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Spring 2018 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 Numerical Methods in Finance

Time: Monday and Wednesday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 13851 Points: 3
Instructor: Tat Sang Fung

MATH GR5050 Practitioners’ Seminar

Time: Tuesday and Thursday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 25851 Points: 3
Instructor: Lars Tyge Nielsen

STAT GR5265 Stochastic Methods in Finance

Two alternative sections:

Section 001

Time: Monday and Wednesday 4:10pm-5:25pm
Location: TBA
Call Number: 62242 Points: 3
Instructor: Pawel Polak

Section 002

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: TBA
Call Number: 76444 Points: 3
Instructor: Irene Hueter

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 course taught off-schedule. It may be of interest to continuing part-time students.

MATH GR5010 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 2018, the MAFN program offers the following 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.

Stat GR5261 Statistical Methods in Finance

Time: Saturday 8:40am-11:40am
Location: TBA
Call Number: 73530 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.

Math GR5360 Math Methods in Financial Analysis

Time: Friday 5:00pm-7:20pm.
Location: TBA
Section 001 Call Number: 11312 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 Multi-Asset Portfolio Management

Time: Monday and Wednesday 6:10pm-7:25pm.
Location: TBA
Section 001 Call Number: 27864 Points: 3
Instructors: Inna Okounkova and Colm O’Cinneide

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 Non-Linear Option Pricing

Time: Friday 6:10pm-8:30pm.
Location: TBA
Section 001 Call Number: 86596 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.

Math GR5510 MAFN Fieldwork

Time: N/A
Location: N/A
Call number: 14111 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)

The following course is not officially scheduled for Spring 2018, however, we are hoping to have it offered.  Please refer back for updates.

Math GR5260 Programming for Quantitative and Computational Finance

Time: TBA
Location: TBA
Call number: TBA 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.

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