Concept
Financial engineering
Related lectures (40)
Arbitrage in Multiperiod Models
Explores arbitrage in multiperiod models, covering dynamic trading, absence of arbitrage, trading strategies, discounted prices, and martingales.
Black-Scholes-Merton Model
Covers the Black-Scholes-Merton model, stock dynamics, option pricing, and replicating strategies.
Master of Financial Engineering: Program Overview
Gives an overview of the Master of Financial Engineering program and its key components, such as curriculum structure and elective courses.
ARCH and GARCH Models
Explores ARCH and GARCH models, volatility clustering, time series, estimation, and filtering steps in financial and macroeconomic contexts.
Quantitative Risk Management: VaR and ES
Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.
Copulas: Modeling Dependence in Financial Engineering
Explores the fundamentals of copulas and their role in modeling dependence in financial engineering.
Risk-neutral Valuation
Explores risk-neutral valuation for European derivatives, EMMs, trading strategies, and market securities in financial modeling.
Financial Performance Evaluation
Covers fund performance evaluation, empirical evidence, anomalies, factor models, and the comparison between APT and CAPM.
Financial Innovation: Implied Volatility
Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.
Principles of Finance: CAPM and Portfolio Management
Explores the CAPM, risk premiums, efficient portfolios, and market efficiency.