Course 4: Financial Engineering

The course “Financial Engineering” covers the computation of the fair price and the future 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.

Quantitative finance: introduction

• About quantitative finance

• The Checklist: ten-steps for risk and portfolio management

• Valuation foundations

• Financial instruments background definition

Step 0: Valuation

• Linear pricing theory: core

• Fundamental axioms of linear pricing

• Fundamental theorem of asset pricing

Step 0: Valuation continued

• Capital asset pricing model framework

• Linear pricing theory: further assumptions