Финансовая инженерия

Бакалавриат 2024/2025

Статус: Курс по выбору (Совместная программа по экономике НИУ ВШЭ и РЭШ)

Направление: 38.03.01. Экономика

Кто читает: Отдел сопровождения учебного процесса в бакалавриате

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

Полная версия программы учебной 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