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The 2025 Baruch MFE 5th Year Career Development Report covers results from a career development survey conducted on Baruch MFE graduates from 2016 to 2018, who have been working for 4 to 6 years after graduation. The survey was distributed to all the 2016-2018 Baruch MFE alumni. Of the 107 alumni surveyed, 84 responded, representing a [...]
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 [...]
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
Baruch College’s Masters of Financial Engineering (MFE) team won the sixth annual International Association for Quantitative Finance (IAQF) competition, in a three-way tie at the top. The competition featured 25 teams from 19 MFE programs. This victory marks the third consecutive year the Baruch MFE Program has won the IAQF and adds to what has [...]
The Baruch College’s Master of Financial Engineering Program won First Place (out of 52 teams) at the 14th Rotman International Trading Competition held in February 2017 in Toronto. This is our second win in a row after the record-breaking win from 2016, and the third win all-time, after winning RITC 2012. The performance of the [...]
The Baruch MFE team won the 5th IAQF Student Competition, the second year in a row our students win the competition. In a competition of 27 teams from 17 programs, our students worked on estimating industry sensitivities to oil prices and the effectiveness of hedges of oil price risks. Teams from UC Berkeley and University [...]
Our Baruch MFE student Song Wang (Baruch MFE December'16) won the Solve-a-thon at MITÂ trading competition organized by WorldQuant and a cash prize of $10,000 for achieving a score of over 100,000 (calculated based on alpha generation) in less than two months. Out of over 700 participants, the next highest score was 55,000, and only [...]
1.5 Hours; 1.5 Credits This course covers various filtering techniques such as Kalman filter, particle filtering,and chaos based filtering. Applications include estimation of stochastic volatility parameters from timeseries of underlying asset prices and the use of stochastic volatility in derivative pricing. It also compares the cross-sectional and time-series based estimated parameters and applies the results [...]
3.0 Hours; 3.0 Credits This course covers the basic stochastic processes and probabilistic techniques used in finance, for example: random walks, Markov chains, martingales, Brownian Motion, stochastic integration, and Ito's formula. The Black-Scoles formula is presented from the standpoint of expectation in an appropriate probability space. Prerequisite: MTH 9814 and MTH 9831
3.0 Hours; 3.0 Credits The course introduces the quantitative techniques and models commonly used in the asset management industry. The emphasis is on practical aspects of modeling, and specific techniques for portfolio construction and risk management. Topics include classic subjects such as Markowitz’s mean-variance optimization, CAPM and APT models, the Black- Litterman model, as well [...]
