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I just came across this the other day. I was wondering what everyone thought about a Graduate Diploma in Financial Engineering from York University (in Toronto). It consists of only 5 courses.
Is it worth it?
Would it be of any significance to someone who wanted to apply for a quant/risk management position?
Here are the courses:
FNEN 6810 3.0 - Derivative Securities
This course blends theory and practice that incorporates a new approach to teaching derivative securities. A unified approach to option pricing utilizing MAPLE V's symbolic power and its connection to numerical valuation is presented. This is an advanced course combining theory and practice of pricing and hedging derivative securities. The course emphasizes the applications of financial engineering and covers option and futures pricing theory and practice. Institutional material will be assigned mostly as reading material and the course will concentrate on the theory and practical applications of currency and commodity derivatives, as well as exotic options.
FNEN 6850 3.0 - Fixed Income
The course builds upon the use of symbolic and numerical tools. MAPLE V is used as a computer algebra system and then as a generator of codes in C++ and/or FORTRAN. This course provides an overview of the major components of fixed income markets, including a review of the major instruments, the issuers and the investors. The valuation of interest-rate sensitive cash flows is the underlying theme. Major topics covered include theories of the term structure, institutional aspects of the fixed income markets, and analytical techniques for managing interest rate risk. The course will concentrate on modern valuation methods as well as traditional techniques for risk management in the fixed income market. The effect of the assumed interest rate dynamics and the prevailing interest rate condition for the riskiness and value of various features of these contracts will also be analyzed. The power of convexity and duration upon risk management and valuation will be developed. Students will use the substantive approaches developed in the course to address concrete problems. The coursework will include a project dealing with Canadian data.
MATH 6910 3.0 - Stochastic Calculus in Finance
The objective of this course is to provide the basic ideas and methods of stochastic calculus and to apply these methods to financial models. In this course, we first introduce the concepts of arbitrage and risk-neutral pricing in a discrete-time setting. In addition, we cover the following topics: Brownian Motion, Stochastic Integrals, Ito's Formula, Martingales. Throughout the semster, this course covers fundamental techniques for pricing and hedging derivative securities.
MATH 6911 3.0 - Numerical Methods in Finance
Background materials in partial differential equations: classifications of elliptic, parabolic and hyperbolic equations; examples of exact solutions including the Black-Scholes equations and perpetual puts; information flow and propogation for problems in finance. Finite difference methods for parabolic equations; explicit methods; implicit methods, including Backward Euler method and Crank-Nicolson method; issues of stability and convergence; applications to finance, including the effects of boundary conditions, dividends and transaction costs; degeneracy and Asian option, higher order discretization techniques.
Is it worth it?
Would it be of any significance to someone who wanted to apply for a quant/risk management position?
Here are the courses:
FNEN 6210 3.0 - Theory of Portfolio Management
This course deals with portfolios of financial assets such as stocks and bonds. It explores the basic principles underlying rational portfolio choice and what these mean for prices determined in the marketplace. Much of the analysis developed in the course is equally applicable to real assets. The first part of this course is devoted to the problems of decision-makers - how to structure their problems so that they are left with a manageable number of alternatives. The second part of the course deals with rational choice among these alternatives, methods for implementing and controlling the decision process, and equilibrium conditions in the capital markets to which the previous analysis leads. The course takes a rigorous approach to portfolio management and builds upon the use of symbolic and numerical tools. MAPLE V will be used from the very beginning as a computer algebra system and then as a generator of codes in C++ and/or FORTRAN.
This course deals with portfolios of financial assets such as stocks and bonds. It explores the basic principles underlying rational portfolio choice and what these mean for prices determined in the marketplace. Much of the analysis developed in the course is equally applicable to real assets. The first part of this course is devoted to the problems of decision-makers - how to structure their problems so that they are left with a manageable number of alternatives. The second part of the course deals with rational choice among these alternatives, methods for implementing and controlling the decision process, and equilibrium conditions in the capital markets to which the previous analysis leads. The course takes a rigorous approach to portfolio management and builds upon the use of symbolic and numerical tools. MAPLE V will be used from the very beginning as a computer algebra system and then as a generator of codes in C++ and/or FORTRAN.
FNEN 6810 3.0 - Derivative Securities
This course blends theory and practice that incorporates a new approach to teaching derivative securities. A unified approach to option pricing utilizing MAPLE V's symbolic power and its connection to numerical valuation is presented. This is an advanced course combining theory and practice of pricing and hedging derivative securities. The course emphasizes the applications of financial engineering and covers option and futures pricing theory and practice. Institutional material will be assigned mostly as reading material and the course will concentrate on the theory and practical applications of currency and commodity derivatives, as well as exotic options.
FNEN 6850 3.0 - Fixed Income
The course builds upon the use of symbolic and numerical tools. MAPLE V is used as a computer algebra system and then as a generator of codes in C++ and/or FORTRAN. This course provides an overview of the major components of fixed income markets, including a review of the major instruments, the issuers and the investors. The valuation of interest-rate sensitive cash flows is the underlying theme. Major topics covered include theories of the term structure, institutional aspects of the fixed income markets, and analytical techniques for managing interest rate risk. The course will concentrate on modern valuation methods as well as traditional techniques for risk management in the fixed income market. The effect of the assumed interest rate dynamics and the prevailing interest rate condition for the riskiness and value of various features of these contracts will also be analyzed. The power of convexity and duration upon risk management and valuation will be developed. Students will use the substantive approaches developed in the course to address concrete problems. The coursework will include a project dealing with Canadian data.
MATH 6910 3.0 - Stochastic Calculus in Finance
The objective of this course is to provide the basic ideas and methods of stochastic calculus and to apply these methods to financial models. In this course, we first introduce the concepts of arbitrage and risk-neutral pricing in a discrete-time setting. In addition, we cover the following topics: Brownian Motion, Stochastic Integrals, Ito's Formula, Martingales. Throughout the semster, this course covers fundamental techniques for pricing and hedging derivative securities.
MATH 6911 3.0 - Numerical Methods in Finance
Background materials in partial differential equations: classifications of elliptic, parabolic and hyperbolic equations; examples of exact solutions including the Black-Scholes equations and perpetual puts; information flow and propogation for problems in finance. Finite difference methods for parabolic equations; explicit methods; implicit methods, including Backward Euler method and Crank-Nicolson method; issues of stability and convergence; applications to finance, including the effects of boundary conditions, dividends and transaction costs; degeneracy and Asian option, higher order discretization techniques.
