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Financial Engineering and Risk Management


Provider
coursera

Price
Free

School
Columbia University

Type
University

Instructors
Martin Haugh, Garud Iyengar

Categories
Mathematics, Economics & Finance

Duration
10 weeks

Format
Video

Language
English

Description
Financial Engineering is a multidisciplinary field involving finance and economics, mathematics, statistics, engineering and computational methods.  The emphasis of this course will be on the use of simple stochastic models and optimization for portfolio optimization, derivatives pricing and risk management.  Our examples will draw from many asset classes including equities, fixed income, credit, mortgage-backed securities and structured products. We will also consider the role that some of these asset classes played during the financial crisis. If time permits, we will also discuss other applications including real options, energy and commodities modeling, and algorithmic trading among others. We will also feature some interview modules with Emanuel Derman, the renowned ``quant'' and best-selling author of "My Life as a Quant".  We hope that students who complete the course 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.