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
**Directory of Classes

**Vergil**

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

Location: 312 Mathematics Building

Section 001 Call Number: 63321 Points: 3

Instructor: Tat Sang Fung

**Math GR5050 Practitioners’ Seminar**

Directory of Classes

Vergil

Time: Tuesday and Thursday 7:40pm-8:55

Location: 312 Mathematics Building

Section 001 Call Number: 22624 Points: 3

Instructor: Lars Tyge Nielsen

**Stat GR5265 Stochastic Methods in Finance**

Two alternative sections:

**S****e****ction 001
**Directory of Classes

Vergil

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

Location: 209 Havemeyer Hall

Call Number: 75736 Points: 3

Instructor: Ruimeng Hu

**Section 002
**Directory of Classes

Vergil

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

Location: 614 Schermerhorn Hall [SCH]

Call Number: 22455 Points: 3

Instructor: Pawel Polak

**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
**Directory of Classes

**Vergil**

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

Location: 207 Mathematics Building

Section 001 Call Number: 75979 Points: 3

Instructor: Mikhail Smirnov

### MAFN Electives

In the Spring semester of 2019, 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.

**Math GR5260 Programming for Quantitative & Computational Financ****e
**Directory of Classes

Vergil

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

Location: 417 Mathematics Building

Call Number: 65021 Points: 3

Instructor: Ka Yi Ng

This course covers programming with applications to finance. The applications may include such topics as yield curve building and calibration, short rate models, Libor market models, Monte Carlo simulation, valuation of financial instruments such as options, swaptions and variance swaps, and risk measurement and management, among others. Students will learn about the underlying theory, learn coding techniques, and get hands-on experience in implementing financial models and systems. The Spring version of this course uses Python.

**Math GR5360 Math Methods in Financial Analysis
**Directory of Classes

Vergil

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

Location: 312 Mathematics Building

Section 001 Call Number: 23863 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
**Directory of Classes

Vergil

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

Location: 207 Mathematics Building

Section 001 Call Number: 15484 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 Pri****cing
**Directory of Classes

Vergil

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

Location: 520 Mathematics Building

Section 001 Call Number: 73676 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
**Directory of Classes

Vergil

Time: N/A

Location: N/A

Call number: 69572 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

Print this pageThis 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)