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This course follows on from FE & RM Part I. We will consider portfolio optimization, risk management and some advanced examples of derivatives pricing that draw from structured credit, real options and energy derivatives. We will also cast a critical eye on how financial models are used in practice.
About the Course
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.
- 1-1 Course Overview
- 1-2 introduction to no-arbitrage
- 1-3 introduction to no-arbitrage
- 1-4Floating rate bonds and term structure ...
- 2-1 Swaps
- 2-2 Futures
- 2-3 Futures Excel
- 2-4 Options
- 2-5 Options Pricing
- 2-6 The 1-Period Binomial Model
- 2-7 Option Pricing in the 1-Period Binomial Model
- 3-1 The Multi-Period Binomial Model
- 3-2 What’s Going On?
- 3-3Pricing American Options
- 3-4Replicating Strategies Binomial Model
- 3-5Including Dividends
- 3-6Pricing Forwards Futures In the Binomial Model
- 3-7The Black Scholes Model
- 3-8Pricing a European Put on a Futures Contract
- 4-1 Introduction to Term Structure Lattice Models
- 4-2 The Cash Account and Pricing Zero-Coupon Bonds
- 4-3 Fixed Income Derivatives_Options on Bonds
- 4-4 Fixed Income Derivatives_Bond Forwards
- 4-5 Fixed Income Derivatives_Bond Futures
- 4-6 Fixed Income Derivatives_Caplets and Floorlets
- 4-7 Fixed Income Derivatives_Swaps and Swaptions
- 4-8 The Forward Equations
- 5-1 Model Calibration
- 5-2 An Application_Pricing a Payer Swaption in a BDT Model
- 5-3 Fixed Income Derivatives Pricing in Practice
- 5-4 Modeling Defaultable Bonds
- 5-5 Pricing Defaultable Bonds
- 5-6 Credit Default Swaps
- 5-7 Pricing Credit Default Swaps
- 5-8 Completed Interview with Emmanuel Derman
- 6-1 Introduction to Mortgage Mathematics and...
- 6-2 Prepayment Risk and Mortgage Pass-Throughs
- 6-3 Mortgage Pass-Throughs in Excel
- 6-4 Principal-Only and Interest-Only MBS
- 6-5 Risks of Principal-Only and Interest-Only MBS
- 6-7 Pricing Mortgage-Backed-Securities
- 1-1 Course Overview
- 1-2 introduction to no-arbitrage
- 1-3 introduction to no-arbitrage
- 1-4Floating rate bonds and term structure ...
- 2-1 Swaps
- 2-2 Futures
- 2-3 Futures Excel
- 2-4 Options
- 2-5 Options Pricing
- 2-6 The 1-Period Binomial Model
- 2-7 Option Pricing in the 1-Period Binomial Model
- 3-1 The Multi-Period Binomial Model
- 3-2 What’s Going On?
- 3-3Pricing American Options
- 3-4Replicating Strategies Binomial Model
- 3-5Including Dividends
- 3-6Pricing Forwards Futures In the Binomial Model
- 3-7The Black Scholes Model
- 3-8Pricing a European Put on a Futures Contract
- 4-1 Introduction to Term Structure Lattice Models
- 4-2 The Cash Account and Pricing Zero-Coupon Bonds
- 4-3 Fixed Income Derivatives_Options on Bonds
- 4-4 Fixed Income Derivatives_Bond Forwards
- 4-5 Fixed Income Derivatives_Bond Futures
- 4-6 Fixed Income Derivatives_Caplets and Floorlets
- 4-7 Fixed Income Derivatives_Swaps and Swaptions
- 4-8 The Forward Equations
- 5-1 Model Calibration
- 5-2 An Application_Pricing a Payer Swaption in a BDT Model
- 5-3 Fixed Income Derivatives Pricing in Practice
- 5-4 Modeling Defaultable Bonds
- 5-5 Pricing Defaultable Bonds
- 5-6 Credit Default Swaps
- 5-7 Pricing Credit Default Swaps
- 5-8 Completed Interview with Emmanuel Derman
- 6-1 Introduction to Mortgage Mathematics and...
- 6-2 Prepayment Risk and Mortgage Pass-Throughs
- 6-3 Mortgage Pass-Throughs in Excel
- 6-4 Principal-Only and Interest-Only MBS
- 6-5 Risks of Principal-Only and Interest-Only MBS
- 6-7 Pricing Mortgage-Backed-Securities