Financial Engineering

This is a course that covers a number of topics in financial engineering that are of importance to academics and practitioners.  Its aim is to bridge the gap between the theory and practice of financial engineering.  Cutting edge developments will also be presented.  The course is designed for those who aim to participate (or already participating) in the Greek and international derivatives markets as traders, research analysts, or fund managers. It will also be helpful to prospective doctoral students.  The following topics will be covered among others:

1.    Immunizing interest rate risk (principal components analysis as an alternative to duration).
2.    Structuring swaps (plain vanilla  interest rate, equity and credit default swaps will be discussed).
3.    Synthesizing assets via option positions.
4.    Pricing options: Basic models (Binomial model, Black-Scholes model).
5.    Risk Management of Option positions: Greeks.
6.    Pricing Options: Implied volatility smiles and more realistic models (Stochastic Volatility Models, Jump models, Implied Volatility Trees).
7.    Pricing Options: Monte Carlo simulation.
8.    Exotic Options (Barrier options, Asian options, Lookbacks).
9.    Trading Volatility.

The Lecture’s notes will be distributed. These draw on material from the course textbooks and the recommended references.