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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 9842 Linear and Quadratic Optimization Techniques 2015-11-19T10:36:11+00:00

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 [...]

MTH 9841 Statistics for Finance 2015-11-24T12:03:30+00:00

MTH 9903 Capstone Project and Presentation

3.0 Hours; 3.0 Credits Each student will be required to prepare a case study motivated by a real-world problem in finance whose solution requires the application of mathematical techniques presented in this program. The student's analysis and conclusions will be presented to faculty and students. Prerequisite: MTH 9852, MTH 9862. Corequisite: MTH 9871.

MTH 9903 Capstone Project and Presentation 2015-11-24T12:03:40+00:00

MTH 9821 Numerical Methods for Finance

3.0 Hours; 3.0 Credits Finite difference methods are discussed and implemented for valuating derivative securities such as plain vanilla European and American options, Bermudan options and barrier options. Numerical linear algebra methods used for finite difference solvers, including LU and Cholesky decompositions and iterative (Jacobi, Gauss-Siedel, SOR, and PSOR) methods are also implemented. Prerequisite: None

MTH 9821 Numerical Methods for Finance 2015-11-24T12:03:48+00:00

MTH 9815 Software Engineering for Finance

3.0 Hours; 3.0 Credits This course involves the careful examination of software development techniques for solving problems in finance. Emphasis is placed on productivity and the development of software engineering skills including automation, source control, and API design. The course is aimed at students who have a basic understanding of C++ and quantitative finance. The [...]

MTH 9815 Software Engineering for Finance 2015-11-24T12:03:56+00:00

2015 NSD-Baruch MFE Summer Camp

The 2015 NSD-Baruch MFE Summer Camp successfully completed at Baruch College on August 17; twenty-six students and alumni of the National School of Development (NSD) at Peking University arrived in New York kicking off the camp in the morning of August 3rd. The students are studying in the double major program in economics in NSD [...]

2015 NSD-Baruch MFE Summer Camp 2016-10-20T16:27:52+00:00

Volatility Workshop Downloads

Tuesday, June 16 Jim - Session 1 The volatility surface: Statistics and dynamics IPython pdf Jim - Session 2 Computationally tractable stochastic volatility models IPython pdf Andrew - Session 1 Interest Rate Options pdf Andrew - Session 2 The SABR model and its myriad flavors pdf Wednesday, June 17 Jim - Session 3 The SVI [...]

Volatility Workshop Downloads 2016-10-20T16:27:52+00:00

Baruch MFE Program – First Place in the 2015 IAQF Academic Case Competition

The Baruch MFE team won the Fourth Annual International Association of Financial Engineers (IAFE) Academic Student Competition. In a competition of 25 teams from 17 programs, Baruch MFE students researched and wrote a paper on developing a product which can be used to reduce the risk in defined benefit pension plans. The Baruch MFE team [...]

Baruch MFE Program – First Place in the 2015 IAQF Academic Case Competition 2016-09-27T14:16:10+00:00

Dr. Andrew Lesniewski named Curriculum Director of the Baruch MFE Program

  Professor Andrew Lesniewski, a renowned expert on interest rate modeling and celebrated in particular as one of the originators of the SABR model, who joined the Baruch MFE Program and the mathematics department at Baruch College in August 2013 as tenured full professor, has assumed the role of Curriculum Director of the Baruch MFE [...]

Dr. Andrew Lesniewski named Curriculum Director of the Baruch MFE Program 2016-10-20T16:27:52+00:00

MTH 9886 Emerging Markets and Inflation Modeling

1.5 (7 Weeks; 3.0 Hours per week) Hours; 1.5 Credits The course introduces mathematical models used to price and risk manage financial derivatives in Inflation and Emerging Markets. The emphasis is on practical aspects of modeling in special conditions and conventions across Emerging Markets. Modeling of the inflation derivatives covers rarely discussed practical aspects of [...]

MTH 9886 Emerging Markets and Inflation Modeling 2016-10-20T16:27:53+00:00