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Spring 2020 MAFN Courses

The MAFN program courses are using Instructor Self-managed Wait Lists for Spring 2020.  The requests are done by the student on SSOL and the decision is made by the instructor on SSOL. Anyone can get on the SSOL Wait List, but nobody can register directly into the course. The instructor decides whom to admit from the SSOL Wait List. Students sometimes get confused when they register via a self-managed Wait List and get a message that says, “Pending Instructor Approval” – all instructor approvals are done by the instructor on SSOL, there are no forms to sign. There is no need to contact the instructor or the Mathematics department to get approval.

MAFN Students
Please consult the Directory of Classes 21for authoritative up-to-date information for Spring 2020 courses. Information like this changes frequently, and the present page is not necessarily up to date. Spring 2020 courses are in the Directory of Classes. Advance registration opens for GSAS MAFN students on Monday, November 25 to Wednesday, November 27.  MAFN students should get on the SSOL Instructor self-managed MAFN Mandatory and Elective Wait Lists for Spring 2020 as soon as possible.

Schedule for MAFN course registration.

Advance Registration-Only MAFN students
Monday, November 25 to Wednesday, November 27
Monday, December 9 to Friday, December 13

Regular Registration-Only MAFN students
Tuesday, January 7 to Friday, January 10

Regular Registration-Only MAFN & Statistics students are admitted from the Wait List.
Monday, January 13 to Friday, January 17

We open MAFN reserved courses to the remainder of the University.
Tuesday, January 21 to Friday, January 24

Non-MAFN Students
With course space permitting, students outside the MAFN program will begin being admitted from the Wait Lists on SSOL, starting with the Statistics department the week of 1/13/20, for that week, priority to admission from the Wait Lists will be given to MAFN and STATS, in that order.

With course space permitting, we will begin registering all remaining University students on the Wait Lists, beginning the week of Tuesday, January 21, 2020 to Friday, January 24.

Spring 2020 Mandatory MAFN 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: 12131 Points: 3
Instructor: Tat Sang Fung
Note: MAFN Students ONLY. Open to STATS 1/13. Open to Univ. 1/21

Math GR5050 Practitioners’ Seminar
Directory of Classes
Vergil

Time: Tuesday and Thursday 7:40pm-8:55pm
Location: 312 Mathematics Building
Section 001 Call Number: 12132 Points: 3
Instructor: Lars Tyge Nielsen
Note: MAFN Students ONLY

Stat GR5265 Stochastic Methods in Finance
MAFN students should NOT register for the other version of this course, Stat GU 4265

Two alternative sections:

Section 001
Directory of Classes
Vergil

Time: Monday and Wednesday 4:10pm-5:25pm
Location: 101 Jerome L. Greene Science Center
Call Number: 16787 Points: 3
Instructor: Ruimeng Hu
Note: STAT MA & MATH FINANCE students only

Section 002
Directory of Classes
Vergil

Time: Tuesday and Thursday 6:10pm-7:25pm
Location: 614 Schermerhorn Hall [SCH]
Call Number: 16788 Points: 3
Instructor: Cristian G. Pasarica
Note: STAT MA & MATH FINANCE students only

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: 12129 Points: 3
Instructor: Mikhail Smirnov
Note: Priority to MAFN students, then STAT students.

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: 417 Mathematics Building
Call Number: 12133 Points: 3
Instructor: Ka Yi Ng
Note: MAFN Students ONLY. Open to STATS 1/13. Open to Univ. 1/21

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: 312 Mathematics Building
Section 001 Call Number: 12134 Points: 3
Instructor: Alexei Chekhlov
Note: Priority to MAFN students, then STAT students.

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: 12135 Points: 3
Instructors: Inna Okounkova and Colm O’Cinneide
Note: MAFN Students ONLY. Open to STATS 1/13. Open to Univ. 1/21

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: 520 Mathematics Building
Section 001 Call Number: 12136 Points: 3
Instructors: Julien Guyon and Bryan Liang
Note: MAFN Students ONLY. Open to STATS 1/13. Open to Univ. 1/21

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
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
Note: MAFN Students ONLY. Permission of instructor required. Grading: Letter Grade

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)

Suggested Elective from the Statistics Department for MAFN Students

Stat GR5206 Statistical Computation and Intro Data Science
Directory of Classes
Vergil

Time: Friday 10:10am-12:40pm.
Location: 402 Chandler
Section 001 Call Number: 16775 Points: 3
Instructor: Thibault Vatter
Note: STAT MA students and MAFN students only

Introduction to programming in the R statistical package: functions, objects, data structures, flow control, input and output, debugging, logical design, and abstraction. Writing code for numerical and graphical statistical analyses.  Writing maintainable code and testing, stochastic simulations, paralleizing data analyses, and working with large data sets.  Examples from data science will be used for demonstration.

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