Columbia MAFN courses

[volmacro]

Hello,

Can any Columbia MAFN alumn or students comment on the following electives, and whether these 4-5 courses would constitute a good list for quant research? Any suggestion on electives/professors who are good?

-Quant Methods in Investment Management: any comments?
-Math Methods in Financial Analysis: syllabus looks like it's a bunch of random, but interesting, topics thrown together
-Statistical Methods in Finance: this class is on Saturday (less ideal), hopefully it's worth it!
-Non-Linear Option Pricing: heard this is a great course
-Statistical Machine Learning

I read that Intro to Math Finance is not a good course. Anybody know if MAFN is flexible about placing out of it?

Also, can anybody who did this program part-time comment on your experience?

Thank you!

 

[JonesUCF]

Intro to Math Finance is very easy to place out of if you ask.

Only class I have taken above is Math Methods. The professor (Chekhlov) is really good and you'll learn a lot of cool things in the class about trading strategies and working with price data. The class is only two homeworks and a project which is good in one sense but means you're gonna have to put in some extra independent work on your own if you really wanna learn the topics in great detail.

 

[volmacro]

Thanks! Also, any idea if Stochastic Processes and Stochastic Methods can be taken concurrently? I read that Stochastic Processes to Stochastic Methods transition isn't really smooth, and that Karatzas is a good prof, so maybe I'll do both together in the Fall...

 

[JonesUCF]

No I don't believe you can. And yes the transition isn't very smooth. Our professor spent too much time going over stuff we learned in stochastic methods and intro to math finance, and consequently the new material over the last half the semester felt rushed.

Karatzas isn't a good professor, he is a GREAT professor. I had him for stochastic processes and his lectures are awesome. He is a genius when it comes to the material and his passion for the subject really oozes our when he's lecturing. HIGHLY recommend taking him.

Edit: I saw the Karatzas is teaching stochastic methods this Fall. Really disappointed he didn't teach it this spring as I would have loved to have taken the follow up to the course with them.

 

[volmacro]

No I don't believe you can. And yes the transition isn't very smooth. Our professor spent too much time going over stuff we learned in stochastic methods and intro to math finance, and consequently the new material over the last half the semester felt rushed.

Karatzas isn't a good professor, he is a GREAT professor. I had him for stochastic processes and his lectures are awesome. He is a genius when it comes to the material and his passion for the subject really oozes our when he's lecturing. HIGHLY recommend taking him.

Edit: I saw the Karatzas is teaching stochastic methods this Fall. Really disappointed he didn't teach it this spring as I would have loved to have taken the follow up to the course with them.

Awesome, definitely want to try to take it with Karatzas then. Just a clarification, you don't believe it can be taken concurrently -- is this MAFN policy or is it that Methods would be too difficult without Processes beforehand? I will eventually check with the program myself.

Since you've been so helpful so far, curious to know what electives you've taken and if you'd recommend them, or if you could reconstruct your electives, what would you take and with who? Thank you so much! I really wish there were more reviews of the program and its courses online...

 

[JonesUCF]

Awesome, definitely want to try to take it with Karatzas then. Just a clarification, you don't believe it can be taken concurrently -- is this MAFN policy or is it that Methods would be too difficult without Processes beforehand? I will eventually check with the program myself.

Since you've been so helpful so far, curious to know what electives you've taken and if you'd recommend them, or if you could reconstruct your electives, what would you take and with who? Thank you so much! I really wish there were more reviews of the program and its courses online...

I think it's a policy but I'm not sure. And yes I think stochastic methods would be too difficult without stochastic processes. A lot of the material in stochastic methods is deep and theoretical and it would (I think) prove to be too difficult without a good background in markov chains, martingale theory, and brownian motion/Ito Calculus.

The two electives I loved were financial risk management and math methods. I spoke on math methods before but finiancial risk is taught by the head of quantitative risk at Bloomberg so he knows his stuff, and the class is structured really well. Half of the class is a project that was really great to work on and has been brought up in a lot of interviews I've had.

The other two electives I had were so-so. I took Capital markets with Cheklov in the Fall. I said before he is a great teacher and I took the course because I previously had zero backgorund in finance. But tbh unless you are dead set on taking a course in the business school (this class can be a prereq for those classes), I would take another course. I also took programming for quant finance (With Hirsa in the spring, not lewis in the fall) and I didn't like the course at all. Was so disorganized I wouldn't recommend at all.