos
Negative Exposures and Leveraged ETFs14m
Beyond Variance13m
Statistical Biases in Performance Evaluation17m
How Should Average Returns be Computed?14m
Survivorship Bias and Data Snooping23m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Practical Issues in Implementing Mean Variance Problem Set14m
2 hours to complete
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.
2 hours to complete
7 videos (Total 112 min), 2 readings, 1 quiz
7 videos
The Black-Scholes Model8m
The Greeks: Delta and Gamma19m
The Greeks: Vega and Theta18m
Risk-Management of Derivatives Portfolios16m
Delta-Hedging14m
The Volatility Surface23m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Equity Derivatives in Practice: Part I16m
2 hours to complete
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.
2 hours to complete
5 videos (Total 82 min), 1 reading
5 videos
Why is There a Skew?14m
What the Volatility Surface Tells Us17m
Pricing Derivatives Using the Volatility Surface21m
Beyond the Volatility Surface and Black-Scholes19m
1 reading
Lesson Supplements10m
4.7
83 ReviewsTop reviews from Financial Engineering and Risk Management Part II
I really enjoyed this course and learned a lot. The quizzes were challenging but really forced me to think through the problems. The forums were very helpful when I got stuck. Thanks Professors!
One of the best courses available on Coursera! If you're interested in Quantitative Finance or trying to get a good idea of what financial engineering entails, please take this course.
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