Columbia Home
Spring 2020 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 up to date.  Most Spring 2020 courses are already in the Directory of Classes.  Early registration opens for GSAS MAFN students on Monday, November 25 to Wednesday, November 27.

Core Courses

Math GR5030 Numerical Methods In Finance
Directory of Classes
Vergil

Time: Monday and Wednesday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 12131 Points: 3
Instructor: Tat Sang Fung

Math GR5050 Practitioners’ Seminar
Directory of Classes
Vergil

Time: Tuesday and Thursday 7:40pm-8:55pm
Location: TBA
Section 001 Call Number: 12132 Points: 3
Instructor: Lars Tyge Nielsen

Stat GR5265 Stochastic Methods in Finance

Two alternative sections:

Section 001
Directory of Classes
Vergil

Time: Monday and Wednesday 4:10pm-5:25pm
Location: TBA
Call Number: 16787 Points: 3
Instructor: Ruimeng Hu

Section 002
Directory of Classes
Vergil

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: TBA
Call Number: 16788 Points: 3
Instructor: TBA

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: TBA
Section 001 Call Number: 12129 Points: 3
Instructor: Mikhail Smirnov

MAFN Electives

In the Spring semester of 2020, 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 Finance
Directory of Classes
Vergil

Time: Friday 8:10pm-10:00pm
Location: TBA
Call Number: 12133 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: Saturday 2:00pm-4:20pm.
Location: TBA
Section 001 Call Number: 12134 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: TBA
Section 001 Call Number: 12135 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
Directory of Classes
Vergil

Time: Friday 6:00pm-8:10pm.
Location: TBA
Section 001 Call Number: 12136 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.

This course also exposes the students with a wide variety of Machine Learning techniques, old and new. These techniques allow us to compute some quantities that are key ingredients of the nonlinear Monte Carlo algorithms.

Math GR5510 MAFN Fieldwork
Directory of Classes
Vergil

Time: N/A
Location: N/A
Call number: 12137 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)

Print this page