Advanced Calculus with Financial Engineering Applications - February 4 - March 29, 2010, New York

[dstefan]

Advanced Calculus with Financial Engineering Applications - February 4 - March 26, 2010, New York

Advanced Calculus with Financial Engineering Applications
Baruch College Financial Engineering Program
February 4 - March 26, 2010​

Mathematical and financial concepts that are fundamental for a successful learning experience in financial engineering graduate programs will be presented and explained in detail. Strong emphasis will be placed on fully understanding the material.

See the attached detailed syllabus for more information.

Mathematical topics (selected):

• Numerical integration methods
• Lagrange multipliers
• Convergence of Taylor series expansions
• Finite difference approximations
• Stirling's formula
• Polar coordinates transformations
• Newton's method for higher dimensional problems

Financial topics (selected):

• Bond duration and convexity
• Put-Call parity
• Black-Scholes formula
• Numerical estimation of the Greeks
• Implied volatility
• Bootstrapping for finding interest rate curves

Dates and Times:
Lectures: Thursdays, February 4, 11, 18, 25, and March 4, 11, 18, 25, 6-10pm
Final Exam: Friday, March 26, 7-9pm

Instructor: Dan Stefanica, Director, Baruch College Financial Engineering Program

Tuition: $1,250

Certification: Upon successfully completing the Advanced Calculus with Financial Engineering Applications and passing the final exam, a Certificate of Completion will be issued by the Baruch MFE Program.

Registration: To register or to receive more information about the Advanced Calculus with Financial Applications Seminar, send email to baruch.mfe@gmail.com
Textbooks:
``A Primer for the Mathematics of Financial Engineering", by Dan Stefanica, FE Press, 2008.
``Solutions Manual - A Primer for the Mathematics of Financial Engineering", by Dan Stefanica, FE Press, 2008.

Prerequisites: Students should read in advance the following sections from the textbook:
Chapter 1, Sections 1.1 - 1.10
Chapter 2, Sections 2.6, 2.7
Chapter 3, Sections 3.1 - 3.4
and do the exercises from the first chapter (Section 1.12).

Detailed problem solutions can be found in the Solutions Manual; brief versions can also be found at http://quantnet.com/forum/forumdisplay.php?f=88

 

[dstefan]

The registration for the Advanced Calculus with Financial Engineering Applications seminar is now open.

For an optimal learning environment, enrollment is limited to 30 students.

 

[dstefan]

New date for the Final Exam

The date for the final exam was changed to Friday, March 26, to account for religious holidays.

 

[dstefan]

Testimonies from people who attended the Advanced Calculus with Financial Engineering Applications seminar help in July 2009:

It was a pleasure to take the class and thank you again for the opportunity. Please count me in if there are other open courses in the future.
VP, Asset Management Firm, AC-FE 2009 Participant

It was a pleasure being part of this class. I have enjoyed and learned a lot, but more than that, this course helped me to decide what will be the next steps in my career/education.
IT Specialist, Bank Holding Company, AC-FE 2009 Participant

Thank you very much for your inspiring class!
As I flash back over the past two weeks, everything about your class was wonderful! The two week vacation I took for the class has been most rewarding.
Business Analyst, New York Bank, AC-FE 2009 Participant

 

[dstefan]

Enrollment update: 9 seats left as of 01/15/2009.

 

[dstefan]

The registration process includes a meeting with the instructor prior to registering for the course, in which background and seminar usefulness are discussed.

 

[folack]

dear dstefan thank you for this info .in fact i have a bachelor in banking and finance. this implies that if i have admissioin from baruch mfe i will undertake this advance calculus first or i dont really understand .polease explain me how it happens thanks

 

[dstefan]

You will have to rephrase the question. I am not sure what you mean.

 

[aymone]

Dear Dr. Stefanica,

will this course be offered again in fall 2010 or Spring 2011? I'm rea;;y interested but cannot afford it now.

 

[folack]

my preocupatiuon is that when do we take this advance calculus is it directly after admission?

 

[dstefan]

Dear Dr. Stefanica,

will this course be offered again in fall 2010 or Spring 2011? I'm rea;;y interested but cannot afford it now.

Not sure as of now.

---------- Post added at 05:21 PM ---------- Previous post was at 05:20 PM ----------

my preocupatiuon is that when do we take this advance calculus is it directly after admission?

You should decide on whether to take the course or not based on the material being taught and your need to learn or refresh it.

 

[aymone]

Hopefully, yes. Until then I will be on the look out. Thank you for the prompt response.

 

[dstefan]

Enrollment update: 4 seats left as of 01/26/2009.

 

[iptes]

Meeting you tomorrow regarding this course, hope there'll be one seat left for me

 

[dstefan]

A seat in now reserved for you, pending the outcome of tomorrow's conversation

 

[dstefan]

The seat limit was reached and registration is now officially closed. Looking forward to the seminar.

 

[eman]

MFE

I'm interested in MFE so much, that's why I planed to get c++ certificate before applying to its program.
Now I'm thinking of getting a certificate of advanced mathematics or a certificate of differential equations. I just wanna be sure to have good points in my application and my CV when I apply to the program.
By the way, I'm a civil engineer and working as a senior math teacher for about 8 years teaching calculus, statistics and SAT.
I'm afraid when I hear that about 400 applications apply to a program and only 40 can be accepted. So I want to do my best before applying to any program even I saved by my own the tuition fees as I'm gonna be the sponsor for myself.
So, according to what I mentioned, is it a must to have a certificate shows how good I'm in mathematics? If though, Would you recommend a place to get it as an online one ?

Thanks for advance.

Emmy
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[dstefan]

A Pre-MFE Program including seminars in Advanced Calculus with Financial Engineering Applications (similar to the seminar from this thread), Probability Theory for Financial Engineering, and Numerical Linear Algebra for Financial Engineering will be offered at Baruch College, beginning November 1, 2011.

For details, including syllabi and application requirements, see The Pre-MFE Program at Baruch College | Master of Financial Engineering Program at Baruch College and The Pre-MFE Program at Baruch College - Forum | Quant Network

We do not have a set number of seats in the Baruch MFE Program. If an application is above the admission standard, an admission offer will be made. While 35 admission offers were made and 467 applications were evaluated for Fall 2010 admission, all applications were evaluated based on the very same standard.

Good luck!