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For the class of 2013-2014, the MSFE Program requires the completion of 36 points on a full time basis only. Students who started in the summer session (July 9 - August 29, 2013), and continue through the 2013-2014 academic year may complete the program in May 2014, August 2014 or December 2014. All courses are for 3 credits, unless stated otherwise. In addition, the Program requires its students to attend the Financial Engineering Seminar Series and submit learning journals.
The MSFE Program is pleased to launch its new concentration in Computation and Programming for the 2013-2014 academic year. Students interested in pursuing this exciting new concentration are required to take the following electives:
IEORE4726 Program in C++ for Financial Engineering (Summer)
IEORE4729 Advanced Programming for Financial Engineering (Fall)
IEORE4729 Advanced Programming for Financial Engineering 2 (Spring)
The MSFE Program also offers four additional concentrations, including: (1) Finance & Economics; (2) Derivatives; (3) Asset Management; and (4) Computational Finance & Trading Systems.
The 2013-2014 curriculum is presented below and assumes that the student will complete the degree by May 2014.
Summer 2013, Required Core, 7.5 points
IEORE4701 Stochastic Models for Financial Engineering
IEORE4706 Foundations of Financial Engineering
And choose at least (1)
IEORE4729 Financial Markets, Institutions and Risk (1.5)
IEORE4726 Program in C++ for Financial Engineering
Fall 2013, Required Core, 9 points
IEORE4007 Optimization Models and Methods for Financial Engineering
Optimization.zip
(35.45 MB, 需要: 1 个论坛币)
本附件包括：- chap1.pdf
- chap2.pdf
- CVX.pdf
- cvx_usrguide.pdf
- dynamic.pdf
- integer.pdf
- linprog.pdf
- meanvar.pdf
- nonlin.pdf
- Optimization methods in finance (Cambridge University Press, 2007, ).pdf
- overview.pdf
IEORE4703 Monte Carlo Simulation
MonteCarlo.zip
(2.46 MB, 需要: 2 个论坛币)
本附件包括：- HW2+FL12.pdf
- HW3+FL12.pdf
- HW4+FL12.pdf
- HW5+FL2012.pdf
- hw6+FL2012.pdf
- part+4+risk+estimation_2012-11-28_0153.pdf
- part+4+risk+estimation_2012-12-05_1327.pdf
- PartIII.pdf
- Slides-part2.pdf
- Slides1-FL12.pdf
IEORE4707 Financial Engineering: Continuous Time Models
DiscreteModels.pdf
(219.67 KB)
for_swap_fut.pdf
(213.02 KB)
stochastic_calculus.pdf
(187.92 KB)
BlackScholesCtsTime (1).pdf
(1.88 MB)
FX_Quanto.pdf
(123.56 KB)
LocalStochasticJumps (1).pdf
(631.21 KB)
Assign1_Solutions_2012.pdf
(37.38 KB)
Assign2_Solutions_2012.pdf
(39.98 KB)
Assign3_Q19.xls
(50.5 KB)
Assign3_Solutions_2012.pdf
(51.69 KB)
Assign4_Solutions_2012.pdf
(39.91 KB)
Assign5_Solutions_2012.pdf
(53.69 KB)
FE2_Midterm09_Sols.pdf
(71.74 KB)
FE2_Midterm09.pdf
(87.03 KB)
FE2_Midterm10_Sols.pdf
(54.47 KB)
FE2_Midterm10.pdf
(44.9 KB)
Fall Required Semi-Core Elective, 3 points
IEORE4403 Advanced Engineering and Corporate Economics
IEORE4500 Applications Programming for Financial Engineering
IEORE4729 Advanced Programming for Financial Engineering (Fall - Programming Track Only)
Spring 2014, Required Core Course & Electives, 12-15 points
IEORE4709 Data Analysis for Financial Engineering
Data Analysis.zip
(8.08 MB, 需要: 2 个论坛币)
本附件包括：- Analysis of Financial Time Series 3rd Edition.pdf
Spring Required electives, select from the list below (9 points):
DROMB8112 Quantitative Finance: Models and Computation
IEORE4570 Machine Learning for OR & FE
IEORE4602 Quantitative Risk Management
IEORE4630 Asset Allocation
IEORE4710 Term Structure Modeling
IEORE4718 Introduction to the Implied Volatility Smile
IEORE4729 Advanced Programming for Financial Engineering 2 (Spring - Programming Track Only)
IEORE4731 Credit Risk Modeling and Credit Derivatives
IEORE4732 Computational Methods in Derivatives Pricing
IEORE4733 Algorithmic Trading
IEORE4734 Foreign Exchange & Related Derivatives Instruments (1.5)
IEORE4735 Introduction to Structured & Hybrid Productc
Struct&Hybrid.zip
(4.91 MB)
IEORE4736 Experimental Finance
ExperimentalFinance.zip
(7.08 MB, 需要: 5 个论坛币)
FINCB8307 Advanced Corporate Finance (Spring semester)
W4400 Statistical Machine Learning
Stat Machine Learning.zip
(28.3 MB, 需要: 5 个论坛币)
The Department requires that students achieve grades of B- or higher in each of the three fundamental core courses offered in the first summer. Poor performance in these courses is indicative of inadequate preparation and is very likely to lead to serious problems in completing the program. As a result, students failing to meet this criterion will be asked to withdraw from the program.
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