Course 4: Financial Engineering
Financial Engineering covers the computation of the fair valuation and joint return distribution for the main asset classes of financial instruments.
In particular, this course covers the following topics:- Valuation across financial instruments, including linear pricing theory foundations, risk-neutral valuation for derivatives, capital asset pricing framework.
- Identification, modeling and forecasting of key risk drivers for the returns of equities, fixed income, derivatives, credit, high frequency, foreign exchange
- Repricing techniques: Monte Carlo full repricing, analytical Greeks approximations
After the course you will obtain a Statement of Completion. Furthermore, you can choose to complete an optional code-based project that will count as one of the two Practical Projects towards the ARPM Certification.
The Checklist: Overview
Step 1 - Valuation models
Step 2 - Risk drivers identification
Step 3a - Univariate quest for invariance
Step 3b - Multivariate quest and forecasting
Step 4 - Repricing
