Martin Haugh

Professor Martin Haugh is co-Director of the Center for Financial Engineering at Columbia University. He originally joined Columbia University in January 2002 and was a faculty member in the Department of Industrial Engineering and Operations Research until June 2005. During this time his teaching and research focused on financial engineering. Between 2005 and 2009, Professor Haugh worked in the hedge fund industry in both New York and London, specializing in equity and credit derivatives. He returned to Columbia in July 2009. Professor Haugh holds a PhD in Operations Research from MIT and also holds Master of Science degrees from the University of Oxford and University College Cork.

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Advanced Topics in Derivative Pricing (Coursera)

This course discusses topics in derivative pricing. The first module is designed to understand the Black-Scholes model and utilize it to derive Greeks, which measures the sensitivity of option value to variables such as underlying asset price, volatility, and time to maturity. Greeks are important in risk management and [...]

Computational Methods in Pricing and Model Calibration (Coursera)

This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will introduce different types of options in the market, followed by an in-depth discussion into numerical techniques helpful in pricing them, e.g. Fourier Transform (FT) and Fast Fourier Transform (FFT) [...]

Optimization Methods in Asset Management (Coursera)

This course focuses on applications of optimization methods in portfolio construction and risk management. The first module discusses portfolio construction via Mean-Variance Analysis and Capital Asset Pricing Model (CAPM) in an arbitrage-free setting. Next, it demonstrates the application of the security market line and sharpe optimal portfolio in the [...]

Introduction to Financial Engineering and Risk Management (Coursera)

Introduction to Financial Engineering and Risk Management course belongs to the Financial Engineering and Risk Management Specialization and it provides a fundamental introduction to fixed income securities, derivatives and the respective pricing models. The first module gives an overview of the prerequisite concepts and rules in probability and optimization. [...]

Term-Structure and Credit Derivatives (Coursera)

This course will focus on capturing the evolution of interest rates and providing deep insight into credit derivatives. In the first module we discuss the term structure lattice models and cash account, and then analyze fixed income derivatives, such as Options, Futures, Caplets and Floorlets, Swaps and Swaptions. In [...]