4.7
411 ratings
66 reviews

#### 100% online

Start instantly and learn at your own schedule.

#### Approx. 25 hours to complete

Suggested: 13 hours videos and quizzes...

#### English

Subtitles: English

### Skills you will gain

Real Options ValuationDerivative (Finance)Risk ManagementReal Options

#### 100% online

Start instantly and learn at your own schedule.

#### Approx. 25 hours to complete

Suggested: 13 hours videos and quizzes...

#### English

Subtitles: English

### Syllabus - What you will learn from this course

Week
1
2 hours to complete

## Mean-Variance Analysis and CAPM

Problem formulation and solution; the efficient frontier; including the risk-free asset; the Capital Asset Pricing Model (CAPM);implications of CAPM: α, β, security and capital market lines...
6 videos (Total 97 min), 2 readings, 1 quiz
6 videos
Introduction to Mean Variance in Excel9m
Efficient Frontier19m
Mean Variance with a Risk-free Asset14m
Risk-free Frontier in Excel13m
Capital Asset Pricing Model20m
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Mean-Variance Analysis and CAPM Problem Set14m
Week
2
2 hours to complete

## Practical Issues in Implementing Mean Variance

Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls....
6 videos (Total 103 min), 2 readings, 1 quiz
6 videos
Negative Exposures and Leveraged ETFs14m
Beyond Variance13m
Statistical Biases in Performance Evaluation17m
How Should Average Returns be Computed?14m
Survivorship Bias and Data Snooping23m
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Practical Issues in Implementing Mean Variance Problem Set14m
Week
3
2 hours to complete

## Equity Derivatives in Practice: Part I

Problems with mean-variance analysis; ETFs and leveraged ETFs; VaR and CVaR for asset allocation; survivorship bias, performance evaluation and other statistical pitfalls....
7 videos (Total 112 min), 2 readings, 1 quiz
7 videos
The Black-Scholes Model8m
The Greeks: Delta and Gamma19m
The Greeks: Vega and Theta18m
Risk-Management of Derivatives Portfolios16m
Delta-Hedging14m
The Volatility Surface23m
Lesson Supplements10m
Quiz Instructions10m
1 practice exercise
Equity Derivatives in Practice: Part I16m
Week
4
2 hours to complete

## Equity Derivatives in Practice: Part II

More about Black-Scholes, the Greeks and delta-hedging; the volatility surface; pricing derivatives using the volatility surface; model calibration....
5 videos (Total 82 min), 1 reading
5 videos
Why is There a Skew?14m
What the Volatility Surface Tells Us17m
Pricing Derivatives Using the Volatility Surface21m
Beyond the Volatility Surface and Black-Scholes19m
Lesson Supplements10m
4.7
66 Reviews

## 25%

started a new career after completing these courses

## 83%

got a tangible career benefit from this course

### Top Reviews

By MUAug 23rd 2018

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.

By DLNov 20th 2015

This course is challenging and the skills learnt are valuable. The materials are well-made and formulas well-defined. I hope they provide more practice quizzes.

## Instructors

### Martin Haugh

Co-Director, Center for Financial Engineering
Industrial Engineering & Operations Research

### Garud Iyengar

Professor
Industrial Engineering and Operations Research Department