Elective Courses
MTH 9841 Statistics for Finance
This course will cover probability and statistics form a Bayesian perspective, with applications to finance. Topics will include joint marginal and conditional probability; discrete and continuous random variables; Bayesian inferences for means and proportions compared with the corresponding frequentist ones; simple linear regression model analyzed in a Bayesian manner; Bayesian approach to portfolio optimization, including Black-Litterman. A portion of the course will be devoted to teaching a statistical package, most likely R or S-Plus.
MTH 9842 Linear and Quadratic Optimization Techniques
This course covers linear and quadratic optimization as well as other nonlinear techniques. Applications from finance include problems in game theory and portfolio optimization. Prerequisites: MTH 9821, MTH 9831. Corequisite: MTH 9815.
MTH 9848 Elements of Structured Finance
The course objective is to allow students to analyze the basic credit quality of securitizations backed by commodity asset types (mortgages, auto loans, credit cards, CDOs). Mastery of the material in this course will let the student model and evaluate the credit impact of collateral or structural alternatives. Hands-on work is both extensive and preparatory to the advanced level.
MTH 9849 Deal Theory and Structured Analysis
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.
MTH 9845 Market and Credit Risk Management
This course covers qualitative and quantitative aspects of the financial risk associated with managing financial portfolios and with credit default. Topics include: market risk, VaR and stress testing, model risk, spot and forward risk, credit default risk and credit derivatives.
MTH 9881 Current Topics in Mathematical Finance
Students are assigned current journal articles in financial mathematics for discussion in a seminar format.
MTH 9900 Special Topics in Mathematics
This course is designed to expose the advanced student to a variety of mathematical topics that are not covered in the regular curriculum. Topics will vary from year to year.
With the permission of the Department of Economics and Finance, the following courses may be taken as electives:
FIN 9770 Financial Markets and Institutions
FIN 9782 Futures and Forward Markets
FIN 9783 Investment Analysis 3
FIN 9786 International Financial Markets
FIN 9790 Seminar in Finance
FIN 9793 Advanced Investment Analysis
FIN 9797 Options Markets
ECO 82100 (Term I) Econometrics I
ECO 82100 (Term II) Financial Econometrics
STA 9700 Modern Regression Analysis
STA 9701 Time Series: Forecasting and Statistical Modeling
It looks like the STAT class that was planned to be offered in the Spring is different from the one to be offered in the summer.
