400-004-8861
Term 1 (October – December) Core Modules Econometrics with Financial Applications (15 - Term 1) forecasting; stochastic volatility; ARCH; GARCH; co-integration; statistical-arbitrage; non-stationarity; unit roots Introduction to Quantitive Finance (10) options pricing; Black-Scholes; European and American options; exotic options; fixed income; binomial method; random walks C++ for Finance (10 - Term 1) valuation system, simulation, polymorphic factory, design patterns, Boost library Computational Methods and Programming (20) Numerical Methods II (10) Interpolation methods (including piecewise polynomial), numerical integration (including Newton-Cotes and Gaussian quadrature), finite difference method for boundary-value problems, convergence acceleration and Richardson extrapolation. Risk Analytics* (10) copulas; Value-at-Risk; expected shortfall (cVaR); mean-variance portfolio optimization; PCA; stress testing; Black-Litterman; live trading * Alternatively, students can attend the Advanced Risk and Portfolio Management Bootcamp in advance. Optional Modules International Banking and Finance (20) Macroeconomics (20) Economic growth, consumption, investment, exchange rates, interest parity conditions, overshooting, speculative attacks, inflation, monetary policy. Nonlinear Programming I (10) Optimality condition; convex set and convex function; duality theory; unconstrained optimization; constrained optimization; conjugate gradient algorithms; Newton-type algorithms; interior point algorithms; Lagrangian methods. Topics in Money and Banking (10) Integer Programming (10) Alternative formulations; optimality; relaxation; primal and dual bounds; total unimodularity; cut-plane algorithm; branch and bound method; network flow problems; knapsack problems; matching problem; assignment problem; set covering problem Game Theory (10) Conic Optimization (10)