Detailed schedule for FALL 2006

[Andy Nguyen]

The first classes will be Numerical Linear Algebra (Wed 30th) and Financial Instrument (Thur 31).
Note: Unless specified otherwise, class starts at 6:00pm till 8:30pm and the classrooms are in Vertical Campus.

MTH 9814 Introduction to Financial instrument
Day: Thursdays
Room: 9130
Instructor: Prof. Dan Stefanica
Description: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.
Required textbooks

1. Principles of Financial Engineering (Academic Press Advanced Financ (Hardcover)) by Salih N. Neftci
   Publisher: Academic Press (April 19, 2004)
   ISBN: 0125153945
   $96.95 at Amazon
2. Options, Futures and Other Derivatives (6th Edition) by John Hull
   Publisher: Prentice Hall; 6 edition (June 10, 2005)
   ISBN: 0131499084
   $158.99 at Amazon

MTH 9815 Object Oriented Programming for Financial Applications
Day: Mondays
Room: 6118
Instructor: Dave Cuddihy and Greg Ciresi
Description: This course discusses 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.
Prerequisite: Knowledge of C++ programming (as provided by an undergraduate level class)
Required textbooks

1. C++ Programming: With Design Patterns Revealed, by Tomasz Muldner,
   Publisher: Addison Wesley, 2001
   ISBN: 0201722313
   $72.00 at Amazon
2. C++ Design Patterns and Derivatives Pricing by Mark Joshi
   Pulisher: Cambridge University Press
   ISBN=0521832357
   $43 at Amazon
3. Object-Oriented Thought Process, 2nd Edition by Matt Weisfeld
   $15 at Amazon
4. Why Programs Fail: A Guide to Systematic Debugging by Andreas Zeller Morgan Kaufmann
   ISBN = 1558608664
   $45 at Amazon

MTH 9821 Numerical Linear Algebra
Date: Wednesdays
Room: 9140
Instructor: Prof. Dan Stefanica
Description:This course begins with a brief presentation of fundamental linear algebra topics: vector spaces, matrix 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 Newton's method.
Required textbooks

1. Numerical Linear Algebra (Paperback) by Lloyd N. Trefethen, David Bau
   Publisher: Soc for Industrial & Applied Math (May 1997)
   ISBN: 0898713617
   $48.17 at Amazon
2. The Mathematics of Financial Derivatives : A Student Introduction (Paperback)
   by Paul Wilmott, Sam Howison, Jeff Dewynne
   Publisher: Cambridge University Press (September 29, 1995)
   ISBN: 0521497892
   $44.99 at Amazon
3. Implementing Derivative Models (Wiley Series in Financial Engineering)
   (Hardcover) by Les Clewlow, Chris Strickland
   Publisher: John Wiley & Sons (June 1998)
   ISBN: 0471966517
   $85.00 at Amazon

MTH 9831 Real Analysis and Probability
Day:Tuesdays
Room: 9120
Instructor: Prof. Mona Zamfirescu
Description:This course covers enough measure and integration theory to lead quickly to probability. The fundamental of probability are covered, including probability spaces, random variables, expectation, conditional probability and expectation, moments and certain limit theorems.
Required textbooks

1. Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Hardcover)
   by Steven E. Shreve
   Publisher: Springer; 1 edition (April 21, 2004)
   ISBN: 0387401008
   Only used available for $47.49 an up at Amazon
2. Stochastic Calculus for Finance II : Continuous-Time Models (Springer Finance)
   (Hardcover) by Steven E. Shreve
   Publisher: Springer; 1 edition (June 3, 2004)
   ISBN: 0387401016
   $57.84 at Amazon

MTH 9845 Market and Credit Risk Management
Day:Mondays
Room: 23rd St Building room 1307
Instructor: Greg Ciresi and Susan Ma
Description:This course covers qualitative and quantitative aspects of the financial risk associated to managing financial portfolios and to credit default. Topics include: market risk, Var and stress testing, model risk, spot and forward risk, credit default risk and credit derivatives.
Prereq: MTH 9831
Required textbooks

1. Advanced Financial Risk Management: Tools & Techniques for Integrated Credit Risk and Interest Rate Risk Managements (Hardcover) by Donald R. Van Deventer, Kenji Imai, Mark Mesler
   ISBN: 0470821264
   $66 on Amazon
2. Risk Management and Financial Institutions (Hardcover) by JOHN HULL
   ISBN: 0132397900
   Used $106 on Amazon

MTH 9849 Deal Theory and Structured Analysis
Day:Wednesdays
Room: 6118
Instructor: Dr. Sylvain Raynes
Description: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.
Prereq: MTH 9848
Required textbooks

1. The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes, Ann Rutledge
   ISBN:0195152735
   $89 on Amazon

MTH 9871 Advanced Computational Methods in Finance (Calibration)
Day:Thursdays
Room: 6140
Instructor: Prof. Salih Neftci
Description: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 and MTH 9862.
Required textbooks

1. Principles of Financial Engineering (Academic Press Advanced Financ (Hardcover)) by Salih N. Neftci
   Publisher: Academic Press (April 19, 2004)
   ISBN: 0125153945
   $96.95 at Amazon

MTH 9873 Interest Rate Models and Interest Rate Derivatives
Day:Tuesdays
Room: 6118
Instructor: Douglas Howard
Description:This course covers aspects of interest rate modeling and the valuation of mixed-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.
Prerequisites: MTH 9831, MTH 9862

 

[John]

Hi Andy,

can you add the other Fall classes (i.e. Calibration (Advanced Computational Methods), Interest Rates and Derivatives models, Advanced Structured Finance and Risk Management) as well? thank you a ton!!!

 

[Andy Nguyen]

Hi Andy,
can you add the other Fall classes (i.e. Calibration (Advanced Computational Methods), Interest Rates and Derivatives models, Advanced Structured Finance and Risk Management) as well? thank you a ton!!!

John, will do. If you have info about required books for those classes, feel free to email or post here, I'll update the first post

 

[John]

Andy,
I sent you an email. BTW Professor Ciresi will also teach the risk management class alongside Professor Ma.

 

[Andy Nguyen]

Andy,
I sent you an email. BTW Professor Ciresi will also teach the risk management class alongside Professor Ma.

Thanks John, I have Mr. Ciresi on esims schedule but I want to make sure because he also teaches 9815 C++ on Mondays.
List is updated.

 

[John]

Andy,
I sent you an email. BTW Professor Ciresi will also teach the risk management class alongside Professor Ma.

Thanks John, I have Mr. Ciresi on esims schedule but I want to make sure because he also teaches 9815 C++ on Mondays.
List is updated.

Good point, did not notice that Professor Ciresi also teaches the C++ that takes place on the same night. I think that with both courses having co-instructors, they have figured out the rotation.

 

[Sankar]

Forgive me,

What do the red-chillies represent.
The difficulty level?

 

[Andy Nguyen]

What do the red-chillies represent.
The difficulty level?

In short, yes. But they are all relative. You can look at that as unofficial indicators of how much time you need to spend on each class. For example, one red-chili indicates roughly 4 hours/week so you need to spend 20 hours/week for Probability course. Your mileage may vary.

 

[frankm1342]

Where do you see the version of the schedule that shows the 'chili' indicators?

 

[Andy Nguyen]

Where do you see the version of the schedule that shows the 'chili' indicators?

Only on Quantnet . Look at the first post of this topic. Please do not take this seriously. It's just a fun way to see how much time we need for each course.

 

[frankm1342]

Ahhhh - I was going to say, it would be hilarious if there was an official portion of the Baruch website that rated courses in that way.