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Fall 2016 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.


Note that course numbers have changed. Also 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 (formerly W4071) Intro to the Math of Finance
Time: Monday and Wednesday 7:40pm-8:55pm
Call Number: 18463 Points: 3
Instructor: Mikhail Smirnov

Stat GR 5263 (formerly G6503) Statistical Inference / Time-Series Modelling

Two alternative sections:

Section 001
Call Number: 61988 Points: 3
Time: Tuesday and Thursday 6:10pm-7:25pm
Instructor: Richard Davis

Section 002
Time: Saturday 10:10am-12:55pm
Call Number: 63145 Points: 3
Instructor: Pawel Polak

Stat GR 5264 (formerly G6501) Stochastic Processes – Applications I

Two alternative sections:

Section 001
Time: Monday and Wednesday 6:10pm-7:25pm
Call Number: 15937 Points: 3
Instructor: Ioannis Karatzas

Section 002
Time: Tuesday and Thursday 4:10pm-5:25pm
Call Number: 14887 Points: 3
Instructor: Lars Tyge Nielsen

The following course is not for incoming MAFN students. It is a Spring core course taught off-schedule. It may be of interest to continuing part-time students. You are supposed to take Stat G5264 (formerly G6501) before Stat G5265 (formerly G6505).

Stat GR 5265 (formerly G6505) Stochastic Methods in Finance
Time: Monday and Wednesday 7:40pm-8:55pm
Call Number: 92596 Points: 3
Instructor: Yuchong Zhang
MAFN students should NOT register for the other version of this course, G4265.

MAFN Electives

In the Fall semester of 2016, 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 5260 (formerly G4074) Programming for Quantitative and Computational Finance
Time: Thursday 8:10pm-10:00pm
Call Number: 62854 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 (formerly G4076) Capital Markets and Investments.
Time: Friday 5:00pm-7:20pm.
Call Number: 20154 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 GR5280 (formerly 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 (formerly G4080) Hedge Funds Strategies and Risk
Time: Tuesday 8:10pm-10:00pm
Call Number: 10605 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 (formerly G4082) Financial Risk Management and Regulation
Time: Thursday 8:10pm-10:00pm
Call Number: 12947 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 (formerly G4083) Fixed Income Portfolio Management
Time: Friday 6:10pm-8:00pm
Call Number: 28442 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.

Math GR 5510 (formerly G4071) MAFN Fieldwork
Time: N/A
Call Number: 67097 Points: 1-3
Note: 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 GR 5530 (formerly G4072) Unpaid Internship
Time: N/A
Call Number: 60968 Points: 1
Notes: MAFN Students ONLY. Permission of instructor required. Graded pass / fail
Prerequisites: At least 3 MAFN core courses and 3 credits of approved electives (for example, one approved elective that earns 3 credits). As a consequence, this course is not open to students in their first semester
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 Unpaid Internship Course

The following Statistics courses are also likely to be of interest to MAFN students:

Stat GU 4241 (formerly W4400) Statistical Machine Learning
Time: Monday and Wednesday 2:40pm-3:55pm
Call Number: 19264 Points: 3
Instructor: TBA

Stat GU 4243 Applied Data Science
Time: Wednesday 2:40pm-5:25pm
Call Number: 78248 Points: 3
Instructor: Tian Zheng

Stat GR 5261 (formerly W4290) Statistical Methods in Finance
Time: Friday 11:40am-2:10pm
Call Number: 61647 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 GU 4205 (formerly 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.

Three sections are offered in the fall of 2016:

Section 001
Call Number: 65947 Points: 3
Time: Monday and Wednesday 2:40pm-3:55pm
Instructor: Arian Maleki

Section 002
Call Number: 77031 Points: 3
Time: Tuesday and Thursday 2:40pm-3:55pm
Instructor: Arian Maleki

Section 003
Call Number: 25514 Points: 3
Time: Tuesday and Thursday 6:10pm-7:25pm
Instructor: Gabriel Young

Class Schedule – Core Courses and MAFN Electives

Course Schedule Fall 2016

Course Schedule Fall 2016

Statistics Courses

Fall 2016 Statistics Courses

Fall 2016 Statistics Courses

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