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Unformatted text preview: Orientation Session, Fall 2009
Orientation Master of Science
in
in
Financial Mathematics
Financial
and
Stastistics Welcome! What Make this Program
Distinguished?
Distinguished? Derivative modeling Equity Fixed income Credit Inflation Hybrid and structured products Risk Management
Financial economics Teaching Staff from UST
Teaching Prof. YueKuen Kwok, Financial
Prof.
Mathematics
Mathematics
Prof. QiMan Shao, Probaility
Prof. BinYi Jing, Probability
Prof. Kani Chen, Statistics
Prof. ManYu Wong, Statistics
Prof. ShiQing Ling, Statistics
Prof. Mike So, Statistics
Visiting Prof. Jerome Yan, Finance
Visiting
Dr. MeiChoy Chiu
Dr.
Prof. Lixin Wu, Financial Mathematics Teaching Staff from Outside
Teaching Dr. ChunDe Shum (former senior VP of JP
Dr.
Morgan), Quant Programmer
Morgan),
Prof. Harry Zheng (Imperial College),
Prof.
Financial Mathematics
Financial
Prof. M. Dai (NUS), Financial Mathematics
Prof. M. Kijima (Kyoto Univ.), Financial
Prof.
Mathematics and Applied Economics
Mathematics
Dr. S.Y. Leung (Citigroup)
Dr. Bon Ho (Macquaire)
Mr. Y.F. Lam (HSBC)
Mr. G.X. Wu (Essense Security) Regulations for Course Taking
Regulations Fulltime students are advised to
Fulltime
take no more than four courses
per semester
per
Parttime students should take
Parttime
nor more than two courses, or
he/she should change to fullhe/she
time mode (The change of
time
mode can only be made once).
mode Degree Requirement: 30 credits
and a B or better GPA
and
• Category of courses
•
•
•
• •
• 6 credits from the list of foundation
credits
courses
courses
9 credits from the list of courses in
credits
financial mathematics
financial
9 credits from the list of courses in
credits
statistics
statistics
6 credits as free electives*
credits A graduation GPA of B or above.
For other information, please visit
Program webpage. A Complete List of Courses
Complete Courses of the MSc Program
Courses
MSc
Courses of Mathematics of Fall Sem Courses for Fall 2009
Courses MAFS 501 Stochastic Calculus (B.Y.
MAFS
Jing)
Jing)
MAFS 511 Advanced Data Analysis
MAFS
with Statistical Programming (M. So)
with
MAFS 524 Software Development
MAFS
with C++ for Quantitative Finance
(C.D. Shum)
(C.D.
MAFS 601B Financial Derivatives
MAFS
and Martingale Pricing Theory (M.C.
Chiu)
Chiu) Course of Spring 2010
Course MAFS 513 Quantitative Analysis of
MAFS
Financial Time Series (SQ Ling)
Financial
MAFS 522 Quantitative and Statistical Risk
MAFS
Analysis (Y.F. Lam, G. Wu and L. Wu)
MAFS 601A Volatility Derivatives and
MAFS
Structured Products (Y.K. Kwok, B. Ho, J.
Yen), or
MATH 572 Interest Rate Models (L. Wu)
MATH 685A Mathematical Models of
MATH
Financial Economics (Y.K. Kwok)
Financial
MATH 685B Volatility Smile Modeling (L.
MATH
Wu)
Wu) Courses for the 1st Summer
Courses
Session of 2010
Session MAFS 523 Advanced Credit
MAFS
Risk Models (H. Zheng)
Risk
MAFS 525 Computational
MAFS
Methods for Pricing Structured
Products (YK Kwok)
Products Courses for the 2nd Summer
Courses
Session of 2010
Session MAFS 502 Advanced Probability
MAFS
and Statistics (MC Chiu)
and An Interdisciplinary Program
An Three corner stones
Economics
Finance
Financial markets
Business Probability
Statistics
Stoch. Analysis
PDE
Numer. Anal. C++, Java, VBA,
Pearl, R,
database
management Financial Mathematics IT skills Economics Job Related
Job
Issues
Issues Types of Institutions
Types Investment banks
Hedge funds
Asset management companies
Securities firms
Insurance companies
Commercial banks Targeted Professions
Targeted Derivatives traders
Quantitative programmers
Sales of financial instruments
Software developers
Quantitative analysts
Quant for trading desks Quant for middle and back offices Risk analysts/managers Statistical analysts Where Our Students Work?
Where Citigroup, Merrill Lynch, Societie
Citigroup,
General, DBS, Nomura,
Macquarie, Credit Lyonnais
Security Asia, Athbest Financial
Groups, Hang Seng Bank,
CITIC KA Wah Bank, Clayons
CITIC
Moody( 中中 ), 中中 , 中中 , 中中 , 中中中 , 中中
中中 中中 中中中 中中 Job Information
Job The contacts between the program
The
and the industry
and
Student Affair Office
Internet job sites
Jobs in Finance Financial Analysis Jobs
Jobs Jobs Finance 51job chinahr ? ? ? ? ! www.zhaopin.com www.chinabond.com.cn For Nonlocal Students
For Mainland students can stay in
Mainland
Hong Kong for up to a year after
graduation.
graduation.
Internship for this oneyear
Internship
program is discouraged by both
University and Immigration
Department.
Department. About Internship
About Yet students under student visa
Yet
can still apply
can
Such internship is limited to a
Such
maximum of 20 hours/week, and
the interns have to take course
with at least 9 credits
with Thank you for your attentions! Questions?
Questions? Course Description
Course MAFS 501 Stochastic Calculus
MAFS
Random walk models. Filtration.
Martingales. Brownian motions
Diffusion processes. Forward and
backward Kolmogorov equations.
Ito's calculus. Stochastic differential
equations. Stochastic optimal
control problems in finance. MAFS 511 Advanced Data Analysis with
MAFS
Statistical Programming
Statistical
Data analysis and implementation of
Data
statistical tools in a statistical program, like
SAS, R, or Minitab. Topics: reading and
describing data, categorical data and
longitudinal data, correlation and
regression, nonparametric comparisons,
ANOVA, multiple regression, multivariate
data analysis. MAFS 524 Software Development with C+
+ for Quantitative Finance
This course introduces C++ with
This
applications in derivative pricing. Contents
include abstract data types; object creation,
initialization, and toolkit for largescale
component programming; reusable
components for pathdependent options
under the Monte Carlo framework.
Background: Prior programming
experience MAFS 601B Financial Derivatives
MAFS
and Martingale Pricing Theory
and
BlackScholesMerton framework,
BlackScholesMerton
dynamic hedging, replicating
portfolio. Martingale theory of option
pricing, risk neutral measure. Exotic
options: barrier options, lookback
options and Asian options. Free
boundary value pricing models:
American options, reset options. MAFS 513 Quantitative
MAFS
Financial Time Series Analysis of Analysis of asset returns: autocorrelation,
predictability and prediction. Volatility
models: GARCHtype models, long range
dependence.
High
frequency
data
analysis: transactions data, duration.
Markov switching and threshold models.
Multivariate time series: cointegration
models and vector GARCH models.
Background: Entry PG level MATH MAFS 521 Mathematical Models of
MAFS
Investment
Investment
Utility theory, stochastic dominance.
Utility
Portfolio analysis: meanvariance
approach, onefund and twofund
theorems. Capital asset pricing
models. Arbitrage pricing theory.
Consumptioninvestment problems. MAFS 522 Quantitative and
MAFS
Statistical Risk Analysis
Statistical
Various risk measures such as Value
Various
at Risk and Shortfall Risk. Coherent
risk measures. Stress testing, model
risk, spot and forward risk. Portfolio
risks. Liabilities and reserves
management. Case studies of major
financial losses. MATH 571 Mathematical Models of
MATH
Financial Derivatives
BlackScholesMerton framework,
dynamic hedging, replicating
portfolio. Martingale theory of option
pricing, risk neutral measure. Exotic
options: barrier options, lookback
options and Asian options. Free
boundary value pricing models:
American options, reset options. MATH 572 Interest Rate Models
MATH
Theory of interest rates, yield curves,
short rates, forward rates. Short rate
models: Vasicek model and Coxmodels:
IngersollRoss models. Term
IngersollRoss
structure models: HullWhite fitting
procedure. HeathJarrowMorton
pricing framework. LIBOR and swap
market models, BraceGatarekmarket
Musiela approach. Affine models.
Musiela MATH 600 Volatility Smile Modeling
The mechanism of volatility
The
smile/skew. Pros and cons of local
volatility diffusion model. Dynamics
of jump and stochastic volatility. Levy
framework. Affine models. Models of
stochastic volatility: Heston’s model
and SABR model.
and Courses for the 1st Summer
Courses
Session of 2010
Session MAFS 523 Advanced Credit
MAFS
Risk Models (H. Zheng)
Risk
MAFS 525 Computational
MAFS
Methods for Pricing Structured
Products (YK Kwok)
Products Course Descriptions
Course MAFS 523 Advanced Credit Risk
MAFS
Models
Models
Credit spreads and bond pricebased
Credit
pricing. Credit spread models.
Recovery modeling. Intensity based
models. Credit rating models. Firm
value and share pricebased models.
Industrial codes: KMV and Credit
Metrics. Default correlation: copula
functions. MAFS 525 Computational Methods for Pricing
MAFS
Structured Products
Structured
Computational methods for pricing structured
Computational
(equity, fixedincome and hybrid) financial
derivatives products. Lattice tree methods. Finite
difference schemes. Forward shooting grid
techniques. Monte Carlo simulation. Structured
products analyzed include: Convertible securities;
Equitylinked notes; Quanto currency swaps;
Differential swaps; Credit derivatives products;
Mortgage backed securities; Collateralized debt
obligations; Volatility swaps. Background: Entry PG
level MATH Courses for the 2nd Summer
Courses
Session of 2010
Session MAFS 502 Advanced Probability and
MAFS
Statistics (MC Chiu)
Statistics
Probability spaces, measurable functions
Probability
and distributions, conditional probability,
conditional expectations, asymptotic
theorems, stopping times, martingales,
Markov chains, Brownian motion, sampling
distributions, sufficiency, statistical decision
theory, statistical inference, unbiased
estimation, method of maximum likelihood.
Background: Entry PG level MATH ...
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