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So far dstefan has created 11 blog entries.

MTH 9867 Time Series Analysis and Algorithmic Trading

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 [...]

MTH 9867 Time Series Analysis and Algorithmic Trading2019-05-13T13:17:35-04:00

MTH 9866 Modeling and Market Making in Foreign Exchange

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

MTH 9866 Modeling and Market Making in Foreign Exchange2019-05-13T13:03:37-04:00

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 Camp2016-10-20T16:27:52-04:00

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 Downloads2016-10-20T16:27:52-04:00

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 Modeling2016-10-20T16:27:53-04:00

MTH 9816 Fundamentals of Trading

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 [...]

MTH 9816 Fundamentals of Trading2016-10-20T16:27:53-04:00

MTH 9901 Independent Study – Internship

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.

MTH 9901 Independent Study – Internship2016-06-08T22:19:41-04:00

Interview with Jim Gatheral of Baruch MFE

Jim Gatheral spent 17 years at Merrill Lynch in equity derivatives trading before joining the Baruch MFE program faculty full-time in 2010

Interview with Jim Gatheral of Baruch MFE2016-10-20T16:28:01-04:00

Baruch MFE Social Events

At Baruch MFE program, students have organized events ranging from opera, museum visits, to discussions about the markets at our local wine bar

Baruch MFE Social Events2016-10-20T16:28:02-04:00

Information Session for Baruch MFE

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: [...]

Information Session for Baruch MFE2019-02-11T10:38:13-04:00