| source Berkeley (X) |
level |
department Master's in Financial Engineering (X) |
The course discusses the basic theories of asset pricing. It begins with the standard discounted cash flow analysis, and generalizes this approach to develop the No Arbitrage Pricing Technique for security valuation. Topics will be fixed income securities, derivatives, contingent claims, basic principles of optimal portfolio theory, models of equilibrium asset pricing, including CAPM and related Factor Models.
Score: 11.888193 Details | Listing | Web page
This course teaches students to apply a business valuation framework to solve financial problems. Issues related to corporate governance and agency problems are also addressed.
Score: 11.888193 Details | Listing | Web page
The course is an introduction to the use and pricing of derivatives. It covers mathematical concepts and numerical methods underlying derivative analysis, the institutional structure of derivative markets, valuation of standard forwards, futures, swaps, and options, the binomial and Black-Scholes option pricing models and volatility estimation. Programming, modeling, and analysis of derivatives will be covered in-depth.
Score: 11.888193 Details | Listing | Web page
This course emphasizes the pricing of derivatives in continuous time, from the formulation of the pricing problem to the implementation of computational and numerical solution techniques.
Score: 11.888193 Details | Listing | Web page
This course reviews probability and statistical techniques commonly used in quantitative finance. It includes a review of normal, lognormal, CEV distribution, estimation and nonparametric techniques commonly used in finance (MLE, GMM, GARCH). Students will be introduced to financial databases and estimation application software to estimate volatilities and correlations and their stability.
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The view of corporate finance presented in this course stems from an analysis of two related issues: 1) how firms create value, and 2) how corporate finance facilitates the process of value creation. As part of this process, we will examine the factors that help determine financial strategy, thereby putting the design of financial packages in perspective. In particular, the course focuses on how corporate financing needs lead to the need for financial engineering and spur financial innovation.
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This course reviews various aspects of equity and currency markets and their relative importance. It provides models of and historical evidence on the average returns and volatility of returns on equities, on the trade-to-trade equity price behavior, on trading volume and patterns, and primary financial risks. Determination of spot and forward rates and volatility, volume, high frequency dynamics and dealer behavior are examined.
Score: 11.888193 Details | Listing | Web page
This course examines risk measurement and management including market risk, credit risk, liquidity risk, settlement risk, volatility risk, kurtosis risk and other types of financial risks. Topics will include risk management techniques for different types of contracts and portfolios such as duration, portfolio beta, factor sensitivities, VAR, dynamic portfolio analysis and extreme value analysis and other risk management techniques.
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This course provides a quantitative approach to fixed income securities and bond portfolio management. Topics include fixed income security markets, pricing and uses for portfolio management or for hedging interest rate risk, bond mathematics, term structure measurement and theory, immunization techniques, and the modern theory of bond pricing, and derivative instruments.
Score: 11.888193 Details | Listing | Web page
Students will participate in a series of case studies illustrating some of the major successes and failures of modern financial innovation. They will learn how to measure success and failure and discuss case studies in portfolio insurance, long-term capital management, mortgage-backed securitization, and corporate enterprise-wide risk control.
Score: 11.888193 Details | Listing | Web page
This course reviews portfolio theory and pricing models. It includes: risk models for international portfolio returns, models of optimal allocation of funds, exchange rate uncertainty and criteria for judging the performance of managers and models; different types of portfolios/instruments, different types of applications, and strategies to achieve various investment objectives.
Score: 11.888193 Details | Listing | Web page
This course covers real option theory. Topics include: the "convenience yield" in commodity futures prices, the value of pure growth firms (firms with no current earnings) the optimal time for a firm to invest or liquidate, and valuing and optimally undertaking staged investment decisions. The theoretical asset pricing models that use an option based approach and characteristics of and markets for commodity derivatives will also be covered.
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This course extends the study of fixed income securities to advanced topics on mortage and other asset-backed securities. Topics will include basic mechanics of structuring deals for mortgage-related securities, credit cards, leases, and other debt markets and the risk management techniques employed in the securitization process for these assets. The valuation of pooled assets and derivative bonds using Monte Carlo and option pricing techniques, and trading strategies are also evaluated.
Score: 11.888193 Details | Listing | Web page
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Score: 11.888193 Details | Listing | Web page
The course introduces the students to techniques from stochastic analysis employed in mathematical finance. Topics include: stochastic processes, brownian motion, stochastic integral, differentials and Ito's formula; martingales.
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This course builds on the techniques learned in 230D, Quantitative Methods for Derivative Pricing. The focus is to gain a deeper analysis of numerical and computational issues in pricing and calibration. The orientation of the course is hands-on, with heavy use of computational techniques applied to case projects. The primary objective of this course is to prepare students to tackle the latest challenges in quantitative pricing that they are likely to encounter in cutting-edge financial institutions.
Score: 11.888193 Details | Listing | Web page
Behavioral decision theory has greatly contributed to our understanding of financial markets. This course discusses the common biases and heuristics identified by psychologists. Topics will include over-confidence, the attribution theory, the representative heuristic, the availability heuristic, anchoring and adjustment, fairness, and prospect theory. We will try to gain an understanding of how these biases affect managers, investors, and financial markets.
Score: 11.888193 Details | Listing | Web page
This course provides a review of the C, C++, and VBA programming languages as they apply to financial engineering. Students will receive a basic overview of object-oriented programming concepts, relevant VBA, C, and C++ libraries, programming techniques, and proper syntax. Important and relevant math libraries will be emphasized. Students will also use these languages with Microsoft Excel in order to program and solve financial problems in Excel spreadsheets.
Score: 11.888193 Details | Listing | Web page
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as Matlab. Some empirical testing exercises will also be part of the project work.
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Introduction to credit risk modeling and conceptual overview of current techniques. Covers default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Prepares students who are interested in a second course that will focus on model building. Students not interested in the technical details of modeling but who desire an understanding of how credit risk modeling is used in practice will benefit from taking this course.
Score: 11.888193 Details | Listing | Web page
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as MATLAB. Some empirical testing exercises will also be part of the project work.
Score: 11.888193 Details | Listing | Web page
This course provides a framework to allow students the understanding of the accounting and tax issues related to derivatives and hedging. It also fulfills the needs of students seeking jobs in the corporate sector and/or seeking securities-structuring assignments in the financial services sector. A basic understanding of financial accounting is required.
Score: 11.888193 Details | Listing | Web page