Orientation-2009-I

Orientation-2009-I - Orientation Session Fall 2009...

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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. Yue-Kuen Kwok, Financial Prof. Mathematics Mathematics Prof. Qi-Man Shao, Probaility Prof. Bin-Yi Jing, Probability Prof. Kani Chen, Statistics Prof. Man-Yu Wong, Statistics Prof. Shi-Qing Ling, Statistics Prof. Mike So, Statistics Visiting Prof. Jerome Yan, Finance Visiting Dr. Mei-Choy Chiu Dr. Prof. Lixin Wu, Financial Mathematics Teaching Staff from Outside Teaching Dr. Chun-De 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 Full-time students are advised to Full-time take no more than four courses per semester per Part-time students should take Part-time 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 Non-local Students For Mainland students can stay in Mainland Hong Kong for up to a year after graduation. graduation. Internship for this one-year 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 large-scale component programming; reusable components for path-dependent options under the Monte Carlo framework. Background: Prior programming experience MAFS 601B Financial Derivatives MAFS and Martingale Pricing Theory and Black-Scholes-Merton framework, Black-Scholes-Merton 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: GARCH-type 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: mean-variance approach, one-fund and two-fund theorems. Capital asset pricing models. Arbitrage pricing theory. Consumption-investment 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 Black-Scholes-Merton 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: Ingersoll-Ross models. Term Ingersoll-Ross structure models: Hull-White fitting procedure. Heath-Jarrow-Morton pricing framework. LIBOR and swap market models, Brace-Gatarekmarket 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 price-based Credit pricing. Credit spread models. Recovery modeling. Intensity based models. Credit rating models. Firm value and share price-based 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, fixed-income and hybrid) financial derivatives products. Lattice tree methods. Finite difference schemes. Forward shooting grid techniques. Monte Carlo simulation. Structured products analyzed include: Convertible securities; Equity-linked 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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