Financial Engineering & Risk Management Part I & 2

Financial Engineering & Risk Management Part I & 2 Download For Free

Financial Engineering & Risk Management Part I & 2
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Creator – Martin Haugh & Garud Iyengar

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Financial Engineering is a multidisciplinary field drawing from finance and economics, mathematics, statistics, engineering and computational methods. The emphasis of FE & RM Part I will be on the use of simple stochastic models to price derivative securities in various asset classes including equities, fixed income, credit and mortgage-backed securities.

We will also consider the role that some of these asset classes played during the financial crisis. A notable feature of this course will be an interview module 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 begin to understand 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.

The follow-on course FE & RM Part II will continue to develop derivatives pricing models but it will also focus on asset allocation and portfolio optimization as well as other applications of financial engineering such as real options, commodity and energy derivatives and algorithmic trading.


Course Overview

  • -An introduction to the course.
  • Introduction to Basic Fixed Income Securities
  • -Review of interest and basic fixed income securities; introduction to arbitrage pricing.
  • Introduction to Derivative Securities
  • -The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model.
  • Option Pricing in the Multi-Period Binomial Model
  • -Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes.
  • Term Structure Models I
  • -Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities.
  • Term Structure Models II and Introduction to Credit Derivatives
  • -Calibration of term-structure models; the Black-Derman-Toy and Ho-Lee models. Limitations of term-structure models and derivatives pricing models in general. Introduction to credit-default swaps (CDS) and the pricing of CDS and defaultable bonds.
  • Introduction to Mortgage Mathematics and Mortgage-Backed Securities
  • -Basic mortgage mathematics; mechanics of mortgage-backed securities (MBS) including pass-throughs, principal-only and interest-only securities, and CMOs; pricing of MBS; MBS and the financial crisis.
  • Background Material


Martin Haugh
Co-Director, Center for Financial Engineering

Columbia University


Professor Martin Haugh is co-Director of the Center for Financial Engineering at Columbia University. He originally joined Columbia University in January 2002 and was a faculty member in the Department of Industrial Engineering and Operations Research until June 2005. During this time his teaching and research focused on financial engineering. Between 2005 and 2009, Professor Haugh worked in the hedge fund industry in both New York and London, specializing in equity and credit derivatives. He returned to Columbia in July 2009. Professor Haugh holds a PhD in Operations Research from MIT and also holds Master of Science degrees from the University of Oxford and University College Cork.

Garud Iyengar

Columbia University


Professor Garud Iyengar joined Columbia University’s Industrial Engineering and Operations Research Department in 1998 and teaches courses in asset allocation, asset pricing, simulation and optimization. His research interests include convex optimization, robust optimization, queuing networks, combinatorial optimization, mathematical and computational finance, communication and information theory. Professor Iyengar received a Ph.D. in Electrical Engineering from Stanford University. He also holds a Master of Science in Electrical Engineering from Stanford University and a Bachelor of Technology from the Indian Institute of Technology.

Top reviews from Financial Engineering and Risk Management Part I

4.6 rating – 339 Reviews

I appreciate how this course not only discusses the concepts in technical detail, but actually delves into the mathematics of the subject matter, and teaches how to actually do the actual work inv

The content of this course is apropiate for drive the finances and risk, We be lear more about this course\n\nI am Engenier in Sofware, the know of finances is aplicable in anyware software.

Top reviews from Financial Engineering and Risk Management Part II

4.7 ratings – 88 Reviews

I really enjoyed this course and learned a lot. The quizzes were challenging but really forced me to think through the problems. The forums were very helpful when I got stuck. Thanks Professors!

One of the best courses available on Coursera! If you’re interested in Quantitative Finance or trying to get a good idea of what financial engineering entails, please take this course.

Financial Engineering & Risk Management Part I & 2 Download For Free
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