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Columbia University vía Coursera
GRATIS

Financial Engineering and Risk Management Part II

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    Cursos gratis (Auditar)

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  • 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
  • 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.
  • 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.
  • 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.
  • 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.
  • Other Applications of Financial Engineering
    • Real options; energy and commodities modeling; algorithmic trading.
  • Background Material