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Spring 2015 MAFN Courses

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.

Core Courses

MATH G6071 Numerical Methods in Finance

Time: Monday and Wednesday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 19061 Points: 3
Instructor: Tat Sang Fung

STAT G6505 Stochastic Methods in Finance

Two alternative sections:

Section 001

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: TBA
Call Number: 18752 Points: 3
Instructor: Irene Hueter

Section 002

Time: Monday and Wednesday 4:10pm-5:25pm
Location: TBA
Call Number: 14127 Points: 3
Instructor: Hongzhong Zhang

MATH G8210 Practitioners’ Seminar

Time: Tuesday and Thursday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 61205 Points: 3
Instructor: Lars Tyge Nielsen

The following two core courses are not for current first-year full time MAFN students, who have already taken them in the Fall. Both courses are Fall core courses taught off-schedule. They may be of interest to continuing part-time students.

MATH W4071 Introduction to the Mathematics of Finance

Time: Monday and Wednesday MW 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 12938 Points: 3
Instructor: Mikhail Smirnov

Stat G6501 Stochastic Processes – Applications I

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: TBA
Section 001 Call Number: 11287 Points: 3
Instructor: Jose Blanchet

MAFN Electives

In the Spring semester of 2014, 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 inspiration.

Math G4072 Unpaid Internship

Time: N/A
Location: N/A
Call number: 27799 Points: 1
Notes: MAFN Students ONLY. Permission of instructor required. Graded pass / fail
Instructor: Lars Tyge Nielsen

For detailed information, see MAFN Unpaid Internship Course

Prerequisites: Three MAFN core courses and at least three credits of MAFN approved electives. Permission of the instructor required. This course provides an opportunity for MAFN students to engage in unpaid internships for academic credit on a pass / fail basis. For unpaid internships only. The MAFN program does not assist students in obtaining internships.

Registration and Approval Procedures

Interested students should register during the normal registration period. This will result in them being put on a waiting list, but they will not be admitted into the course at that time. To get into the course, students need to find an internship and get it approved by the instructor / MAFN Office. Once it is approved, they will be admitted from the waiting list, or alternatively, they can register using a registration adjustment form (add/drop form). Be aware that (in rare cases) there may be tuition consequences of being admitted into the course.

Math G4074 Programming for Quantitative and Computational Finance

Time: Tuesday 3:00pm-5:20pm
Location: To be announced
Call number: 87899 Points: 3
Notes: Open to MAFN Students ONLY.
Maximum enrollment 35. Permission of instructor required.
Instructor: Ali Hirsa

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 G4075 Math Methods in Financial Analysis

Time: Friday 5:00pm-7:20pm.
Location: TBA
Section 001 Call Number: 23661 Points: 3
Instructor: Alexei Chekhlov

This course covers modern statistical and physical methods of analysis and prediction of financial price data. Methods from statistics, physics and econometrics will be presented with the goal to create and analyze different quantitative investment models.

Math G4078 Multi-Asset Portfolio Management

Time: Monday and Wednesday 6:10pm-7:25pm.
Location: TBA
Section 001 Call Number: 18908 Points: 3
Instructors: Inna Okounkova, Colm O’Cinneide and Irina Bogacheva

The course will cover practical issues such as: how to select an investment universe and instruments, derive long term risk/return forecasts, create tactical models, construct and implement an efficient portfolio,to take into account constraints and transaction costs, measure and manage portfolio risk, and analyze the performance of the total portfolio.

Math W4079 Non-Linear Option Pricing

Time: Friday 6:10pm-8:30pm.
Location: TBA
Section 001 Call Number: 68349 Points: 3
Instructors: Julien Guyon and Sylvain Corlay

Prerequisites: We assume familiarity with Brownian motion, Itô’s formula, stochastic differential equations, and Black-Scholes option pricing.

Nonlinear Option Pricing is a major and popular theme of research today in quantitative finance, covering a wide variety of topics such as American option pricing, uncertain volatility, uncertain mortality, different rates for borrowing and lending, calibration of models to market smiles, credit valuation adjustment (CVA), transaction costs, illiquid markets, super-replication under delta and gamma constraints, etc.

The objective of this course is twofold: (1) introduce some nonlinear aspects of quantitative finance, and (2) present and compare various numerical methods for solving high-dimensional nonlinear problems arising in option pricing.

Stat W4290 Statistical Methods in Finance
Time: Friday 10:10am-12:40pm
Location: To be announced
Call Number: 27452 Points: 3
Instructor: Hammou Elbarmi

Markowitz mean-variance portfolio theory, capital asset pricing model, multivariate linear regression, factor model, financial time series models, bootstrap, fixed income securities and credit risk, survival analysis models, value at risk, multivariate distribution, copula, interest rate models, principal component analysis.

For students who do not have a strong background in Linear Regression, we also recommend

Stat W4315 Linear Regression Models.

Theory and practice of regression analysis, simple and multiple regression, including testing, estimation, and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, colinearity and confounding, model selection, geometry of least squares. Extensive use of the computer to analyse data.

Two sections are offered in the Spring of 2014:

Section 001

Time: Tuesday and Thursday 1:10am-2:25am
Location: To be announce
Section 001 Call Number: 63865 Points: 3
Instructor: Yang Feng

Section 002

Time: Monday and Wednesday 6:10pm-7:25pm
Location: To be announced
Section 002 Call Number: 70604 Points: 3
Instructor: Emmanuel Ben-David

Class Schedule – Core Courses and MAFN Electives

Course Schedule Spring 2015

Course Schedule Spring 2015

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