Course List

    • 46901 Financial Computing I

      In this course, and its continuation Financial Computing II, we will give a fairly complete treatment of essential C++, in the context of some elementary finance-related problems. The intent is to arm you with computing skills you can use in other MSCF courses. In this first course, we'll cover the ... Read More
    • 46902 Financial Computing II

      Throughout this course, we will be building a non-toy C++ application that uses genetic algorithms. Most of the concepts from the lectures will be used in this application. First, we look more deeply at inheritance and polymorphism, templates and the C++ standard library. Then some background on rel... Read More
    • 46903 Financial Computing III

      This course will present a spectrum of programming topics that should be of use to you in other courses in MSCF, and in your careers. We first look at Python, an open-source, easy-to-learn laguage based on C++, that is often a good substitute for MATLAB. Two or three weeks will be spent examining th... Read More
    • 46904 Financial Computing IV

      The goal of this course is to refresh and expand your knowledge of several important topics of the Master Program, such as Object Oriented Programming with C++, theory of pricing and hedging of derivative securities, numerical analysis and stochastic calculus. The course is organized ... Read More
    • 46915 Advanced Derivative Modeling

      This course considers more advanced models. We start by revisiting the Fourier transform and discuss how to use this technique to price vanilla options in different standard Brownian-based models (Heston and Stein & Stein). We then study the theory of jump processes including Ito's lemma and Gir... Read More
    • 46921 MSCF Probability

      The objective of this course is to introduce the basic ideas and methods of calculus-based probability theory and to provide a solid foundation for other MSCF courses based on probability theory. Topics include basic results on probability and conditional probability, random variables and their dist... Read More
    • 46923 Statistical Inference

      The objective of this course is to introduce the basic ideas and methods of statistical inference and the practice of statistics, including methods and theory of estimation, quantifying uncertainty, Bayesian inference, and hypothesis testing. The statistical package R will be introduced. This packag... Read More
    • 46926 Statistical and Machine Learning Methods for Financial Data

      This is an applied course in the modeling and discovery of relationships between multiple variables. Topics include parametric and nonparametric regression, and supervised learning techniques. Specific methods covered will include linear models, logistic regression, additive models, LASSO, kernel me... Read More
    • 46929 Financial Time Series

      This course introduces time series methodology to the MSCF students. Emphasis will be placed on the data analytic aspects related to financial applications, with a view toward development of quantitative trading strategies. Topics studied in this course include univariate ARIMA modeling, forecasting... Read More
    • 46932 Simulation Methods Option Pricing

      This course initially presents standard topics in simulation including random variable generation, variance reduction methods and statistical analysis of simulation output. The course then addresses the use of Monte Carlo simulation in solving applied problems on derivative pricing discussed in the ... Read More
    • 46936 Statistical Arbitrage

      This course will provide students with the basic concepts and techniques for statistical-based trading. It will present some of the standard approaches to statistical arbitrage including market neutral strategies such a pairs trading, value-based or contrarian methods, momentum-based strategies, coi... Read More
    • 46941 Multi-Period Asset Pricing

      This course introduces the concepts of arbitrage and risk-neutral pricing within the context of multi-period financial models. Key elements of stochastic calculus such as Markov processes, martingales, filtration and stopping times will be developed within this context. Prerequisite:&... Read More
    • 46944 Stochastic Calculus I

      This course introduces martingales, Brownian motion, Ito integrals and Ito’s formula, in both the uni-variate and multi-variate case. This is done within the context of the Black-Scholes option pricing model and includes a detailed examination of this model. Prerequisite: Multi-Period Asset Pr... Read More
    • 46945 Stochastic Calculus II

      This course treats applications of risk-neutral pricing, especially the theory of interest-rate term structure models. The underlying methodology is change of measure. Both risk-neutral and forward measures are used. Models covered include Ho-Lee, Hull-White, Cox-Ingersoll-Ross, and H... Read More
    • 46950 Numerical Methods

      This course covers numerical methods relevant to solving the partial differential equations of mathematical finance. Theoretical and practical issues are treated. Topics include (but are not limited to): background material in partial differential equations, examples of exact solutions including Bla... Read More
    • 46954 Risk Management I

      This course will present a basic treatment of two important dimensions of risk management: market risk and credit risk. It will cover basic topics such as the regulatory environment and BASEL accords; risk measures including value-at-risk and shortfall risk and approximations for these risk measures... Read More
    • 46955 Risk Management II

      This course will cover in detail several risk management topics that have become indispensible since the financial crisis. These include the concept and calculation of Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), Funding Valuation Adjustment (FVA), and collateralization/margi... Read More
    • 46956 Fixed Income

      This course introduces the most important securities traded in fixed income markets and the valuation models used to price them. Payoff characteristics and quotation conventions will be explained for treasury bills and bonds, STRIPS, defaultable bonds, mortgage-backed securities like Collateraized M... Read More
    • 46971 Presentations for Computational Finance

      This course provides practical, usable, and relevant practice and study in oral communications strategies critical for professional managerial success. Students will enact non-verbal and vocal techniques that support a professional attitude and will study how their appearance and demeanor are indeed... Read More
    • 46972 MSCF Finance

      Broadly speaking, there are three types of players in finance: ‘Individuals’ who save and invest to smooth consumption across time or smooth consumption across risk-outcomes, ‘Corporations’ who raise money by selling securities, invest in projects and pay investors cash-flows... Read More