3 Hours; 3 Credits This course covers the various specialized mathematical numerical methods that are applied to security valuation and risk management. The mathematical principles of arbitrage-free valuation are applied to binomial and other lattice methods, term structure interest rate models, path-dependent securities, multi-factor models, Monte Carlo methods, and other current topics. [...]

Presidential Professor Baruch College, CUNY Phone: 646.312.4134 Email: jim.gatheral@baruch.cuny.edu Mailing address: Department of Mathematics Box B6-230, Baruch College One Bernard Baruch Way New York, NY 10010, USA Jim Gatheral joined the Financial Engineering MS Program in the department of mathematics at Baruch College in 2010 as a tenured full professor. Since 2013, he is Presidential Professor at [...]

Regulation and Compliance in Financial Services Baruch MFE Certificate April 29 - May 21, 2023 In the midst of the current banking crisis, Professor Ken Abbott, former CRO for the Americas at Barclays and Baruch MFE professor and Mr. Jan Voigts, former Vice President of the Federal Reserve Bank of New York who was [...]

3 hours; 3 credits The course objective is to allow students to analyze the basic credit quality of securitizations backed by commodity asset types (mortgages, auto loans, credit cards, CDOs). Mastery of the material in this course will let the student model and evaluate the credit impact of collateral or structural alternatives. Hands-on work is [...]

3 Hours; 3 Credits The course assumes a working knowledge of concepts of econometric analysis. The objective is to work through a common set of principles, to formulate the theoretical underpinnings of various models, to study the workings of many econometric models, to be able to recognize variants of existing models, to develop variations of [...]

3 Hours; 3 Credits Modern methods of modeling and forecasting time series. The principal topic is the Box-Jenkins method of using autoregressive and moving average models, including non-seasonal and seasonal models, transformations to achieve stationarity, model identification by analysis of the sample autocorrelation and partial autocorrelation functions, criteria for model selection, and the use of [...]

3 Hours; 3 Credits This first course in linear models is designed to present the material related to classical regression as well as relevant modern techniques. The traditional material based on ordinary least squares is blended with the modern methods of diagnosis and combating of collinearity. In the area of selecting the optimal subset model, [...]

3 Hours; 3 Credits Study of options, including the following topics: the structure and operation of organized exchanges, investment strategies under different market scenarios, arbitrage pricing, the valuation of options as a mechanism to price corporate securities, portfolio insurance as a trading strategy, and recent developments in the options markets. Pre/Corequisite: FIN 9783 or FIN [...]

3 Hours; 3 Credits Security valuation and portfolio management and analysis, empirical evidence, imperfections, and institutional implications. Applicable articles, cases, and problems will be assigned. Prerequisite: FIN 9773 or FIN 9783

3 Hours; 3 Credits Selected topics to be chosen by the department. In occasional semesters, the topic will be fixed income securities. The innovative instruments such as zero coupons, strip bond swaps, mortgage-backed securities, and others will be analyzed along with the more traditional securities. Other topics considered in some years will be structuring incentive [...]