Финансовая инженерия

2022/2023

Учебный год

RUS

Обучение ведется на русском языке

6

Кредиты

Кто читает:

Отдел сопровождения учебного процесса в Совместном бакалавриате ВШЭ-РЭШ

Статус:

Курс по выбору

Когда читается:

3-й курс, 1, 2 модуль

Преподаватель

Горовой Вячеслав Сергеевич

Программа дисциплины

Аннотация

The course is an introduction to the theory and practice of financial engineering (quantitative finance). The material will be particularly relevant to students interested in financial markets, securities trading and structured products development involving derivatives. Because of the quantitative nature of the course, Python is used for lecture notes and HWs.

Цель освоения дисциплины

• The objective of the course is to undertake a rigorous study of derivative financial instruments. The course is aimed at introducing students to: o key concepts of derivative markets, such as underlying security, replication, no arbitrage, as well as main types of derivative instruments; o ways of option pricing both in discrete and continuous time; o approaches to pricing with multiple sources of uncertainty, etc.

Планируемые результаты обучения

• To distinguish between main derivative instruments and different types of options.
• To find an option price through binomial pricing.
• To find an option price using Black-Scholes approach.
• To find an option price under multiple sources of uncertainty.
• To apply Structural and reduced-form approach to credit risk modelling to calculate default probabilities
• To explain main differences between the different types derivatives and understand their nature, outline how the OTC derivatives work.
• To do bond hedging with bond futures
• To be able to use difference between conversion factors for calculations
• To construct swap contract for a given position of a firm
• To calculate returns on particular structured products

Содержание учебной дисциплины

• Introduction to derivative.
• Interest rates Review.
• Forward and Futures contracts:
• Interest Rate (IR) Derivatives
• Introduction to Options
• The binomial model of asset price dynamics.
• The Black−Scholes Model
• Hedging
• Volatility
• Credit Value Adjustment
• Structured Products
• Market inefficiencies. Long/short strategies. Performance metrics. Examples.
• Quant job interviews

Элементы контроля

• 6 homework problem sets
  30% (5% each)
• Game
  5%
• Class Participation (based on quizzes)
  10%
• Mid-term Test
• Final Test
  30% of the final score

Промежуточная аттестация

• 2022/2023 учебный год 2 модуль
  0.25 * Mid-term Test + 0.05 * Game + 0.3 * Final Test + 0.3 * 6 homework problem sets + 0.1 * Class Participation (based on quizzes)

Список литературы

Рекомендуемая основная литература

• Hull, J. C. (2017). Options, Futures, and Other Derivatives, Global Edition. [Place of publication not identified]: Pearson. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1538007
• Paul Wilmott. (2013). Paul Wilmott on Quantitative Finance. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=185503

Рекомендуемая дополнительная литература

• Keith Cuthbertson, Dirk Nitzsche, & Niall O’Sullivan. (2019). Derivatives : Theory and Practice. [N.p.]: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2271231