Financial Engineering and Risk Management Part I
- 4.6
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Course Summary
Learn the principles of financial engineering and develop the skills to apply them to real-world situations. This course covers the fundamentals of mathematical finance and financial instruments, as well as risk management and portfolio optimization.Key Learning Points
- Understand the basic principles of financial engineering and how to apply them to real-world situations
- Learn about financial instruments such as stocks, bonds, and derivatives
- Develop skills in risk management and portfolio optimization
Related Topics for further study
Learning Outcomes
- Apply mathematical finance principles to real-world situations
- Analyze and manage financial risk
- Optimize investment portfolios
Prerequisites or good to have knowledge before taking this course
- Basic knowledge of calculus and probability theory
- Familiarity with financial markets and instruments
Course Difficulty Level
IntermediateCourse Format
- Online Self-Paced
- Video Lectures
- Quizzes and Assignments
Similar Courses
- Financial Markets
- Investment Management
- Options Trading Strategies
Related Education Paths
- Master of Science in Quantitative Finance
- Certificate in Risk Management
- Certificate in Investment Management
Related Books
Description
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".
Outline
- Course Overview
- Course Overview
- Course Overview
- About Us
- Introduction to Basic Fixed Income Securities
- Introduction to No-arbitrage
- Interest Rates and Fixed Income Instruments
- Floating Rate Bonds and Term Structure of Interest Rates
- Forward Contracts
- Lesson Supplements
- Lesson Supplements
- Introduction to Basic Fixed Income Securities
- Introduction to Derivative Securities
- Swaps
- Futures
- Futures Excel
- Options
- Options Pricing
- The 1-Period Binomial Model
- Option Pricing in the 1-Period Binomial Model
- Lesson Supplements
- Lesson Supplements
- Introduction to Derivative Securities
- Option Pricing in the Multi-Period Binomial Model
- The Multi-Period Binomial Model
- What’s Going On?
- Pricing American Options
- Replicating Strategies
- Including Dividends
- Pricing Forwards and Futures in the Binomial Model
- The Black-Scholes Model
- An Example: Pricing a European Put on a Futures Contract
- Lesson Supplements
- Quiz Instructions
- Option Pricing in the Multi-Period Binomial Model
- Term Structure Models I
- Introduction to Term Structure Lattice Models
- The Cash Account and Pricing Zero-Coupon Bonds
- Fixed Income Derivatives: Options on Bonds
- Fixed Income Derivatives: Bond Forwards
- Fixed Income Derivatives: Bond Futures
- Fixed Income Derivatives: Caplets and Floorlets
- Fixed Income Derivatives: Swaps and Swaptions
- The Forward Equations
- Lesson Supplements
- Quiz Instructions
- Term Structure Models I
- Term Structure Models II and Introduction to Credit Derivatives
- Model Calibration
- An Application: Pricing a Payer Swaption in a BDT Model
- Fixed Income Derivatives Pricing in Practice
- Modeling Defaultable Bonds
- Pricing Defaultable Bonds
- Credit Default Swaps
- Pricing Credit Default Swaps
- Interview with Emmanuel Derman
- Lesson Supplements
- Lesson Supplements
- Quiz Instructions
- Term Structure Models II and Introduction to Credit Derivatives
- Introduction to Mortgage Mathematics and Mortgage-Backed Securities
- Introduction to Mortgage Mathematics and Mortgage-Backed Securities
- Prepayment Risk and Mortgage Pass-Throughs
- Mortgage Pass-Throughs in Excel
- Principal-Only and Interest-Only MBS
- Risks of Principal-Only and Interest-Only MBS
- Collateralized Mortgage Obligations (CMOs)
- Pricing Mortgage-Backed Securities
- Lesson Supplements
- Quiz Instructions
- Introduction to Mortgage Mathematics and Mortgage-Backed Securities
- Background Material
- Review of Basic Probability
- Review of Conditional Expectations and Variances
- Review of Multivariate Distributions
- The Multivariate Normal Distribution
- Introduction to Martingales
- Introduction to Brownian Motion
- Geometric Brownian Motion
- Review of Vectors
- Review of Matrices
- Review of Linear Optimization
- Lesson Supplements
Summary of User Reviews
Financial Engineering 1 is a highly recommended course by many students. The course provides a comprehensive understanding of financial engineering concepts and techniques with real-world applications. Many students found the course to be engaging, informative, and practical.Key Aspect Users Liked About This Course
The course provides practical and real-world applications of financial engineering concepts and techniques.Pros from User Reviews
- Engaging and informative course content
- Real-world applications of financial engineering concepts
- Well-structured and organized course
- Great instructors with in-depth knowledge of the subject
Cons from User Reviews
- The course may be challenging for beginners
- Some students found the course to be too theoretical
- The course may require a significant time commitment
- Limited interaction with instructors and fellow students
- Course materials may not be updated regularly
Martin Haugh
4.6 Raiting
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