Baruch College's Financial Engineering MS Program

Required Courses for the Financial Engineering MS Program at Baruch College

MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
This course presents some of the most important derivative securities traded in the financial markets: forward and futures contracts, swaps, and options. Pricing principles such as arbitrage pricing, risk neutral pricing, the Black-Scholes formula and binomial trees are studied. Credit Risk and Credit Risk derivatives are also discussed.

MTH 9815 Object Oriented Programming for Financial Applications
This course covers the general and advanced features of object oriented programming and their
applications to solving financial engineering problems. Topics include: Template Programming in C++, Encapsulation, Inheritance and Virtual Functions, Bridging with a Virtual Constructor, Design
Patterns, Programming in the Black-Scholes Environment.
Co-requisite: MTH 9814.

MTH 9821 Numerical Linear Algebra (core math course)
This course begins with a brief presentation of fundamental linear algebra topics: vector spaces,
eigenvalues and eigenvectors, and diagonal forms of matrices. The main part of this course consists of the study of numerical methods used in linear algebra: direct and iterative methods for solving linear systems, eigenvalue methods, least square problems, and Newtons method.

MTH 9831 Real Analysis and Probability (core math course)
This course covers enough measure and integration theory to lead quickly to probability. The fundamentals of probability are then covered, to include probability spaces, random variables, expectation, conditional probability and expectation, moments and certain limit theorems.

MTH 9852 Numerical Methods for PDEs in Finance (core math course)
Security prices are often represented as solutions to parabolic partial differential equations (PDEs)
arising out of the stochastic calculus. This course focuses on the study of these equations, from both a theoretical and a numerical point of view. Several finite difference methods are presented, and their performance is compared with other methods, e.g., binomial methods. Applications include the Black-Scholes formula for American options as the solution of a PDE as well as some exotic option pricing. Prerequisites: MTH 9815, MTH 9821, MTH 9831.

MTH 9862 Stochastic Processes in Finance (core math course)
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 Itô's formula. The Black-Scholes formula is presented from the standpoint of expectation in
an appropriate probability space. Prerequisites: MTH 9815, MTH 9821, MTH 9831.

MTH 9871 Advanced Computational Methods in Finance
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. Prerequisites: MTH 9852, MTH 9862.

MTH 9873 Interest Rate Models and Interest Rate Derivatives
This course covers aspects of interest rate modeling and the valuation of fixed-income securities.
Interest rate models such as Ho-Lee, Hull-White, Black-Derman-Toy, and Black-Karasinski will be
presented. Topics include: implied volatility and mean reversion, path-dependent securities, option
adjusted spread, duration and convexity, hedging techniques, Monte Carlo methods, and multi-factor models.

MTH 9903 Capstone Project and Presentation
Each student is required to prepare a case study motivated by a real-world problem in finance whose solution requires the application of mathematical techniques presented in this program. The students analysis and conclusions are presented to faculty and students.

Elective Courses the Financial Engineering MS Program at Baruch College

MTH 9841 Statistics for Finance
This course will cover probability and statistics form a Bayesian perspective, with applications to finance. Topics will include joint marginal and conditional probability; discrete and continuous random variables; Bayesian inferences for means and proportions compared with the corresponding frequentist ones; simple linear regression model analyzed in a Bayesian manner; Bayesian approach to portfolio optimization, including Black-Litterman. A portion of the course will be devoted to teaching a statistical package, most likely R or S-Plus.

MTH 9842 Linear and Quadratic Optimization Techniques
This course covers linear and quadratic optimization as well as other nonlinear techniques. Applications from finance include problems in game theory and portfolio optimization. Prerequisites: MTH 9821, MTH 9831. Corequisite: MTH 9815.

MTH 9848 Elements of Structured Finance
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 both extensive and preparatory to the advanced level.

MTH 9849 Deal Theory and Structured Analysis
After taking this class, successful candidates will be able to model a transaction a priori based on the prospectus and issuer databases using the techniques described in class. In addition, the student will be in a position to accurately value asset-backed securities in arbitrary non-revolving transactions in most asset classes, i.e. to assign them assign credit ratings and interest rates. It is also an objective to enable students to discuss intelligently the drivers of credit, liquidity and other risks with a view towards optimal liability structuring.

MTH 9845 Market and Credit Risk Management
This course covers qualitative and quantitative aspects of the financial risk associated with managing financial portfolios and with credit default. Topics include: market risk, VaR and stress testing, model risk, spot and forward risk, credit default risk and credit derivatives.

MTH 9881 Current Topics in Mathematical Finance
Students are assigned current journal articles in financial mathematics for discussion in a seminar format.

MTH 9900 Special Topics in Mathematics
This course is designed to expose the advanced student to a variety of mathematical topics that are not covered in the regular curriculum. Topics will vary from year to year.

With the permission of the Department of Economics and Finance, the following courses may be taken as electives:

FIN 9770 Financial Markets and Institutions
FIN 9782 Futures and Forward Markets
FIN 9783 Investment Analysis 3
FIN 9786 International Financial Markets
FIN 9790 Seminar in Finance
FIN 9793 Advanced Investment Analysis
FIN 9797 Options Markets
ECO 82100 (Term I) Econometrics I
ECO 82100 (Term II) Financial Econometrics
STA 9700 Modern Regression Analysis
STA 9701 Time Series: Forecasting and Statistical Modeling