Business Administration: Financial Engineering

Courses

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MFE 230A Investments and Derivatives 2 or 3 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2015, Spring 2013, Spring 2007
The course discusses the basic theories of asset pricing. It begins with the standard discounted cash flow analysis, and generalizes this approach to develop the No Arbitrage Pricing Technique for security valuation. Topics will be fixed income securities, derivatives, contingent claims, basic principles of optimal portfolio theory, models of equilibrium asset pricing, including CAPM and related Factor Models.
Investments and Derivatives: Read More [+]

Hours & Format

Fall and/or spring: 8 weeks - 4-6 hours of lecture per week

Summer: 8 weeks - 4-6 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Investments and Derivatives: Read Less [-]

MFE 230D Derivatives: Quantitative Methods 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Summer 2008 10 Week Session, Summer 2007 10 Week Session, Summer 2006 10 Week Session
This course emphasizes the pricing of derivatives in continuous time, from the formulation of the pricing problem to the implementation of computational and numerical solution techniques.
Derivatives: Quantitative Methods: Read More [+]

Rules & Requirements

Prerequisites: 230A-230B

Hours & Format

Fall and/or spring: 8 weeks - 4 hours of lecture and 4 hours of lecture per week

Summer: 10 weeks - 3 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Derivatives: Quantitative Methods: Read Less [-]

MFE 230E Empirical Methods in Finance 2 or 3 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2019, Spring 2018, Spring 2015
This course reviews probability and statistical techniques commonly used in quantitative finance. It includes a review of normal, lognormal, CEV distribution, estimation and nonparametric techniques commonly used in finance (MLE, GMM, GARCH). Students will be introduced to financial databases and estimation application software to estimate volatilities and correlations and their stability.
Empirical Methods in Finance: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230A-230B

Hours & Format

Fall and/or spring: 8 weeks - 4-6 hours of lecture and 1-1 hours of discussion per week

Summer: 8 weeks - 4-6 hours of lecture and 1-1 hours of discussion per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Empirical Methods in Finance: Read Less [-]

MFE 230G Equity and Currency Markets 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015, Fall 2012, Fall 2006
This course reviews various aspects of equity and currency markets and their relative importance. It provides models of and historical evidence on the average returns and volatility of returns on equities, on the trade-to-trade equity price behavior, on trading volume and patterns, and primary financial risks. Determination of spot and forward rates and volatility, volume, high frequency dynamics and dealer behavior are examined.
Equity and Currency Markets: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230A-230B

Hours & Format

Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Formerly known as: Business Administration 230G

Equity and Currency Markets: Read Less [-]

MFE 230H Financial Risk Measurement and Management 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015, Fall 2012, Fall 2008
This course examines risk measurement and management including market risk, credit risk, liquidity risk, settlement risk, volatility risk, kurtosis risk and other types of financial risks. Topics will include risk management techniques for different types of contracts and portfolios such as duration, portfolio beta, factor sensitivities, VAR, dynamic portfolio analysis and extreme value analysis and other risk management techniques.
Financial Risk Measurement and Management: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230A-230B

Hours & Format

Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Formerly known as: Business Administration 230H

Financial Risk Measurement and Management: Read Less [-]

MFE 230I Fixed Income Markets 2 or 3 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Summer 2007 10 Week Session, Summer 2006 10 Week Session, Summer 2005 10 Week Session
This course provides a quantitative approach to fixed income securities and bond portfolio management. Topics include fixed income security markets, pricing and uses for portfolio management or for hedging interest rate risk, bond mathematics, term structure measurement and theory, immunization techniques, and the modern theory of bond pricing, and derivative instruments.
Fixed Income Markets: Read More [+]

Rules & Requirements

Prerequisites: 230D

Hours & Format

Fall and/or spring: 8 weeks - 3-4 hours of lecture per week

Summer: 8 weeks - 3-4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Fixed Income Markets: Read Less [-]

MFE 230J Financial Innovation with Data Science Applications 1 - 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015, Fall 2008, Fall 2006
This course will stress financial innovation in the traditional financial markets, and innovation opportunities in the newer disciplines of long and short term economic markets. Some examples of the later include livelihood insurance, home-equity insurance, inequality insurance, intergenerational social security, international agreements, and individual pension investment strategies.
Financial Innovation with Data Science Applications: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230A-230B

Hours & Format

Fall and/or spring: 10 weeks - 1-3 hours of lecture per week

Summer: 8 weeks - 2-6 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Financial Innovation with Data Science Applications: Read Less [-]

MFE 230K Dynamic Asset Management 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2015, Spring 2010, Spring 2009
This course reviews portfolio theory and pricing models. It includes: risk models for international portfolio returns, models of optimal allocation of funds, exchange rate uncertainty and criteria for judging the performance of managers and models; different types of portfolios/instruments, different types of applications, and strategies to achieve various investment objectives.
Dynamic Asset Management: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230A-230B

Hours & Format

Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Formerly known as: Business Administration 230K

Dynamic Asset Management: Read Less [-]

MFE 230M Asset-Backed Security Markets 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015, Spring 2015, Spring 2010
This course extends the study of fixed income securities to advanced topics on mortage and other asset-backed securities. Topics will include basic mechanics of structuring deals for mortgage-related securities, credit cards, leases, and other debt markets and the risk management techniques employed in the securitization process for these assets. The valuation of pooled assets and derivative bonds using Monte Carlo and option pricing techniques, and trading strategies are also evaluated.
Asset-Backed Security Markets: Read More [+]

Rules & Requirements

Prerequisites: Business Administration 230D and 230I

Hours & Format

Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Formerly known as: Business Administration 230M

Asset-Backed Security Markets: Read Less [-]

MFE 230N Applied Finance Project 0.0 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015, Fall 2012, Fall 2008
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Applied Finance Project: Read More [+]

Rules & Requirements

Prerequisites: Participation requires prior approval of the supervising faculty

Hours & Format

Summer: 7.5 weeks - 6 hours of lecture and 6 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade. This is part one of a year long series course. A provisional grade of IP (in progress) will be applied and later replaced with the final grade after completing part two of the series.

Formerly known as: Business Administration 230N-230O

Applied Finance Project: Read Less [-]

MFE 230O Applied Finance Project 1 - 3 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2015, Spring 2010, Spring 2009
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Applied Finance Project: Read More [+]

Rules & Requirements

Prerequisites: Participation requires prior approval of the supervising faculty

Hours & Format

Summer: 7.5 weeks - 6 hours of lecture and 6 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade. This is part two of a year long series course. Upon completion, the final grade will be applied to both parts of the series.

Formerly known as: Business Administration 230N-230O

Applied Finance Project: Read Less [-]

MFE 230P Financial Data Science 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2015
This course proposes a guided tour through optimization models arising in practical finance. These problems include ones that are traditionally associated with optimization, including asset and liability management, asset pricing, and portfolio optimization. We also describe optimization models arising in model calibration, predication and estimation, and risk analysis. The course includes some recent approaches to the analysis of other kinds of financial data, such as text (financial news) data.
Financial Data Science: Read More [+]

Hours & Format

Summer: 6 weeks - 5 hours of lecture and 5 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Financial Data Science: Read Less [-]

MFE 230Q Stochastic Calculus with Asset Pricing Applications 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2018, Spring 2015, Spring 2007
The course introduces the students to techniques from stochastic analysis employed in mathematical finance. Topics include: stochastic processes, brownian motion, stochastic integral, differentials and Ito's formula; martingales.
Stochastic Calculus with Asset Pricing Applications: Read More [+]

Hours & Format

Summer: 8 weeks - 4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Stochastic Calculus with Asset Pricing Applications: Read Less [-]

MFE 230R Advanced Computational Finance 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Fall 2008, Fall 2006, Fall 2005
This course builds on the techniques learned in 230D, Quantitative Methods for Derivative Pricing. The focus is to gain a deeper analysis of numerical and computational issues in pricing and calibration. The orientation of the course is hands-on, with heavy use of computational techniques applied to case projects. The primary objective of this course is to prepare students to tackle the latest challenges in quantitative pricing that they are likely to encounter in cutting-edge financial institutions.
Advanced Computational Finance: Read More [+]

Rules & Requirements

Prerequisites: 230D

Hours & Format

Summer: 8 weeks - 2-4 hours of lecture and 2-4 hours of lecture per week

Additional Details

Subject/Course Level: Masters in Financial Engineering/Graduate

Grading: Letter grade.

Advanced Computational Finance: Read Less [-]

MFE 230S Behavioral Finance 1 or 2 Units [+]Expand course description

Offered through: Business Administration
Terms offered: Spring 2019, Spring 2018, Spring 2017
. Over the last 25 years, psychologists have come to better understand the processes by which people make judgements and decisions. They have identified common judgement and decision heuristics and the biases associated with these. An understanding of one's own decision biases and those of others is an important tool for managers