[DOWNLOAD] Financial Engineering & Risk Management Part I & II {1.74GB}


Download Files Size: 1.74 GB Value: $197

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.

Syllabus – What you will learn from this course


12 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 lines6 videos (Total 97 min), 2 readings, 1 quiz6 videosOverview of Mean Variance19mIntroduction to Mean Variance in Excel9mEfficient Frontier19mMean Variance with a Risk-free Asset14mRisk-free Frontier in Excel13mCapital Asset Pricing Model20m2 readingsLesson Supplements10mQuiz Instructions10m1 practice exerciseMean-Variance Analysis and CAPM Problem Set14mWeek

22 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.6 videos (Total 103 min), 2 readings, 1 quiz6 videosImplementation Difficulties with Mean Variance20mNegative Exposures and Leveraged ETFs14mBeyond Variance13mStatistical Biases in Performance Evaluation17mHow Should Average Returns be Computed?14mSurvivorship Bias and Data Snooping23m2 readingsLesson Supplements10mQuiz Instructions10m1 practice exercisePractical Issues in Implementing Mean Variance Problem Set14mWeek

32 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.7 videos (Total 112 min), 2 readings, 1 quiz7 videosReview of the Binomial Model for Option Pricing10mThe Black-Scholes Model8mThe Greeks: Delta and Gamma19mThe Greeks: Vega and Theta18mRisk-Management of Derivatives Portfolios16mDelta-Hedging14mThe Volatility Surface23m2 readingsLesson Supplements10mQuiz Instructions10m1 practice exerciseEquity Derivatives in Practice: Part I16mWeek

42 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.5 videos (Total 82 min), 1 reading5 videosThe Volatility Surface in Action9mWhy is There a Skew?14mWhat the Volatility Surface Tells Us17mPricing Derivatives Using the Volatility Surface21mBeyond the Volatility Surface and Black-Scholes19m1 readingLesson Supplements10m

  • Week5

3 hours to complete

Credit Derivatives and Structured Products

Mechanics and pricing of CDOs; exotic structured credit securities including CDO-squared’s and CDO-cubed’s. Risk management of these products and their role in the financial crisis.9 videos (Total 122 min), 2 readings, 1 quiz9 videosStructured Credit: CDOs and Beyond8mThe Gaussian Copula Model18mA Simple Example: Part I13mA Simple Example: Part II15mThe Mechanics of a “Synthetic” CDO Tranche10mComputing the Fair Value of a CDO Tranche14mCash and Synthetic CDOs10mPricing and Risk Management of CDO Portfolios17mCDO-Squared’s and Beyond13m2 readingsLesson Supplements10mQuiz Instructions10m1 practice exerciseCredit Derivatives and Structured Products12mWeek

62 hours to complete

Other Applications of Financial Engineering

Real options; energy and commodities modeling; algorithmic trading.8 videos (Total 90 min), 2 readings, 1 quiz8 videosLiquidity, Trading Costs, and Portfolio Execution14mOptimal Execution10mPortfolio Execution13mOptimal Execution in Excel 17mOptimal Execution in Excel 25mReal Options12mValuation of Natural Gas and Electricity Related Options14mReal Options in Excel11m2 readingsLesson Supplements10mQuiz Instructions10m1 practice exerciseOther Applications of Financial Engineering8mWeek

73 hours to complete

Background Material

11 videos (Total 154 min), 1 reading



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