Baruch MFE Baruch MFE - New Curriculum 2010

[dstefan]

With the addition of great new faculty, an extensive revamping of the Baruch MFE Program was recently completed.

The new curriculum is cutting edge (five new courses taught by top practitioners are being introduced), more flexible (fewer required courses), and more streamlined (a core set of redesigned courses was introduced).
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Flexible Curriculum

The number of required courses was reduced from 9 to 7, and the number of elective courses was increased from 3 to 5.
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Cutting Edge Curriculum

Five new elective courses will be introduced in the next year:

MTH 9865 Commodities and Futures Trading (Fall 2010; Instructor: Luis Molina)
MTH 9867 Time Series Analysis and Algorithmic Trading (Spring 2011; Instructors: Jay Damask & Jim Liew)
MTH 9868 Advanced Risk and Portfolio Management (Summer 2010; Instructor: Attilio Meucci)
MTH 9875 The Volatility Surface (Fall 2010; Instructor: Jim Gatheral)
MTH 9879 Market Microstructure Models (Spring 2011; Instructor: Jim Gatheral)
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Streamlined Curriculum

Six courses are designated as Core Courses, two being year-long courses:

MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
MTH 9815 Object Oriented Programming for Finance
MTH 9821 & 9852 Numerical Methods for Finance I & II
MTH 9831 & 9862 Probability and Stochastic Processes for Finance I & II
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[npatel]

Good change. Is there any course information available on the new classes?

 

[dstefan]

We are planning to provide more information about our courses, both existing and new, on the new Baruch MFE page at Baruch MFE Curriculum | Master of Financial Engineering program at Baruch College

 

[Marko]

Great

Interesting subject: MTH 9867 Time Series Analysis and Algorithmic Trading

 

[Joy Pathak]

Interesting subject: MTH 9867 Time Series Analysis and Algorithmic Trading

Yeah. I am very excited for that class. Dr. Jim Liew is going to be one of the teachers for it. He frequents QN often (the one who posted about Stat Arb).

 

[Marko]

Switching

Yeah. I am very excited for that class. Dr. Jim Liew is going to be one of the teachers for it. He frequents QN often (the one who posted about Stat Arb).

Hi Joy, are you switching to Baruch?? Good choice. Professor Stefanica is all you can trust. The way he builds up this program and his efforts we all can see from here and other forums. He is the MAN.

Cheers,

 

[Marko]

question

Hi Joy, are you switching to Baruch?? Good choice.

Cheers,

With due respect, academic should not has boundary set. In his last post on QN, he mentioned that he can stop teaching anytime as he wish.....ehhh!

I think classroom environment should not impose any waiver ...shouldn't we? It is open learning. My two bits.

 

[npatel]

Hi Joy, are you switching to Baruch?? Good choice. Professor Stefanica is all you can trust. The way he builds up this program and his efforts we all can see from here and other forums. He is the MAN.

Cheers,

I took calculus I with prof. Stefanica in my undergrad degree. One of the main reasons I'd do anything to get into Baruch's program.

 

[alain]

With due respect, academic should not has boundary set. In his last post on QN, he mentioned that he can stop teaching anytime as he wish.....ehhh!

I think classroom environment should not impose any waiver ...shouldn't we? It is open learning. My two bits.

He is teaching that in exchange of work. It's not really attached to any academic institution.

OTOH, he is teaching a proper class at Baruch next Spring. That's totally different.

 

[Byron]

Wow..that looks like one solid curriculum. Any plans to introduce a course on low latency/high frequency trading? Or does an existing course have it as a module?

 

[dstefan]

High frequency trading will be covered in the Time Series/Stat Arb course.

 

[Joy Pathak]

Just to add...

Having finished the Unofficial Stat Arb class with Dr. Jim Liew yesterday which is sort of a preview to the actual class in a manner I would like to say that it truly is going to be a great addition to the Baruch MFE curriculum.

One will actually get to learn how to 'build' statistical arbitrage strategies from the ground up. He covers momentum and mean reversion strategies and students are required to build a range of both strategies for various scenarios with strong guidance from the professor. The class incorporates a "competition" setting of who attains the highest sharpe ratio for their strategies which makes one truly put in the extra effort to outshine in front of their professor.

In the 5 week class we built everything from monthly, per day to ultra high frequency 1 min bar mean reversion strategies. It should be a really great time for anyone interested in taking the class at Baruch this upcoming Spring semester. I think some absolute must requirements for this class is a strong understanding of basic statistics, OU process, AL and BL framework among some. Also, a good grasp on an analytics package can really aid in implementing the strategy as that seemed to be one of the challenges. So if you're good in MATLAB or R it will help a lot in the class when you build/implement your strategy.Some students used C++ also.

 

[dstefan]

Detailed information about Baruch MFE courses, beginning with the core required courses, will be posted online at Baruch MFE Curriculum | Master of Financial Engineering Program at Baruch College. This will include detailed syllabi, sample assignments, final exams.

The first course page available online is for MTH 9821 Numerical Methods for Finance I at MTH 9821 Numerical Methods for Finance I | Master of Financial Engineering Program at Baruch College

 

[dstefan]

Detailed information for MTH 9831 Probability and Stochastic Processes for Finance I (Fall 2009 semester) is now posted at MTH 9831 Probability and Stochastic Processes for Finance I | Master of Financial Engineering Program at Baruch College

 

[dstefan]

Detailed information for MTH 9814 A Quantitative Introduction to Financial Instruments now posted at MTH 9814 A Quantitative Introduction to Financial Instruments | Master of Financial Engineering Program at Baruch College

 

[dstefan]

Detailed information for MTH 9862 Probability and Stochastic Processes for Finance II now posted at MTH 9862 Probability and Stochastic Processes for Finance II | Master of Financial Engineering Program at Baruch College

The Midterm and Final Exam from Spring 2010 are posted there.

Also, the Fall 2009 Final Exam for MTH 9831 Probability and Stochastic Processes for Finance I (Fall 2009 semester) is now posted at MTH 9831 Probability and Stochastic Processes for Finance I | Master of Financial Engineering Program at Baruch College