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VBA/Python/SQL Online Certificates

The VBA/Python/SQL Online Certificates are a joint project by the Baruch MFE Program and Mark Ross, Baruch MFE instructor. The courses are delivered entirely online by ScriptUni and are part of the Pre-MFE Program. A teaching assistant is provided to each student, and the Baruch MFE Program grants a Certificate of Completion upon successfully completing each [...]

Master of Science Program in Statistics – Data Science Track

Beginning Fall 2017, the Master of Science Program in Statistics at Baruch College will offer a Data Science track jointly with the Baruch MFE Program. The Data Science track will consist of the courses listed below (in addition to the core required courses from the MS in Statistics Program). These courses are cross-listed in the Mathematics [...]

Baruch MFE’s Team Wins First Place in 2017 Rotman International Trading Competition

The Baruch College’s Master of Financial Engineering Program won First Place (out of 52 teams) at the 14th Rotman International Trading Competition held in February 2017 in Toronto. This is our second win in a row after the record-breaking win from 2016, and the third win all-time, after winning RITC 2012. The performance of the [...]

The Baruch MFE team won the 5th IAQF Student Competition

The Baruch MFE team won the 5th IAQF Student Competition, the second year in a row our students win the competition. In a competition of 27 teams from 17 programs, our students worked on estimating industry sensitivities to oil prices and the effectiveness of hedges of oil price risks. Teams from UC Berkeley and University [...]

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