Detailed course offerings (Time Schedule) are available for
CFRM 460 Mathematical Methods for Quantitative Finance (3) NW, QSR
Covers selected mathematical methods needed to begin a master's program in quantitative finance. Topics include applications of calculus, linear algebra, and constrained optimization methods to fixed income, portfolio optimization, futures, options, and risk management.
MyPlan Course Details: CFRM 460 (student access only)
CFRM 461 Probability and Statistics for Computational Finance (3)
Covers basic concepts and methods of probability and statistical analysis and modeling for computational and quantitative finance. Coverage is carefully aligned with leading problems concerning prices and returns of individual assets and portfolios of assets. Key applications include financial risk management and portfolio performance analysis.
MyPlan Course Details: CFRM 461 (student access only)
CFRM 462 Introduction to Computational Finance and Financial Econometrics (5) Zivot
Covers probability models, data analysis, quantitative, and statistical methods using applications in finance, and introduction to and use of the R programming system for data analysis and statistical modeling. Offered: AS.
MyPlan Course Details: CFRM 462 (student access only)
CFRM 463 R Programming for Quantitative Finance (1)
Introduction to R Programming language for applications in quantitative finance. Intended for students with no prior exposure to R and prepares them with the computing skills needed to progress effectively in an MS degree program in computational finance.
MyPlan Course Details: CFRM 463 (student access only)
CFRM 500 Special Studies in Computational Finance and Risk Management (1-6, max. 18)
Lecture and discussions of topics of current interest in computational finance and risk management. Prerequisite: permission of instructor.
MyPlan Course Details: CFRM 500 (student access only)
CFRM 510 Financial Data Access and Analysis with SQL, VBA, and Excel (4)
Provides skills in retrieving and manipulating financial data and in creating computational solutions to quantitative finance problems using SQL, VBA, and Excel. Also teaches skills in leveraging the powerful financial data modeling and analysis capabilities of R in conjunction with SQL, VBA, and Excel. Offered: A.
MyPlan Course Details: CFRM 510 (student access only)
CFRM 540 Capital Markets and Data for Computational Finance (1) Golbeck
Introduces students to the language and terminology of finance, capital markets, and data through selected textbook and financial news readings. Also teaches students how to access, manipulate, and analyze complex financial data from various repositories available through the internet.
MyPlan Course Details: CFRM 540 (student access only)
CFRM 541 Investment Science (4) Martin, Tung
Introduces the mathematical, statistical, and financial foundations of investment science. Topics include: Mean-Variance Portfolio Theory, efficient frontiers, expected tail loss, futures and forwards, no arbitration and risk-neutral pricing, and binomial tree derivate pricing. Prerequisite: coursework in introductory probability and statistics, and advanced calculus. Offered: A.
MyPlan Course Details: CFRM 541 (student access only)
CFRM 542 Financial Data Modeling and Analysis in R (4)
Introduces the R statistical programming language for computational finance application. Focuses on use of R packages for quantitative finance and R scripts development for statistical analysis and modeling methods in key quantitative finance areas including factor modeling, financial time series, and portfolio analytics. Prerequisite: CFRM 541. Offered: A.
MyPlan Course Details: CFRM 542 (student access only)
CFRM 543 Portfolio Optimization and Asset Management (4)
Covers long-only and long-short portfolio optimization with real-world constraints and costs using industrial strength optimization softwar; classical mean-variance and modern mean-versus downside risk optimization for dealing with fat-tailed skewed asset returns; optimization and risk analysis with factor models; and equity, mixed asset class, and fund-of-hedge portfolios. Prerequisite: CFRM 541 and CFRM 542, or permission of instructor. Offered: S.
MyPlan Course Details: CFRM 543 (student access only)
CFRM 544 Options and Other Derivatives (4)
Covers financial instrument options and derivatives. Explores how to price options and other derivatives and use them to hedge investment risk. Involves theory, statistical modeling, numerical methods, and computation using the R programming language. Prerequisite: CFRM 540; co-requisite: CFRM 541 or permission of instructor. Offered: A.
MyPlan Course Details: CFRM 544 (student access only)
CFRM 545 Financial Risk Management I (4)
Introduces the concepts and methodologies of financial risk management. Uses derivatives for hedging risk, emphasizing fixed income and exchange rate derivatives. Includes models, credit derivatives, mortgage backed securities, and asset backed securities. First in a sequence of three on financial risk management. Prerequisite: CFRM 541 or permission of instructor. Offered: W.
MyPlan Course Details: CFRM 545 (student access only)
CFRM 546 Financial Risk Management II (4)
Provides a comprehensive treatment of the theoretical concepts and modeling techniques of quantitative risk management focusing on practical tools to solve real-work problems. Covers methods for market, credit, and operational risk modeling. Prerequisite: CFRM 545 or permission of instructor. Offered: S.
MyPlan Course Details: CFRM 546 (student access only)
CFRM 547 Credit Risk Management (4) Henniger
Theory, applications & computational methods for credit risk measurement & management. Statistical and mathematical modeling of credit risk, emphasizing numerical methods & R programming. Methods include logistic regression, Monte Carlo simulation, & portfolio cash flow modeling. Covers default risk regression, analytics, & portfolio models of credit risk. Offered: A.
MyPlan Course Details: CFRM 547 (student access only)
CFRM 548 Monte Carlo Methods in Finance (4) Marting
Monte Carlo simulations in quantitative finance for portfolio assembly and financial risk management. Students learn theory and methods of tracking the behavior of underlying securities in an option or portfolio and determine the derivative's value by taking the expected value of the discounted payoffs at maturity. Prerequisite: CFRM 540. Offered: A.
MyPlan Course Details: CFRM 548 (student access only)
CFRM 551 Introduction to Trading Systems (4)
Introduces electronic trading systems. Uses the R programming language to develop, evaluate, and optimize quantitative trading strategies. Students apply trading strategies through a live paper-trading account with an online broker using real time market data.
MyPlan Course Details: CFRM 551 (student access only)
CFRM 552 Portfolio Performance Analysis and Benchmarking (4)
Covers fundamental principles and commonly used methods in performance measurement, analysis, and benchmarking of portfolio evaluation. Prerequisite: CFRM 541, MBA level investments course, or equivalent. Offered: A.
MyPlan Course Details: CFRM 552 (student access only)
CFRM 553 Financial Time Series Forecasting Methods (4)
Covers financial time series forecasting methods and their use in making investment decisions for asset management purposes. Asset-class specific forecasting methods. Uses the R statistical modeling and data analysis system for implementing and evaluating such forecasting methods. Prerequisite: CFRM 541 or permissions of instructor. Offered: W.
MyPlan Course Details: CFRM 553 (student access only)
CFRM 554 Endowment and Institutional Investment Management (4)
Focuses on the endowment management process and specific challenges facing institutional fund managers. Includes evaluating the role of an endowment, portfolio construction, risk management, manager selection, and alternative asset class investing. Utilizes concepts from finance and investments, macroeconomics, and mathematical optimization. Prerequisite: CFRM 541; recommended: CFRM 543 or equivalent. Offered: S.
MyPlan Course Details: CFRM 554 (student access only)
CFRM 555 Optimization Methods in Finance (4) Murray
Covers theory and efficient solution methods for optimization problems in finance. Includes financial solution methodologies using linear, non-linear, quadratic, and integer formulations; and dynamic and stochastic programming. Prerequisite: CFRM 540; linear algebra and matrix notation; statistics and probability; and experience with R language and MS Excel. Offered: A.
MyPlan Course Details: CFRM 555 (student access only)
CFRM 556 Statistical Modeling for Computational Finance (4) Konis
Advanced classical and modern statistical modeling methods for computational finance including: covariance matrix, correlation matrix, and principal components estimation and analysis; least-squares, robust, nonlinear and nonparametric regression for asset return factor models; shrinkage methods; risk factors selection; and clustering and classification methods. Asset management applications and computer exercise with R. Offered: A.
MyPlan Course Details: CFRM 556 (student access only)
CFRM 557 Financial Software Development and Integration with C++ (4)
Practical introduction to C++ programming for financial applications. Focuses on developing basic object oriented programming skills in C++ to implement computational finance solutions. Also includes integrating C++ applications with R, MATLAB, SQL, and VBA.
MyPlan Course Details: CFRM 557 (student access only)
CFRM 558 Fixed Income Analytics and Portfolio Management (4)
Covers fixed income markets and securities, data sources, analytics and portfolio management methods, in particular the valuation, risks, and risk management of fixed income securities. Uses a hands-on data-oriented and computational focus. Offered: A.
MyPlan Course Details: CFRM 558 (student access only)
CFRM 559 Stochastic Calculus for Quantitative Finance (4) Golbeck
Provides a systematic examination of financial derivatives pricing using stochastic calculus. Examines popular stochastic differential equation models such as Geometric Brownian motion, Vasicek, Hull-White, Cox-Ingersoll-Ross, Black-Karasinski, Heath-Jarrow-Morton, and Brace-Gatarek-Musiela, as well as Poisson and Levy processes. Applications include equity, fixed-income, and credit derivatives. Offered: S.
MyPlan Course Details: CFRM 559 (student access only)
CFRM 560 Actuarial Models and Estimation (4)
Surveys non-life insurance mathematics. Topics include utility theory, insurance, individual and collective risk models, ruin theory, risk measures, credibility theory, and generalized linear models. Includes writing computer programs to build and evaluate these models using real data. Offered: Sp.
MyPlan Course Details: CFRM 560 (student access only)
CFRM 600 Independent Research or Study (1-6, max. 18)
MyPlan Course Details: CFRM 600 (student access only)
CFRM 601 Internship (1-6, max. 30)
MyPlan Course Details: CFRM 601 (student access only)
CFRM 700 Master's Thesis (1-6, max. 18)
MyPlan Course Details: CFRM 700 (student access only)