miriam - 3/6 - Baruch MFE Program

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So far miriam has created 56 blog entries.

MTH 9894 ALGORITHMIC TRADING

1.5 Hours; 1.5 Credits This course covers implementing algorithmic trading strategies and evaluating their performance. The risk management of algorithmic trading strategies, as well as their execution and monitoring are also covered. Note: Students cannot receive credit for both MTH 9867 and MTH 9893. MTH 9814, MTH 9815, MTH 9831

MTH 9894 ALGORITHMIC TRADING 2016-06-08T22:16:34+00:00

MTH 9893 Time Series Analysis

1.5 Hours; 1.5 Credits This course covers univariate and multivariate time series analysis, conditional heteroscedastic models, principal component analysis, and factor models. Students will learn about implementing univariate and multivariate volatility models. Note: Students cannot receive credit for both MTH 9867 and MTH 9893. MTH 9814, MTH 9815, MTH 9831

MTH 9893 Time Series Analysis 2016-06-08T22:16:41+00:00

MTH 9891 INTRODUCTION TO APPLIED FINANCIAL ECONOMETRICS

1.5 Hours; 1.5 Credits This course covers statistical and econometrics methods with applications to finance. Topics include regression models (OLS, ARMA), panel data analysis, GARCH models, PCA, and stationarity/co-integration. These methods will be implemented in Matlab or R. MTH 9814; MTH 9831

MTH 9891 INTRODUCTION TO APPLIED FINANCIAL ECONOMETRICS 2016-06-08T22:16:48+00:00

MTH 9883 DEAL THEORY & STRUCTURING

1.5 Hours; 1.5 Credits This course provides hands-on experience with the valuation of structured securities using covariance matrix analysis and Monte Carlo techniques to analyze the probability of credit losses. A sample deal is synthesized by building a cash flow engine using Markov chains and the Banach fixed point theorem to estimate ill-posedness. Mth 9848

MTH 9883 DEAL THEORY & STRUCTURING 2016-06-08T22:16:57+00:00

MTH 9882 FIXED INCOME RISK MANAGEMENT

1.5 Hours; 1.5 Credits This course covers fixed income products with emphasis on mortgage products. Students will learn to estimate the risk associated with fixed income products portfolios by using quantitative models. Special emphasis will be placed on explaining the pitfalls of the models before the financial crisis and how they have changed post crisis. [...]

MTH 9882 FIXED INCOME RISK MANAGEMENT 2016-06-08T22:17:04+00:00

MTH 9881 Current Topics in Mathematical Finance

3.0 Hours; 3.0 Credits Students are assigned current journal articles in financial mathematics for discussion in a seminar format. Corequisite: MTH 9871.

MTH 9881 Current Topics in Mathematical Finance 2016-06-08T22:17:13+00:00

MTH 9878 Interest Rate Models

3.0 Hours; 3.0 Credits The course introduces the quantitative interest rate models commonly used in the financial industry and their applications to the pricing and hedging of fixed income derivatives. The emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of portfolios of widely traded [...]

MTH 9878 Interest Rate Models 2016-06-08T22:17:22+00:00

MTH 9876 Credit Risk Models

3.0 Hours; 3.0 Credits The course introduces the quantitative credit risk models commonly used in the financial industry, and their applications to the pricing and hedging of widely traded credit derivative instruments. The emphasis is on practical aspects of modeling. Furthermore, applications of the models to the pricing and risk management of counterparty credit exposure [...]

MTH 9876 Credit Risk Models 2016-06-08T22:17:32+00:00

MTH 9873 Interest Rate Models and Interest Rate Derivatives

3.0 Hours; 3.0 Credits This course covers aspects of interest rate modeling and the valuation of mixed-income securities. Interest rate models such as Ho-Lee, Hull-White, Black-Derman-Toy, and Black-Karasinski will be presented. Topics include: implied volatility and mean reversion, path-dependent securities, option adjusted spread, duration and convexity, hedging techniques, Monte Carlo methods, and multi-factor models. Prerequisite: [...]

MTH 9873 Interest Rate Models and Interest Rate Derivatives 2016-06-08T22:17:39+00:00

MTH 9868 Advanced Risk and Portfolio Management

3.0 Hours; 3.0 Credits The course provides in-depth understanding of quantitative modeling for the buy-side from the foundations to the newest developments. The most advanced statistical and optimization techniques are thoroughly explained in theory and visualized in practice with live MATLAB examples and exercises. Prerequisite: MTH 9821

MTH 9868 Advanced Risk and Portfolio Management 2016-06-08T22:17:47+00:00