![Trading cost functions, mean-variance-liquidity optimization](https://kzhu.ai/wp-content/uploads/2021/09/Financial-Engineering-Part-II-26-724x1024.jpg)
Liquidity, Portfolio Execution, Real Options
Liquidity What is Liquidity and what is a liquidity security is very hard to define in practice. Liquid...
![Gaussian Coupla Model](https://kzhu.ai/wp-content/uploads/2021/09/Financial-Engineering-Part-II-21-724x1024.jpg)
Credit Derivatives and Structured Products
Securitization Securitization is the process of constructing new securities from the cash flows generated by a pool of...
![Self-financing strategy, Black-Scholes models](https://kzhu.ai/wp-content/uploads/2021/09/Financial-Engineering-Part-II-14-724x1024.jpg)
Risk Management: Equity Derivatives in Practice
Review of Self-Financing Trading Strategy A self-financing trading strategy is a trading strategy ΞΈt = (xt, yt) where...
![Parameter estimation, robust constraints, shrinkage methods](https://kzhu.ai/wp-content/uploads/2021/08/Financial-Engineering-Part-II-10-724x1024.jpg)
Financial Engineering: Implementing Mean-Variance
There are many aspects of implementation details of mean-variance. 3 of them are the most important. Parameter estimation...
![Assets and Portfolios](https://kzhu.ai/wp-content/uploads/2021/08/Financial-Engineering-Part-II-2-724x1024.jpg)
Assets & Portfolios: Mean-Variance Optimization
Assets and Portfolios I’ve got a certain amount of money, I want to split it among various assets...
![Certificate Financial Engineering and Risk Management Part I](https://kzhu.ai/wp-content/uploads/2021/07/Coursera-54W7KRTSKTUC-1024x791.jpg)
My #64 course certificate from Coursera
Financial Engineering and Risk Management Part IColumbia University An amazing course from a prestigious university! This course touches...
![Level-payment mortgage](https://kzhu.ai/wp-content/uploads/2021/07/Financial-Engineering-and-Risk-Management-Part-I-34-724x1024.jpg)
Mortgage Backed Securities
Mortgage based securities are a particular kind of asset-based securities. They are asset-backed by underlying pools of securities...
![Defaultable bonds, defaultable ZCBs with no recovery](https://kzhu.ai/wp-content/uploads/2021/07/Financial-Engineering-and-Risk-Management-Part-I-29-724x1024.jpg)
Pricing Defaultable Bonds and Credit Default Swap
Defaultable Bonds A defaultable bond has these characters: We have to specify the probability of default by working...
![Term structure of interest rate, Binomial models for the short rate](https://kzhu.ai/wp-content/uploads/2021/07/Financial-Engineering-and-Risk-Management-Part-I-21-scaled-e1636896364927.jpg)
Financial Engineering: Term Structure Models
Fixed Income Derivatives Fixed income markets are enormous and in fact bigger than equity markets. Fixed income derivative...
![3-period binomial model, Pricing European call option, Pricing American put option](https://kzhu.ai/wp-content/uploads/2021/06/Financial-Engineering-and-Risk-Management-Part-I-14-724x1024.jpg)
Multi-Period Binomial Model
Multi-period binomial model Multi-period binomial model is really just a series of one-period model spliced together. When pricing...
![Swaps, Effective rates, Pricing interest rate swap](https://kzhu.ai/wp-content/uploads/2021/06/Financial-Engineering-and-Risk-Management-Part-I-7-724x1024.jpg)
Derivative Securities: Swaps, Futures and Options
Swaps Why do companies or entities construct swaps? Because they want to change the nature of cash flows,...