Financial Engineering and Risk Management Part II

Start Date: 02/23/2020

Course Type: Common Course

Course Link:

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About 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.

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Course Introduction

Financial Engineering and Risk Management Part II Financial Engineering is the study of securities transactions, valuations, and the pricing of assets. In this course, you will learn the basic concepts of financial engineering, and how these relate to the real world. We will examine the markets in financial transactions, including the standard deviation and variance of financial assets, the pricing of financial assets such as stocks, bonds, mortgages, and real estate, and the relationship of financial assets to assets, and the pricing of financial liabilities such as debt and equities. In addition, you will learn the basics of asset pricing, and how these relate to risk management. We will also discuss various types of derivative securities, including options, and you will learn how to value these securities. We will also discuss premium payments, including cash payments, and you will learn how to value these securities as well as the pricing of capital investments. We will also discuss the pricing of assets such as mortgage-backed securities, and you will learn the basics of valuing capital investments. We will also discuss the pricing of assets such as equities, and you will learn the basics of valuing capital investments. Upon successful completion of this course, you will be able to: 1. Define the term "securities transactions" 2. Describe the different types of derivative securities 3. Value different types of derivative securities 4. Value different types of capital investments 5. Value different types of capital assets 6. Value different types of capital liabilities

Course Tag

Real Options Valuation Derivative (Finance) Risk Management Real Options

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