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.
View course details in MyPlan: CFRM 460
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.
View course details in MyPlan: CFRM 461
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.
View course details in MyPlan: CFRM 462
CFRM 463 R Programming for Quantitative Finance (2)
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.
View course details in MyPlan: CFRM 463
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.
View course details in MyPlan: CFRM 500
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. Prerequisite: either CFRM 541 or equivalent, or permission of instructor. Offered: A.
View course details in MyPlan: CFRM 510
CFRM 523 Advanced Trading Systems (4)
Provides a detailed research process and tools for replicating, assessing, conceptualizing, and developing systematic trading strategies. Students apply their knowledge in projects to replicate and evaluate existing research and to create and evaluate a new strategy model. Prerequisite: CFRM 551 or instructor permission .
View course details in MyPlan: CFRM 523
CFRM 540 Investment Science I (2)
Introduces students to the basics of interest rates, fixed income, financial forwards, futures, options, and other financial derivatives. Prerequisite: CFRM 460; and CFRM 461 or equivalent; either R programming skills or CFRM 463, which may be taken concurrently.
View course details in MyPlan: CFRM 540
CFRM 541 Investment Science II (4)
Introduction to the mathematical, statistical and financial foundations of investment science. Topics include: utility functions, mean-variance portfolio theory, tail risk measures, factor model types for portfolio construction, classical and robust methods of fitting factor models, and covariance and correlation estimation. Prerequisite: CFRM 463 or equivalent; CFRM 540 Offered: A.
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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.
View course details in MyPlan: CFRM 542
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: either CFRM 541 and CFRM 542, or permission of instructor. Offered: S.
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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.
View course details in MyPlan: CFRM 544
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: either CFRM 541 or permission of instructor. Offered: W.
View course details in MyPlan: CFRM 545
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: either CFRM 545 or permission of instructor. Offered: S.
View course details in MyPlan: CFRM 546
CFRM 547 Credit Risk Management (4)
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.
View course details in MyPlan: CFRM 547
CFRM 548 Monte Carlo Methods in Finance (4)
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. Instructors: Marting Offered: A.
View course details in MyPlan: CFRM 548
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.
View course details in MyPlan: CFRM 551
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.
View course details in MyPlan: CFRM 552
CFRM 553 Financial Time Series Forecasting Methods (2)
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.
View course details in MyPlan: CFRM 553
CFRM 554 Endowment and Institutional Investment Management (2)
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. Offered: S.
View course details in MyPlan: CFRM 554
CFRM 555 Optimization Methods in Finance (4)
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.
View course details in MyPlan: CFRM 555
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.
View course details in MyPlan: CFRM 556
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.
View course details in MyPlan: CFRM 557
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.
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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.
View course details in MyPlan: CFRM 559
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.
View course details in MyPlan: CFRM 560
CFRM 580 Energy Markets Analytics and Derivatives (2)
Practices of valuation and risk management applied to energy portfolios. Covers valuation and risk methodologies applied to power, gas, and oil portfolios and discusses the different market and credit risk metrics most relevant to energy market portfolios.
View course details in MyPlan: CFRM 580
CFRM 600 Independent Research or Study (1-6, max. 18)
View course details in MyPlan: CFRM 600
CFRM 601 Internship (1-6, max. 30)
View course details in MyPlan: CFRM 601
CFRM 700 Master's Thesis (1-6, max. 18)
View course details in MyPlan: CFRM 700