Бакалавриат
2024/2025![Цель освоения дисциплины](/f/src/global/i/edu/objectives.svg)
![Планируемые результаты обучения](/f/src/global/i/edu/results.svg)
![Содержание учебной дисциплины](/f/src/global/i/edu/sections.svg)
![Промежуточная аттестация](/f/src/global/i/edu/intermediate_certification.svg)
![Список литературы](/f/src/global/i/edu/library.svg)
Финансовая инженерия
Статус:
Курс по выбору (Совместная программа по экономике НИУ ВШЭ и РЭШ)
Направление:
38.03.01. Экономика
Где читается:
Факультет экономических наук
Когда читается:
3-й курс, 1, 2 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Язык:
русский
Кредиты:
6
Контактные часы:
64
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
Промежуточная аттестация
- 2024/2025 2nd module0.33 * Активность + 0.33 * Промежуточная контрольная + 0.34 * Финальная контрольная
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