3 Hours; 3 Credits This course covers various topics including: Time series; ARMA, ARCH, Conditional heteroscedastic, and GARCH models, High Frequency data analysis and algorithmic trading, Multivariate time series analysis, Principal component analysis (PCA) and factor models, State space models and Kalman filters, Markov Chain Monte Carlo Methods, Risk management of algorithmic trading strategies, Data [...]
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1.5 Hours; 1.5 Credits This course covers various topics including Spot markets, Forward markets, Vanilla option markets, Exotic derivative markets, and Algorithmic index markets. Prerequisites: TBD
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 [...]
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 [...]
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 [...]
1.5 (7 Weeks; 3.0 Hours per week) Hours; 1.5 Credits This course familiarizes students with how financial markets operate and the roles of market participants. Students are introduced to various securities and derivatives, order types, and investment objectives. Emphasis is placed on building financial models and applications to help recognize the potential returns and risks [...]
1-3 Variable Credits Students register for this course if they are doing an internship in a financial institution. Advisor approval required for registration. Prerequisite: MTH 9814, MTH 9843.
Jim Gatheral spent 17 years at Merrill Lynch in equity derivatives trading before joining the Baruch MFE program faculty full-time in 2010
At Baruch MFE program, students have organized events ranging from opera, museum visits, to discussions about the markets at our local wine bar
An information session covering admission to the Baruch MFE Program and the C++ online certificate offered by the Baruch MFE Program will take place on March 13th, at 6pm. Current students and the director of the program will answer questions and provide further information on all of our programs, including the C++ online certificate. Date: [...]