Curriculum

Study plan

Semester 1
2604852 Mathematics for Finance 3 credits
2604853 Optimization Techniques in Finance 3 credits
2604854 Differential Equations and Numerical Methods in Finance 3 credits
2900701 Microeconomic Analysis and Applications 3 credits
Semester 2
2900702 Econometrics 3 credits
2604858 Stochastic Processes for Finance 3 credits
2604859 Advanced Financial Theories 3 credits
Semester 3
2604860 Advanced Derivatives and Risk Management 3 credits
2604861 Financial Asset Modeling 3 credits
2604926 Empirical Research in Corporate Finance 3 credits
Semester 4
2604869 Empirical Research in Quantitative Finance 3 credits
2604925 Selected Topics in Financial Risk Management 3 credits
Semester 5
2604826 Dissertation and workshops 9 credits
Semester 6
2604826 Dissertation and workshops 9 credits
Semester 7
2604826 Dissertation and workshops 9 credits
Semester 8
2604826 Dissertation and workshops 9 credits
Total 72 credits

Course description


2604852 Mathematics for Finance (3 credits)

Probability spaces; random variables; distribution functions; moment generating function; linear spaces; independence and dependence of vectors; dimension; linear transformations; solving linear equation by LU decomposition; eigenvalues, eigenvectors and spectral theory; Jordan canonical form; Schur form; special classes of matrices and their properties: normal, symmetric, and Hermitian.

2604853 Optimization Techniques in Finance (3 credits)

Linear programming: convex sets, simplex method, duality, and sensitivity analysis; non-linear programming: Kuhn-Tucker, Lagrangian duality, and saddle point conditions; algorithms and convergence; application of optimization techniques in finance.

2604854 Differential Equations and Numerical Methods in Finance (3 credits)

First-order and second-order equations; diffusion equation; Laplace's equation; boundary value problems; numerical solution of partial differential equations; Monte Carlo simulation; lattice methodology.

2900701 Microeconomic Analysis and Applications (3 credits)

Consumer behavior; production; firm behaviors; perfectly competitive and imperfectly competitive markets; general equilibrium and welfare theorem; market failure; elementary applications of game theory; economic of uncertainty and imperfect information.

2900702 Econometrics (3 credits)

Prerequisite: 2604852, 2604853 or Consent of faculty
Simple and multiple linear regression model; problems of model specification; autocorrelation; heteroscedasticity; multicollinearity; functional form; maximum likelihood estimation; instrumental variable estimation; generalized method of moment estimation; model selection; residual analysis; analysis of data under nonstandard conditions; dynamic models; qualitative models; estimation of nonlinear models.

2604858 Stochastic Processes for Finance (3 credits)

Prerequisite: 2604852 or Consent of faculty
Stochastic process theory: discrete-time Markov chains, random walks, martingales, continuous-time Markov chains, Poisson processes, and Brownian motion; applied stochastic processes in financial engineering: gambler's ruin problem, and Markov sequential decision processes; introduction to stochastic calculus: stochastic integral, Ito's lemma.

2604859 Advanced Financial Theories (3 credits)

Prerequisite: 2604855 or Consent of faculty
Models of choice under uncertainty; risk aversion; stochastic dominance; single-period portfolio optimization problems; equilibrium models of asset markets: Arrow-Debreu model of complete markets, capital asset pricing model (CAPM), and arbitrage pricing theory model (APT); mutual fund separation theorems; multi-period asset markets; portfolio choice in a multi-period context; financial decision of firms; Modigliani-Miller theorems (M&M).

2604860 Advanced Derivatives and Risk Management (3 credits)

Prerequisite: 2604858 or Consent of faculty
Uses and features of derivatives: futures, options, and swap; concept of arbitrage-free pricing and hedging; binomial option pricing model; Black-Scholes model; volatility measurement; pricing of nonstandard options; concept of financial risk management; market and credit risk measurements; modeling and analysis of derivatives.

2604861 Financial Asset Modeling (3 credits)

Prerequisite: 2604858 or Consent of faculty
Fixed income securities; theories and estimation of term structure of interest rates; classical interest rate models: Vasicek model, and Cox-Ingersoll-Ross model; arbitrage free interest-rate models: Ho-Lee model, Black-Derman-Toy model, and Heath-Jarrow-Morton model; uses and pricing of fixed-income derivatives; portfolio theories; dynamic asset allocation; investment strategies; portfolio performance evaluation.

2604869 Empirical Research in Quantitative Finance (3 credits)

Prerequisite: 2604856 or Consent of faculty
Time series analysis; ARIMA processes for univariate and multivariate; unit roots and cointegration; ARCH and GARCH models; multifunction models; vector autoregression(VAR); asset return prediction; non-parametric estimation; bootstrap techniques.

2604925 Selected Topics in Financial Risk Management (3 credits)

Prerequisite: 2604860 or Consent of faculty
Concept and traditional measurements of market risk; value at risk (VaR) approaches; advanced topics on VaR; extreme value theorem; concept of credit risk modeling; structural form models: Merton model, and Longstaff-Schwartz model; reduced form models: Duffie-Singleton model, and Hull-White model; actuarial model; credit scoring model; pricing and uses of credit derivatives; liquidity risk model; operational risk
model.

2604926 Empirical Research in Corporate Finance (3 credits)

Prerequisite: 2604859 or Consent of faculty
Advanced theories and empirical investigations: financial decisions of firm, agency problems, corporate governance, dividend policy, capital structure, and mergers and acquisitions.

2604927 Special Topics in Finance (3 credits)

Prerequisite: 2604859 or Consent of faculty
Special topics in finance.

2604897 Qualifying Examination S/U


2604826 Dissertation 36 Credits


Graduation requirement

Apart from the coursework, students need to pass the following exams:

  • Qualifying exam: taken after the 2nd semester.
  • Proposal defense: after the 4th semester onward.
  • Final dissertation defense.