FINANCE 454 - Financial Engineering

Course Description

Investments (Finance 352), Derivatives (Finance 353), and Fixed Income Securities (Finance 450) only scratch the surface of modern financial markets. Today's market participants use far more sophisticated derivative securities to price, trade, and hedge every imaginable aspect of risk. This course gives a glimpse into the state-of-the-art of financial engineering. It surveys the design, market, and valuation of financial products involving volatility, prepayment, and credit risk. Examples of such securities include volatility swaps, VIX futures and options, Mortgage Pass-through Securities (MBS), Collateralized Mortgage Obligations (CMOs), corporate bonds, Credit Default Swaps (CDS), Asset Backed Securities (ABS), Collateralized Loan Obligations (CLOs), and Collateralized Debt Obligations (CDOs).