Please consult the Directory of Classes for authoritative, up-to-date information for Fall 2022 courses. Information like this changes frequently, and the present page is not necessarily up to date.

Please see the class schedule in a grid.

### Fall 2022 Mandatory MAFN Courses

**Math GR 5010 Introduction to the Mathematics of Finance **

Directory of Classes

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

Location: TBA

Call Number: 12834

Instructor: Mikhail Smirnov

**Stat GR 5263 Statistical Inference / Time-Series Modelling**

*MAFN students should NOT register for the other version of this course, Stat GU 4263*

Two alternative sections:

**Section 001
**

*Section 1*

Directory of Classes

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

Location: TBA

Call Number: 13846 Points: 3

Instructor:

**Section 002
**Directory of Classes

Time: Saturday 10:10am-12:40pm

Location: TBA

Call Number: 13847 Points: 3

Instructor:

**Stat GR 5264 Stochastic Processes – Applications I**

Two alternative sections:

**Section 001
**Directory of Classes

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

Location: TBA

Call Number: 13848 Points: 3

Instructor: Ioannis Karatzas

**Section 002****
**Directory of Classes

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

Location: TBA

Call Number: 13849 Points: 3

Instructor: Lars Tyge Nielsen

**MAFN Electives**

In the Fall semester of 2022, 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 5220 Quantitative Methods in Investment Management
**Directory of Classes

**Time: Tuesday 7:40 pm**

**–**10:00 pm

Location: TBA

Call Number: 12835 Points: 3

Instructor: Alberto Botter

Surveys the field of quantitative investment strategies from a “buy side” perspective through the eyes of portfolio managers, analysts, and investors. Financial modeling there often involves avoiding complexity in favor of simplicity and practical compromise. All necessary material scattered in finance, computer science, and statistics is combined into a project-based curriculum, which gives students hands-on experience to solve real-world problems in portfolio management. Students will work with market and historical data to develop and test trading and risk management strategies. Programming projects are required to complete this course.

**Math GR 5280 Capital Markets and Investments**

Directory of Classes

Time: Saturday 7 pm-9:20 pm

Location: TBA

Call Number: 12836 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 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 Hedge Funds Strategies and Risk**

Directory of Classes

Time: Tuesday 8:10 pm-10:00 pm

Location: TBA

Call Number:12837 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.

Note:Open only to MAFN students.

**Math GR 5320 Financial Risk Management and Regulation**

Directory of Classes

Time: Thursday 8:10 pm-10:00 pm

Location: TBA

Call Number: 12838 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 Fixed Income Portfolio Management**

Directory of Classes

Time: Thursday 5:00 pm-7:00 pm

Location: TBA

Call Number: 12839 Points: 3

Instructor: Rosanna Pezzo-Brizio

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 5420 Modeling and Trading Derivatives
**Directory of Classes

**Time: Saturday 10:10 am-12:00 pm**

Location: TBA

Call Number: 12841 Points: 3

Instructor: Amal Moussa

Prerequisites: Math GR5010 Required: Math GR5010 Intro to the Math of Finance (or equivalent),Recommended: Stat GR5264 Stochastic Processes – Applications I (or equivalent) The objective of this course is to introduce students, from a practitioner’s perspective with formal derivations, to the advanced modeling, pricing and risk management techniques that are used on derivatives desks in the industry, which goes beyond the classical option pricing courses focusing solely on the theory. The course is divided into four parts: Differential discounting, advanced volatility modeling, managing a derivatives book, and contagion and systemic risk in financial networks.

**Math GR 5510 MAFN Fieldwork**

Directory of Classes

Time: N/A

Call Number: 12842 Points: 1-3

Instructor: Lars Tyge Nielsen

Note: Open only to MAFN students. Prerequisites: all 6 MAFN core courses, at least 6 credits of approved electives, and the instructors’ permission. This course provides an opportunity for MAFN students to engage in off-campus internships for academic credit that counts towards the degree. Graded by letter grade. Students need to secure an internship and get it approved by the instructor.

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 Electives from the Statistics Department

**Stat GU 4205 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.

**Section 002
**Directory of Classes

Time: Tuesday and Thursday 2:40 pm-3:55 pm

Location: TBA

Call Number: 13798 Points: 3

Instructor: Philip Protter

**Stat GU 4224 Bayesian Statistics**

Directory of Classes

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

Location: TBA

Call Number: 13804 Points: 3

Instructor: Ronald Neath

This course introduces the Bayesian paradigm for statistical inference. Topics covered include prior and posterior distributions: conjugate priors, informative and non-informative priors; one- and two-sample problems; models for normal data, models for binary data, Bayesian linear models; Bayesian computation: MCMC algorithms, the Gibbs sampler; hierarchical models; hypothesis testing, Bayes factors, model selection; use of statistical software. Prerequisites: A course in the theory of statistical inference, such as STAT GU4204, a course in statistical modeling and data analysis, such as STAT GU4205.

**Stat GU 4291 Advanced Data Analysis
**Directory of Classes

Time: Friday 6:10 pm- 8:40 pm

Location: TBA

Call Number: 13812 Points: 3

Instructor: Demissie Alemayehu

Prerequisites: STAT GU4205 and at least one statistics course numbered between GU4221 and GU4261. This is a course on getting the most out of data. The emphasis will be on hands-on experience, involving case studies with real data and using common statistical packages. The course covers, at a very high level, exploratory data analysis, model formulation, goodness of fit testing, and other standard and non-standard statistical procedures, including linear regression, analysis of variance, nonlinear regression, generalized linear models, survival analysis, time series analysis, and modern regression methods. Students will be expected to propose a data set of their choice for use as case study material.

**Stat GR 5206 ****Statistical Computation and Intro Data Science
**Directory of Classes

Time: Friday 10:10 am- 12:40 pm

Location: TBA

Call Number: 13833 Points: 3

Instructor: Wayne Lee

Corequisites: STAT GR5204 and GR5205 or the equivalent. 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.

NOTE: Opens to MAFN students second week of classes

**Stat GR 5261 Statistical Methods in Finance
**Directory of Classes

Time: Saturday 10:10 am- 12:40 pm

Location: TBA

Call Number: 13845 Points: 3

Instructor: Zhiliang Ying

Prerequisites: STAT GU4205 or the equivalent. A fast-paced introduction to statistical methods used in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures. Topics include regression analysis and applications to the Capital Asset Pricing Model and multifactor pricing models, principal components and multivariate analysis, smoothing techniques and estimation of yield curves statistical methods for financial time series, value at risk, term structure models and fixed income research, and estimation and modeling of volatilities. Hands-on experience with financial data.

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