Please consult the Directory of Classes for authoritative up-to-date information. Information like this changes frequently, and the present page is not necessarily kept up to date.

**THE FOLLOWING INFORMATION IS TENTATIVE**

Note that the Department of Statistic in some cases offers two or more “versions” of the same course, with different course numbers.

### Core Courses

**Math GR 5010 Intro to the Math of Finance**

Time: Monday and Wednesday 7:40pm-8:55pm

Call Number: 70828 Points: 3

Instructor: Mikhail Smirnov

**Stat GR 5263 Statistical Inference / Time-Series Modelling**

**MAFN students should NOT register for the other version of this course, Stat GU 4263**

Two alternative sections:

**Section 001**

Time: Tuesday and Thursday 6:10pm-7:25pm

Location: 301 Pupin Laboratories

Call Number: 11945 Points: 3

Instructor: Pawel Polak

**Section 002**

Time: Saturday 10:10am-12:40pm

Location: 501 Northwest Corner Building

Call Number: 62953 Points: 3

Instructor: Pawel Polak

**Stat GR 5264 Stochastic Processes – Applications I**

**MAFN students should NOT register for the other version of this course, Stat GU 4264**

Two alternative sections:

**Section 001**

Time: Monday and Wednesday 6:10pm-7:25pm

Location: 614 Schermerhorn Hall

Call Number: 62333 Points: 3

Instructor: Ruimeng Hu

**Section 002**

Time: Monday and Wednesday 4:10-5:25pm

Location: 833 Seeley W. Mudd Building

Call Number: 17972 Points: 3

Instructor: Lars Tyge Nielsen

### MAFN Electives

In the Fall semester of 2018, the MAFN program offers the following finance electives.

These courses are not mandatory. MAFN students may choose their electives from across the university, subject to the constraints of the MAFN degree requirements and the constraints imposed by the schools and departments offering the courses.

See Elective Course Examples for examples of elective courses that MAFN students have taken in the past.

**Math GR 5220 Quantitative Methods in Investment Management**.

Time: Tuesday 7:40pm-10:00pm.

Location: 312 Mathematics Building

Call Number: 25972 Points: 3

Instructor: Alexander Greyserman

Surveys the field of quantitative investment strategies from a “buy side” perspective, through the eyes of portfolio managers, analysts and investors. Financial modeling there often involves avoiding complexity in favor of simplicity and practical compromise. All necessary material scattered in finance, computer science and statistics is combined into a project-based curriculum, which give students hands-on experience to solve real world problems in portfolio management. Students will work with market and historical data to develop and test trading and risk management strategies. Programming projects are required to complete this course.

**Math GR 5260 Programming for Quantitative and Computational Finance**

Time: Thursday 8:10pm-10:00pm

Location: 312 Mathematics Building

Call Number: 14783 Points: 3

Instructor: Keith Lewis

This course covers features of the C++ programming language which are essential in quantitative/computational finance and its applications. We start by covering basic C++ programming features and then move to some more advance features. We utilize these features for financial engineering and quantitative finance applications primarily for pricing of financial derivatives and computational finance. Those applications include transform techniques, Monte Carlo simulation, calibration and parameter estimation techniques.

**Math GR 5280 Capital Markets and Investments**.

Time: Friday 5:00pm-7:20pm.

Location: 312 Mathematics Building

Call Number: 15248 Points: 3

Instructor: Alexei Chekhlov

Risk/return tradeoff, diversification and their role in the modern portfolio theory, their consequences for asset allocation, portfolio optimization. Capital Asset Pricing Model, Modern Portfolio Theory, Factor Models, Equities Valuation, definition and treatment of futures, options and fixed income securities will be covered.

Many business school finance courses have a Capital Markets and Investments prerequisite, and Math G4076 satisfies this prerequisite. However, even if you satisfy the prerequisite, there is no guarantee that you can cross register into any particular business school course.

**Math GR 5300 Hedge Funds Strategies and Risk**

Time: Tuesday 8:10pm-10:00pm

Location: 417 Mathematics Building

Call Number: 61734 Points: 3

Instructor: Eric Yeh

The hedge fund industry has continued to grow after the financial crisis, and hedge funds are increasingly important as an investable asset class for institutional investors as well as wealthy individuals. This course will cover hedge funds from the point of view of portfolio managers and investors. We will analyze a number of hedge fund trading strategies, including fixed income arbitrage, global macro, and various equities strategies, with a strong focus on quantitative strategies. We distinguish hedge fund managers from other asset managers, and discuss issues such as fees and incentives, liquidity, performance evaluation, and risk management. We also discuss career development in the hedge fund context.

**Math GR 5320 Financial Risk Management and Regulation**

Time: Thursday 8:10pm-10:00pm

Location: 203 Mathematics Building

Call Number: 61053 Points: 3

Instructor: Harvey Stein

Prerequisites: The student is expected to be mathematically mature and to be familiar with probability and statistics, arbitrage pricing theory, and stochastic processes. The course will introduce the notions of financial risk management, review the structure of the markets and the contracts traded, introduce risk measures such as VaR, PFE and EE, overview regulation of financial markets, and study a number of risk management failures. After successfully completing the course, the student will understand the basics of computing parametric VaR, historical VaR, Monte Carlo VaR, cedit exposures and CVA and the issues and computations associated with managing market risk and credit risk. The student will be familiar with the different categories of financial risk, current regulatory practices, and the events of financial crises, especially the most recent one.

**Math GR 5340 Fixed Income Portfolio Management**

Time: Friday 6:10pm-8:00pm

Location: 203 Mathematics Building

Call Number: 66743 Points: 3

Instructor: Rosanna Pezzo

Prerequisites: Students should be comfortable with algebra, calculus, probability, statistics, and stochastic calculus. The course covers the fundamentals of fixed income portfolio management. Its goal is to help the students develop concepts and tools for valuation and hedging of fixed income securities within a fixed set of parameters. There will be an emphasis on understanding how an investment professional manages a portfolio given a budget and a set of limits.