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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
Week 1
2 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 lines
6 videos (Total 97 min), 2 readings, 1 quiz
6 videos
Overview of Mean Variance19m
Introduction to Mean Variance in Excel9m
Efficient Frontier19m
Mean Variance with a Risk-free Asset14m
Risk-free Frontier in Excel13m
Capital Asset Pricing Model20m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Mean-Variance Analysis and CAPM Problem Set14m
Week 2
2 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 quiz
6 videos
Implementation Difficulties with Mean Variance20m
Negative Exposures and Leveraged ETFs14m
Beyond Variance13m
Statistical Biases in Performance Evaluation17m
How Should Average Returns be Computed?14m
Survivorship Bias and Data Snooping23m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Practical Issues in Implementing Mean Variance Problem Set14m
Week 3
2 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 quiz
7 videos
Review of the Binomial Model for Option Pricing10m
The Black-Scholes Model8m
The Greeks: Delta and Gamma19m
The Greeks: Vega and Theta18m
Risk-Management of Derivatives Portfolios16m
Delta-Hedging14m
The Volatility Surface23m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Equity Derivatives in Practice: Part I16m
Week 4
2 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 reading
5 videos
The Volatility Surface in Action9m
Why is There a Skew?14m
What the Volatility Surface Tells Us17m
Pricing Derivatives Using the Volatility Surface21m
Beyond the Volatility Surface and Black-Scholes19m
1 reading
Lesson Supplements10m
Week 5
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 quiz
9 videos
Structured Credit: CDOs and Beyond8m
The Gaussian Copula Model18m
A Simple Example: Part I13m
A Simple Example: Part II15m
The Mechanics of a “Synthetic” CDO Tranche10m
Computing the Fair Value of a CDO Tranche14m
Cash and Synthetic CDOs10m
Pricing and Risk Management of CDO Portfolios17m
CDO-Squared’s and Beyond13m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Credit Derivatives and Structured Products12m
Week 6
2 hours to complete
Other Applications of Financial Engineering
Real options; energy and commodities modeling; algorithmic trading.
8 videos (Total 90 min), 2 readings, 1 quiz
8 videos
Liquidity, Trading Costs, and Portfolio Execution14m
Optimal Execution10m
Portfolio Execution13m
Optimal Execution in Excel 17m
Optimal Execution in Excel 25m
Real Options12m
Valuation of Natural Gas and Electricity Related Options14m
Real Options in Excel11m
2 readings
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Other Applications of Financial Engineering8m
Week 7
3 hours to complete
Background Material
11 videos (Total 154 min), 1 reading
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