Why attending this Program. Sharpening the quantitative skills in Pricing, hedging and risk measurement of derivative securities Implementing risk measurement and valuation models in software Developing the abilities in Identifying and monitoring risk in valuation models
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Sharpening the quantitative skills in
Developing the abilities in
Analytic, quantitative and problem solving skills; strong communication skills
MATH571 Mathematical Models of Financial Derivatives [Fall, 08]
MAFS526 Fixed Income Derivatives [Fall, 08]
MAFS513 Mathematical Models of Investment [Summer, 08]
MATH572 Interest Rate Models [Spring, 09]
MAFS523 Advanced Credit Risk Models [Summer, 09]
MAFS524 Software Development with C++ for Quantitative Finance [Spring, 09]
MAFS525 Computational Methods for Pricing Structured Financial Products [Spring, 08]
MAFS527 Computational Tools and Technologies
for Building Financial Applications [Fall, 08]
MAFS513 Quantitative Analysis of Financial Time Series [Spring, 09]
MAFS511 Advanced Data Analysis with Statistical Programming [Fall, 08]
MAFS512 Applied Multivariate Analysis [Spring, 09]
MAFS522 Quantitative and Statistical Risk Analysis
MAFS501 Stochastic Calculus [Fall, 08]
MAFS502 Advanced Probability and Statistics [Fall, 08]
Fundamental Theorem of Asset Pricing. Risk neutral valuation approach. Black-Scholes-Merton framework, dynamic hedging, replicating portfolio. Martingale theory of option pricing, risk neutral measure. Stochastic volatility models.
Yield curves. Sort rates and forward rates. Short rate models: Vasicek and CIR models. Term structure models: Hull-white fitting procedure. Heath-Jarrow-Morton pricing framework. LIBOR and swap market models. Affine models.
Utility theory, stochastic dominance. Portfolio analysis: mean-variance approach, Two-Fund Theorem. Capital asset pricing models. Arbitrage pricing theory. Consumption-investment models.
Credit spreads and bond price- based models. Credit spread models. Intensity based models. Credit rating models. Firm value models. Industrial codes: KMV, CreditMetrics and CreditRisk+. Default correlation. Pricing of correlation products.
Lattice tree methods, finite difference methods, Monte Carlo simulation. Structured products analyzed include: Convertible bonds, equity-linked notes, quanto currency swaps, collateralized debt obligations, mortgage backed securities, volatility swaps.
Random walk models. Filtration. Martingales. Brownian motions. Diffusion processes. Forward and backward Kolmogorov equations. Ito’s calculus. Stochastic differential equations. Stochastic optimal control problems in finance.
Probability spaces, measurable functions and distributions, conditional probability, conditional expectations, asymptotic theorems, stopping times, martingales, Markov chains, Brownian motion, sampling distributions, sufficiency, statistical decision theory, statistical inference, unbiased estimation, method of maximum likelihood.
Needs to maintain a graduation grade point average of B grade or above.