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Financial Engineering

Informacje ogólne

Kod przedmiotu: 2400-ZEWW789 Kod Erasmus / ISCED: 14.3 / (0311) Ekonomia
Nazwa przedmiotu: Financial Engineering
Jednostka: Wydział Nauk Ekonomicznych
Grupy: Anglojęzyczna oferta zajęć WNE UW
Punkty ECTS i inne: (brak)
zobacz reguły punktacji
Język prowadzenia: angielski
Rodzaj przedmiotu:


Skrócony opis:

The objective of this course is to teach students the concepts of financial engineering and how different financial products are designed. Lectures will illustrate these simple concepts using interesting examples. The course will also cover how financial products are designed to analyze different financial transcations so as to mitigate different risks. In this context we will initially cover topics related to stochastic calculus; Weiner Processes and Ito’s Lemma; Stochastic differential equations; Martingles and measures; etc., different financial instruments like forwards, futures, swaps, etc. Furthermore we will be interested to understand how these concepts are used for risk and volatility mitigation. After going through the lectures and study materials the student would also be well aware of Delta hedging; Arbitraging mis-priced options. Ideas along with some interesting examples related to VaR, CVaR, ER, ES, , standard deviation, etc., would also covered.

Pełny opis:

Introduction and concept of Fundamentals of financial systems and domain knowledge of financial management; Introduction to stochastic calculus; Weiner Processes and Ito’s Lemma; Stochastic differential equations; Martingles and measures; Numerical procedures, Binomial and trinomial tress; Monte Carlo simulation; Finite difference methods; Introduction and definition of forward and future; Difference between forward and future contracts; Futures and forwards on commodities and currencies; Definition of swaps; Interest rate swaps; Currency rate swaps; Combination of interest and currency rate swaps; Definition of Options; Payoff diagrams; Payoff matrix; General; arbitrage relationship; The binomial method; Application to hedging and speculating; Delta hedging; Arbitraging mis-priced options; Pricing of stock options on stock indices, currencies and futures.; Introduction to risk, Property of coherent measure of risk; Examples of different types of financial risk measures, like standard deviation, beta, Value at Risk (VaR), Conditional Value at Risk (CVaR), Expected Shortfall (ES), Expected Regret (ER), etc.


Text Book

1) Jorion, Philippe. (2010), Financial Risk Manager Handbook, Wiley, ISBN: 978-0-470-90401-5.

Other References

1) Hull, John C., (2010), Risk Management and Financial Institutions, Prentice Hall, ISBN-10: 0136102956.

2) McNeil, von Alexander J., Frey, Rüdiger and Embrechts, Paul, (2005), Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University, ISBN: 978-0691122557.

3) Marrison, Chris, (2005), Fundamentals Of Risk Measurement, Tata Mcgraw Hill Publishing, ISBN: 9780070599925.

4) Mun, Johnathan, (2010), Modeling Risk: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization, Wiley, ISBN: 978-0-470-59221-2.

5) Stuart, Michael Ong, (2005), Risk Management: A Modern Perspective, Academic Press, ISBN: 978-0-12-088438-4.

Efekty uczenia się:

Knowledge: At the end of this course the student will be familiar with designing different types of financial instruments, different financial risk mitigation techniques, how swaps and derivaives are used for hedging and arbitrage opportunities. The problem sessions will enable the students to use mathematical concepts copula theory in EVT and EVD. By working through different examples the student will understand when to use the different risk models so that risk mitigation can be done effectively.

Abilities: Upon completion of the course, a student should be able understand how different instruments are designed, how different risks and volatility concepts are formulated, how swaps, forwards, futures, options in different combinations are used to study/reduce risks. The student should also be able to identify the variables which influence risk levels in financial markets and how they can be quantified. Finally they will also understand how to use real data from financial marks to learn the concepts of financial risk management

KW01, KW02, KW03, KU01, KU02, KU03, KK01, KK02, KK03

Metody i kryteria oceniania:

• Class Test/Quizzes (25%)

• Take Home Assignment (25%)

• Written examinations (60%)

Przedmiot nie jest oferowany w żadnym z aktualnych cykli dydaktycznych.
Opisy przedmiotów w USOS i USOSweb są chronione prawem autorskim.
Właścicielem praw autorskich jest Uniwersytet Warszawski.