Магистратура
2024/2025
Производные финансовые инструменты и финансовый инжиниринг
Статус:
Курс обязательный (Финансы)
Направление:
38.04.08. Финансы и кредит
Кто читает:
Банковский институт
Где читается:
Банковский институт
Когда читается:
2-й курс, 1 модуль
Формат изучения:
с онлайн-курсом
Онлайн-часы:
20
Охват аудитории:
для своего кампуса
Прогр. обучения:
Финансы
Язык:
английский
Кредиты:
6
Контактные часы:
14
Course Syllabus
Abstract
Financial derivatives have been used for hedging in a number of novel ways in recent years. The focus of hedging is changing from minimising variance to minimum value at risk or minimum projected shortfall, which is a specific instance of or an approximation to expected utility maximisation. The so-called HEAVY models, which are used in dynamic hedging strategies, now take into account realised volatility produced from high-frequency data. Additionally, quantile estimators, shrinkage estimators, and enhanced non-parametric estimating are all used in hedging ratio decisions. For better hedging performance, cross-market interactions within the panel data models are also taken into consideration. Although the majority of these new approaches concentrate on forward and futures contracts, similar considerations can also be used to options and other derivatives.
Financial markets encompass any location or system that gives buyers and sellers the ability to trade financial instruments, such as bonds, shares, different international currencies, and derivatives. The connection between people with capital to invest and those who need capital is facilitated by financial markets. Financial markets enable participants to transfer risk (often through derivatives) and advance trade in addition to making it feasible to raise funds. Financial market transactions are subject to risk even while regulations and best practises serve as a guidance. The Office of the Controller of the Currency (OCC) advises and assists national banks that participate in financial market activity. Here, we'll be able to look in details about Counterparties, Risks, Derivatives, Securitization and Trading.
Financial engineering, which includes quantitative modelling, quantitative coding, and risk managing financial products in compliance with regulations and liquidity requirements, is crucial to the customer-driven derivatives business, delivering customised OTC-contracts and "exotics," and implementing various structured products. Aggressive corporate balance sheet restructuring is an older, less popular application of the term "financial engineering." The use of mathematics in finance is known as mathematical finance. Financial engineering is a discipline that includes both computational finance and mathematical finance, that's why we included some implementation of mathematical models described in this course using Python Programming.
The course is designed as a journey through the exciting world of derivatives, where in each lecture students get acquainted with the most commonly used concepts and techniques, grouped by their area of application.