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Introduction to Financial Engineering and Risk Management
  • Level Professional
  • Duration 18 hours
  • Course by Columbia University
  • Offered by

About

Introduction to Financial Engineering and Risk Management course belongs to the Financial Engineering and Risk Management Specialization and it provides a fundamental introduction to fixed income securities, derivatives and the respective pricing models. The first module gives an overview of the prerequisite concepts and rules in probability and optimization. This will prepare learners with the mathematical fundamentals for the course. The second module includes concepts around fixed income securities and their derivative instruments. We will introduce present value (PV) computation on fixed income securities in an arbitrage free setting, followed by a brief discussion on term structure of interest rates. In the third module, learners will engage with swaps and options, and price them using the 1-period Binomial Model. The final module focuses on option pricing in a multi-period setting, using the Binomial and the Black-Scholes Models. Subsequently, the multi-period Binomial Model will be illustrated using American Options, Futures, Forwards and assets with dividends.

Modules

Course Overview

    • 1 Videos
    • 3 Readings
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1 Videos

  • Course Overview

3 Readings

  • Course Overview
  • About Us
  • Academic Honesty Policy

Introduction to Probability Part I

    • 3 Videos
    • 2 Readings
    • 1 Assignment
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1 Assignment

  • Prerequisite Qualification 1: Probability (I)

3 Videos

  • Discrete Random Variable and Distribution
  • Bayes' Theorem, Continuous Random Variable and Distribution
  • Conditional Expectation and Variance

2 Readings

  • Lesson Supplements
  • Lesson Resources

Introduction to Probability Part II

    • 5 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Prerequisite Qualification: Probability (II), Martingale

5 Videos

  • Multivariate Distribution and Independence
  • The Multivariate Normal Distribution
  • Introduction to Martingale
  • Martingales Example 1
  • Martingales Example 2

1 Readings

  • Lesson Supplements

Introduction to Probability Part III

    • 4 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Prerequisite Qualification: Brownian Motion, Vector

4 Videos

  • Introduction to Brownian Motion
  • Geometric Brownian Motion
  • Vector: Independence and Basis
  • Vector: norm and inner Product

1 Readings

  • Lesson Supplements

Introduction to Probability Part IV

    • 2 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Prerequisite Qualification: Matrix

2 Videos

  • Matrix: Matrix Operations
  • Matrix: Linear Functions and Rank

1 Readings

  • Lesson Supplements

Introduction to Optimization

    • 4 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Prerequisite Qualification: Optimization

4 Videos

  • Linear Optimization: Hedging Problem
  • Linear Optimization: Duality
  • Nonlinear Optimization: Unconstrained Nonlinear Problem
  • Nonlinear Optimization: Largrangian Method

1 Readings

  • Lesson Supplements

Basics of Fixed Income Securities

    • 3 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 3.1 Self-Check Quiz

3 Videos

  • Introduction to No-Arbitrage
  • Present Value of Cash Flow
  • Fixed Income Instruments

1 Readings

  • Lesson Supplements

Basic Fixed Income Instruments

    • 4 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 3.2 Self-Check Quiz

4 Videos

  • Floating Rate Bonds
  • Term Structure of Interest Rates
  • Forward Contracts: Introduction
  • Forward Contracts: An Example

1 Readings

  • Lesson Supplements

Review

    • 1 Assignment
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1 Assignment

  • Introduction to Basic Fixed Income Securities

Swaps and Futures

    • 4 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 4.1 Self-Check Quiz

4 Videos

  • Swaps
  • Futures
  • Hedging Using Futures
  • Futures Excel

1 Readings

  • Lesson Supplements

Options and Options Pricing

    • 4 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 4.2 Self-Check Quiz

4 Videos

  • Options
  • Properties of Options
  • Introduction to Options Pricing
  • A Paradox Example

1 Readings

  • Lesson Supplements

The 1-Period Binomial Model

    • 3 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 4.3 Self-Check Quiz

3 Videos

  • The 1-Period Binomial Model
  • Option Pricing in the 1-Period Binomial Model
  • Pricing Derivative Security int he 1-Period Binomial Model

1 Readings

  • Lesson Supplements

Review

    • 1 Assignment
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1 Assignment

  • Introduction to Derivative Securities

The Multi-Period Binomial Model

    • 3 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 5.1 Self-check Quiz

3 Videos

  • The Multi-Period Binomial Model
  • An Example: 3-Period Binomial Model
  • What’s Going On?

1 Readings

  • Lesson Supplements

Pricing American Options and Replicating Strategies

    • 3 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 5.2 Self-check Quiz

3 Videos

  • Pricing American Options
  • Replicating Strategies and Self-Financing
  • Dynamic Replication and Risk-Neutral Price

1 Readings

  • Lesson Supplements

Dividends, Pricing in the Binomial Model, and the Black-Scholes Model

    • 3 Videos
    • 1 Readings
    • 1 Assignment
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1 Assignment

  • 5.3 Self-check Quiz

3 Videos

  • Pricing with Dividends with Binomial Model
  • Pricing Forwards and Futures with Binomial model
  • The Black-Scholes Model

1 Readings

  • Lesson Supplements

An Example: Pricing a European Put on a Futures Contract

    • 1 Videos
    • 1 Readings
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1 Videos

  • An Example: Pricing a European Put on a Futures Contract

1 Readings

  • Lesson Supplements

Review

    • 1 Readings
    • 1 Assignment
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1 Assignment

  • Option Pricing in the Multi-Period Binomial Model

1 Readings

  • Quiz Instructions

Assignment

    • 2 Readings
    • 1 Discussion
    • 1 Assignment
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1 Assignment

  • Assignment 1

1 Discussions

  • Discussion of the Paradox in Pricing Models

2 Readings

  • Introduction to Assignment
  • Solutions to Assignment 1

Auto Summary

Discover the fundamentals of fixed income securities, derivatives, and pricing models with "Introduction to Financial Engineering and Risk Management." This professional-level course, instructed by experts on Coursera, spans 1080 minutes and covers probability, optimization, swaps, options, and multi-period Binomial and Black-Scholes Models. Ideal for business and management enthusiasts, it offers Starter and Professional subscription options.

Garud Iyengar
Instructors

Garud Iyengar

Ali Hirsa
Instructors

Ali Hirsa

Martin Haugh
Instructors

Martin Haugh