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Baruch MFE’s Team Wins First Place in 2016 Rotman International Trading Competition

The Baruch College’s Master of Financial Engineering (MFE) program won 1th place (out of 52 teams) at 13th Rotman International Trading Competition held in February 2016 in Toronto. This was a record-breaking year and a unique win in the history of the competition: - we won three of the six events (commodities trading, credit risk, [...]

Baruch MFE student wins the “Solve-a-thon at MIT” trading competition

Our Baruch MFE student Song Wang (Baruch MFE December'16) won the Solve-a-thon at MIT  trading competition organized by WorldQuant and a cash prize of $10,000 for achieving a score of over 100,000 (calculated based on alpha generation) in less than two months. Out of over 700 participants, the next highest score was 55,000, and only [...]

MTH 9863 Volatility Filtering and Estimation

1.5 Hours; 1.5 Credits This course covers various filtering techniques such as Kalman filter, particle filtering,and chaos based filtering. Applications include estimation of stochastic volatility parameters from timeseries of underlying asset prices and the use of stochastic volatility in derivative pricing. It also compares the cross-sectional and time-series based estimated parameters and applies the results [...]

MTH 9862 Stochastic Processes for Finance II

3.0 Hours; 3.0 Credits This course covers the basic stochastic processes and probabilistic techniques used in finance, for example: random walks, Markov chains, martingales, Brownian Motion, stochastic integration, and Ito's formula. The Black-Scoles formula is presented from the standpoint of expectation in an appropriate probability space. Prerequisite: MTH 9814 and MTH 9831

MTH 9855 Asset Allocation and Portfolio Management

3.0 Hours; 3.0 Credits The course introduces the quantitative techniques and models commonly used in the asset management industry. The emphasis is on practical aspects of modeling, and specific techniques for portfolio construction and risk management. Topics include classic subjects such as Markowitz’s mean-variance optimization, CAPM and APT models, the Black- Litterman model, as well [...]

MTH 9852 Numerical Methods for Finance

3.0 Hours; 3.0 Credits This course covers Monte Carlo methods, their convergence properties and variance reduction techniques, tree pricers and Greeks estimators, implied binomial trees and implied volatility trees, numerical integration techniques, and finite difference methods for pricing derivative securities, including their convergence properties. Prerequisite: MTH 9814 and MTH 9821

MTH 9845 Market and Credit Risk Management

3.0 Hours; 3.0 Credits This course covers qualitative and quantitative aspects of the financial risk associated to managing financial portfolios and to credit default. Topics include: market risk, Var and stress testing, model risk, spot and forward risk, credit default risk and credit derivatives. Prerequisite: MTH 9814

MTH 9842 Linear and Quadratic Optimization Techniques

1.5 Hours; 1.5 Credits This course will cover linear and quadratic optimization as well as other nonlinear techniques. Applications from finance will include problems in game theory and portfolio optimization. Prerequisite: MTH 9814 and MTH 9821

MTH 9841 Statistics for Finance

3.0 Hours, 3.0 Credits This course will cover probability and statistics from a Bayesian perspective, with applications to finance. Topics will include joint marginal and conditional probability; discrete and continuous random variables; Bayesian inferences for means and proportions compared with the corresponding frequentist ones; simple linear regression model analyzed in a Bayesian manner; and a [...]