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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

MTH 9865 Commodities and Futures Trading

1.5 Hours; 1.5 Credits This course covers trading and hedging in futures markets. Students will implement trading strategies using futures and options on futures, and analyze their risk, including counterparty risk, and performance based on trading costs and frequency of trading. Energy futures and their trading will be emphasized. Prerequisite: MTH 9814 and MTH 9815; [...]

MTH 9865 Commodities and Futures Trading 2016-06-08T22:17:56+00:00

MTH 9864 Model Review for Quantitative Models in Finance

1.5 Hours; 1.5 Credits This course covers the technical aspects of generating a quantitative model, back-testing it, and implem enting it in production. Students will learn about the motivation and practical aspects of the model validatio n process, and its importance in the financial industry. Prerequisite: MTH 9814

MTH 9864 Model Review for Quantitative Models in Finance 2016-06-08T22:18:03+00:00

Andrew Lesniewski

PhD. in Mathematics, Swiss Federal Institute of Technology (ETH), Zürich, 1986 Department of Mathematics Baruch College One Bernard Baruch Way New York, NY 10010 USA Phone: (646) 312-4183 Email: andrew.lesniewski@baruch.cuny.edu

Andrew Lesniewski 2016-10-20T16:27:54+00:00

Baruch Quantitative Finance Seminar

The Baruch Quantitative Finance Seminar provides a forum for Baruch faculty and students to present their research. Seminars are open to everyone who is interested.  We meet on select Wednesday afternoons, typically from 2pm to 3pm in Baruch Vertical Campus Room 6-215. Jim Gatheral, Presidential Professor, Department of Mathematics Fall 2014 September 24, 2014 Jim [...]

Baruch Quantitative Finance Seminar 2016-10-20T16:27:55+00:00

Baruch MFE’s Team Wins Fourth Place in 2014 Rotman International Trading Competition

The Baruch College’s Master of Financial Engineering (MFE) program won 4th place (out of 52 teams from 48 universities) at 11th Rotman International Trading Competition held in February 2014 in Toronto. This is the fourth year in a row a Baruch MFE team is in Top 5 at RITC (after winning the competition in 2012 [...]

Baruch MFE’s Team Wins Fourth Place in 2014 Rotman International Trading Competition 2016-10-20T16:27:55+00:00