課程信息
4.7
404 ratings
66 reviews
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. We hope that students who complete the course and the prerequisite course (FE & RM Part I) will have a good understanding of 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....
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100% 在線課程

立即開始,按照自己的計劃學習。
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建議:13 hours videos and quizzes

完成時間大約為25 小時
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English

字幕:English

您將獲得的技能

Real Options ValuationDerivative (Finance)Risk ManagementReal Options
Globe

100% 在線課程

立即開始,按照自己的計劃學習。
Calendar

可靈活調整截止日期

根據您的日程表重置截止日期。
Clock

建議:13 hours videos and quizzes

完成時間大約為25 小時
Comment Dots

English

字幕:English

教學大綱 - 您將從這門課程中學到什麼

1

章節
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完成時間為 2 小時

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...
Reading
6 個視頻(共 97 分鐘), 2 個閱讀材料, 1 個測驗
Video6 個視頻
Introduction to Mean Variance in Excel9分鐘
Efficient Frontier19分鐘
Mean Variance with a Risk-free Asset14分鐘
Risk-free Frontier in Excel13分鐘
Capital Asset Pricing Model20分鐘
Reading2 個閱讀材料
Lesson Supplements10分鐘
Quiz Instructions10分鐘
Quiz1 個練習
Mean-Variance Analysis and CAPM Problem Set14分鐘

2

章節
Clock
完成時間為 2 小時

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....
Reading
6 個視頻(共 103 分鐘), 2 個閱讀材料, 1 個測驗
Video6 個視頻
Negative Exposures and Leveraged ETFs14分鐘
Beyond Variance13分鐘
Statistical Biases in Performance Evaluation17分鐘
How Should Average Returns be Computed?14分鐘
Survivorship Bias and Data Snooping23分鐘
Reading2 個閱讀材料
Lesson Supplements10分鐘
Quiz Instructions10分鐘
Quiz1 個練習
Practical Issues in Implementing Mean Variance Problem Set14分鐘

3

章節
Clock
完成時間為 2 小時

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....
Reading
7 個視頻(共 112 分鐘), 2 個閱讀材料, 1 個測驗
Video7 個視頻
The Black-Scholes Model8分鐘
The Greeks: Delta and Gamma19分鐘
The Greeks: Vega and Theta18分鐘
Risk-Management of Derivatives Portfolios16分鐘
Delta-Hedging14分鐘
The Volatility Surface23分鐘
Reading2 個閱讀材料
Lesson Supplements10分鐘
Quiz Instructions10分鐘
Quiz1 個練習
Equity Derivatives in Practice: Part I16分鐘

4

章節
Clock
完成時間為 2 小時

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....
Reading
5 個視頻(共 82 分鐘), 1 個閱讀材料
Video5 個視頻
Why is There a Skew?14分鐘
What the Volatility Surface Tells Us17分鐘
Pricing Derivatives Using the Volatility Surface21分鐘
Beyond the Volatility Surface and Black-Scholes19分鐘
Reading1 個閱讀材料
Lesson Supplements10分鐘
4.7
Direction Signs

25%

完成這些課程後已開始新的職業生涯
Briefcase

83%

通過此課程獲得實實在在的工作福利

熱門審閱

創建者 MUAug 23rd 2018

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.

創建者 DLNov 20th 2015

This course is challenging and the skills learnt are valuable. The materials are well-made and formulas well-defined. I hope they provide more practice quizzes.

講師

Martin Haugh

Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research

Garud Iyengar

Professor
Industrial Engineering and Operations Research Department

關於 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....

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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.

  • When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile. If you only want to read and view the course content, you can audit the course for free.

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