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Spring 2017 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 GR5030 (formerly G6071) Numerical Methods in Finance

Time: Monday and Wednesday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 14011 Points: 3
Instructor: Tat Sang Fung

STAT GR5265 (formerly G6505) Stochastic Methods in Finance

Two alternative sections:

Section 001

Time: Monday and Wednesday 4:10pm-5:25pm
Location: TBA
Call Number: 76999 Points: 3
Instructor: Yuchong Zhang

Section 002

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: TBA
Call Number: 25614 Points: 3
Instructor: Irene Hueter

MATH GR5050 (formerly G8210) Practitioners’ Seminar

Time: Tuesday and Thursday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 18844 Points: 3
Instructor: Lars Tyge Nielsen

The following core course is not for current first-year full time MAFN students, who have already taken it in the Fall. It is a Fall core courses taught off-schedule. It may be of interest to continuing part-time students.

MATH GR5010 (formerly W4071) Introduction to the Mathematics of Finance

Time: Monday and Wednesday MW 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 25984 Points: 3
Instructor: Mikhail Smirnov

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 GR5510 (formerly G4071) MAFN Fieldwork

Time: N/A
Location: N/A
Call number: 27001 Points: 1-3
Notes: MAFN Students ONLY. Permission of instructor required. Grading: Letter Grade
Prerequisites: All 6 MAFN core courses and at least 6 credits of approved electives. As a consequence, this course is not open to students in their first two semesters
Instructor: Lars Tyge Nielsen

This course provides an opportunity for MAFN students to engage in off-campus internships for academic credit that counts towards the degree.

For course description, rules, and procedures, please see Fieldwork Course (CPT)

Math GR5530 (formerly G4072) Unpaid Internship

Time: N/A
Location: N/A
Call number: 13606 Points: 1
Notes: MAFN Students ONLY. Permission of instructor required. Graded pass / fail
Prerequisites: Three MAFN core courses and at least three credits of MAFN approved electives.
Instructor: Lars Tyge Nielsen

This course provides an opportunity for MAFN students to engage in unpaid internships for academic credit on a pass / fail basis.

For course description, rules, and procedures, please see MAFN Unpaid Internship Course

Math GR5260 (formerly G4074) Programming for Quantitative and Computational Finance

Time: Wednesday 1:10pm-3:40pm
Location: TBA
Call number: 61251 Points: 3
Instructor: TBA

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 GR5360 (formerly G4075) Math Methods in Financial Analysis

Time: Friday 5:00pm-7:20pm.
Location: TBA
Section 001 Call Number: 21825 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 GR5380 (formerly G4078) Multi-Asset Portfolio Management

Time: Monday and Wednesday 6:10pm-7:25pm.
Location: TBA
Section 001 Call Number: 12276 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 GR5400 (formerly W4079) Non-Linear Option Pricing

Time: Friday 6:10pm-8:30pm.
Location: TBA
Section 001 Call Number: 28382 Points: 3
Instructors: Julien Guyon and Bryan Liang

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 GR5261 (formerly W4290) Statistical Methods in Finance

Time: Saturday 8:40am-11:40am
Location: TBA
Call Number: 13430 Points: 3
Instructor: Zhiliang Ying

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.

Class Schedule – Core Courses and MAFN Electives

Course Schedule Spring 2017

Course Schedule Spring 2017

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