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EN-UY 2254W Literature and War 4 Credits
This course explores how literary depictions of war have changed over time. We begin with early examples such as Virgil’s “Aeneid,” “Beowulf,” and Shakespeare’s “Henry” plays, in which war is closely identified with heroism and coming of age and move onto later examples such as Vonnegut’s “Slaughterhouse-Five” and O’Brien’s “The Things They Carried,” in which participating in war is portrayed as a more troubling activity. In addition to literature, we will address theoretical readings on the impact of new technology on the language of war.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 2324W Technologies of Literary Production 4 Credits
This course examines how the changing status and technologies of written language have shaped and continue to transform literary culture. Beginning with works first conceived and transmitted as part of rich oral traditions, the course will end with works of literature produced primarily for online readers.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 2334W Literary Inventiveness 4 Credits
This course explores not the subject of “innovation” in literature, but the fact of it. Students read a range of literary texts that invented utterly new ways of writing: new forms and new approaches to consciousness and language itself. The course focuses on two clusters of literary and linguistic innovation: (1) writing in the ancient world, where narrative, drama and lyric-and indeed, the technology of writing itself-were first invented, and (2) works by pioneering literary modernists who radically reinvented the forms forged by their earliest predecessors.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4
Note: Satisfies a humanities and social sciences elective.
Weekly Lecture Hours: 4
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EN-UY 2354W Inventing America: Nation, Culture, Self 4 Credits
This course explores the ways American writers have imagined-and participated in- the invention of nation, culture and self, from the Colonial period through the Civil Rights era. Special attention is paid to how American writers have engaged with questions surrounding the “newness” of American culture and how literature has reflected and affected “change” in American culture.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 2414W The City and Literature 4 Credits
This course examines the role of a major international city in works of poetry, drama, and fiction. By way of contrast, we will take a brief look at what happens in works set outside of a city. Attention will be paid to historical context.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4
Note: Satisfied a HuSS elective
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EN-UY 2424 Medicine and Literature 4 Credits
This course examines the implications of medicine, mental or physical illness, and death in works of poetry, drama and fiction. Some attention will be paid to historical context. This course satisfies HUSS elective requirements.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
Weekly Lecture Hours: 4 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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EN-UY 2424W Medicine and Literature 4 Credits
This course examines the implications of medicine, mental or physical illness, and death in works of poetry, drama and fiction. Some attention will be paid to historical context.
Prerequisite(s): Completion of first year writing requirements
Note: This course satisfies HUSS elective requirements and HUSS writing-intensive requirements
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EN-UY 3000W English Special Topics 4 Credits
An advanced course in English literature, open to all students, including those pursuing the cross-school English minor.
Prerequisite(s): EXPOS-UA 2
Weekly Lecture Hours: 4
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EN-UY 3104 Science Fiction Workshop 4 Credits
A workshop in writing Science Fiction, with extensive reading in the genre. | Prerequisites: Completion of first year writing requirements. Notes: Satisfies a HuSS elective.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4 .
Note: Satisfies a humanities and social sciences elective.
Weekly Lecture Hours: 4 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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EN-UY 3144W Analytical Approaches to Poetry and Art 4 Credits
The poems of John Ashbery and the art of Richard Serra confront the respective reader/viewer: find a methodology based upon the structural configuration of the poem and sculpture to enable a “reading” of the work. The works that will be addressed reject impressionistic, subjective commentary. The beauty of word or artifact is not applicable. Post-1900 non-referential sculptures and paintings will be juxtaposed with poems that disassociate themselves from narrative content, poems whose only subject matter is language configuration - even when there is apparent thematic material - poems of Robert Creeley, John Ashbery, Emily Dickinson, Robert Frost, Wallace Stevens, Amy Clampitt, Susan Howe, Michael Palmer, Clark Coolidge, and Louis Zukofsky. The poets so listed complement preoccupations of artists such as Mark di Suvero, David Smith, Richard Serra, Anthony Caro, Donald Judd, Carl Andre, Vito Acconci, Robert Smithson, and Marcel Duchamp.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4
Note: Satisfies a humanities and social sciences elective.
Weekly Lecture Hours: 4
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EN-UY 3154 Fantasy Workshop 4 Credits
A workshop in writing fantasy, with extensive reading in the genre.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4 .
Note: Satisfies a humanities and social sciences elective.
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EN-UY 3164W Special Topics in English Literature 4 Credits
An advanced course in English literature, open to all students, including those pursuing the cross-school English minor.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4 .
Note: Satisfies a HuSS elective.
Weekly Lecture Hours: 4
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EN-UY 3194W Ethical Questions in Literature 4 Credits
This course examines the implications of ethical questions posed in works of poetry, drama, and fiction. Attention will be paid to historical context.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4 .
Note: Satisfies a HUSS elective
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EN-UY 3434W Machines Made of Words II: Designing Poetry 4 Credits
In this seminar/workshop, students read a wide range of poetic forms or structures and practice making poems, focusing on the reading and composition of poems as forms of design.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4 .
Note: Satisfies a humanities and social sciences elective.
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EN-UY 3814W The Environment and Literature 4 Credits
Nature as an inspiration for writers is not new. Concern for the environment, both indoors and out-of-doors, is not new. Recently, however, the critical discipline of ecocriticism has emerged as a way to study the relation between the environment and poetry, drama, fiction, and non-fiction drawn from the traditional literary canon. This course will study some of those works and the many implications of this relationship. Works of art may supplement the readings.
Prerequisite(s): Completion of EXPOS-UA 1 or EXPOS-UA 4
Note: Satisfies a humanities and social sciences elective.
Weekly Lecture Hours: 4 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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EXPOS-UA 1 Writing the Essay 4 Credits
This is the foundational writing course. It provides instruction and practice in critical reading, creative thinking, and clear writing. It provides additional instruction in analyzing and interpreting written texts, the use of written texts as evidence, the development of ideas, and the writing of both exploratory and argumentative essays. The course stresses exploration, inquiry, reflection, analysis, revision, and collaborative learning.
Weekly Lecture Hours: 4
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EXPOS-UA 2 The Advanced College Essay 4 Credits
This course follows EXPOS-UA 1 and provides advanced instruction in analyzing and interpreting written texts from a variety of academic disciplines, using written texts as evidence, developing ideas, and writing argumentative essays. It stresses analysis, argument, reflection, revision, and collaborative learning.
Prerequisite(s): EXPOS-UA 1 .
Weekly Lecture Hours: 4
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EXPOS-UA 3 International Writing Workshop: Introduction 5 Credits
A preliminary course in college writing for undergraduates for whom English is another language. Permission to register for this course is based on NYU admissions criteria and EWP assessment of reading, writing, listening, and speaking proficiency. Cannot substitute for EXPOS-UA 4 or EXPOS-UA 9 . The course meets twice weekly for 150 minutes each session.
Provides preparation in reading, writing, listening and speaking for academic purposes while increasing fluency, sentence control, and confidence. Emphasizes pre-writing strategies (exploratory writing, outlining, reflective writing, paraphrase, synthesis, analysis) and provides practice in multi-modal presentation. Students learn to make us of inquiry, evidence, and the incorporation of texts as they read texts from various genres (journals, newspapers, books, visual and moving arts) and draft and revise essays of their own. Instructor feedback includes discussion of appropriate conventions in standard English grammar and style.
Prerequisite(s): EWP Permission
Note: Credit for this course may not be used to satisfy the minimum credit requirement for graduation.
Weekly Lecture Hours: 5
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EXPOS-UA 4 International Workshop Writing I 4 Credits
The first of two courses for students for whom English is a second language. The Core Curriculum requirement for NYU undergraduates is fulfilled with this course and International Writing Workshop II. Provides instruction in critical reading, textual analysis, exploration of experience, the development of ideas, and revision. Stresses the importance of inquiry and reflection in the use of texts and experience as evidence for essays. Reading and writing assignments lead to essays in which students analyze and raise questions about written texts and experience, and reflect upon text, experience, and idea in a collaborative learning environment. Discusses appropriate conventions in English grammar and style as part of instructor feedback.
Prerequisite(s): EWP permission
Weekly Lecture Hours: 4
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EXPOS-UA 9 International Workshop Writing II 4 Credits
The second of two courses for students for whom English is a second language. The Core Curriculum requirement for NYU undergraduates is fulfilled with this course and International Writing Workshop 1. Provides advanced instruction in analyzing and interpreting written texts from a variety of academic disciplines, the use of written texts as evidence, the development of ideas, and the writing of argumentative essays through a process of inquiry and reflection. Stresses analysis, revision, inquiry, and collaborative learning. Discusses appropriate conventions in English grammar and style as part of instructor feedback.
Prerequisite(s): EXPOS-UA 4 International Workshop Writing I
Weekly Lecture Hours: 4
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EXPOS-UA 13 Writing Tutorial 4 Credits
Offers intensive individual and group work in the practice of expository writing for those students whose competency examination reveals the need for additional, foundational writing instruction. The course aims to better prepare admitted transfer students for the rigorous work they will have to complete in either EXPOS-UA 1 or EXPOS-UA 4 . The course concentrates on foundational work (grammar, syntax, paragraph development) leading to the creation of compelling essays (idea conception and development, effective use of evidence, understanding basic forms, and the art of persuasion).
Prerequisite(s): EWP Permission
Note: Credit for this course may not be used to satisfy the minimum credit requirement for graduation.
Weekly Lecture Hours: 4
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Finance Undergraduates in Graduate FRE Courses
The Department of Finance and Risk Engineering does not permit undergraduates to take courses with the prefix “FRE”; these are graduate courses reserved for graduate students. Exceptions are made only for sub-matriculated undergraduates; undergraduates who have applied to and been accepted to the MS FE program at NYU Tandon in their Senior year of undergraduate studies. No other exceptions are made.
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FIN-UY 2003 Economic Foundations of Finance 3 Credits
This course focuses on the fundamental economic concepts underpinning modern financial theory. Material includes consumer behavior; utility theory; analysis of production and costs; competitive markets; monopolistic and monopsonistic markets; time value of money; game theoretic analysis of oligopoly; asymmetric information in markets; externalities; market efficiency and more. The calculus is used to develop these concepts.
Prerequisite(s): MA-UY 1124 or MA-UY 1154 or MA-UY 1424 and Sophomore Standing or higher.
Note: This course fulfills 3 credits of Tandon HuSS elective requirements.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 2103 Creating and Understanding Financial Statements 3 Credits
This course provides a solid understanding of the creation and interpretation of modern financial statements. Topics include the compelling reasons for financial statements, Sarbanes- Oxley, U.S. accounting principles and how they differ abroad, quality of financial information, financial ratios and their uses, cash-flow analysis, measurement of corporate performance, credit analysis and introduction to managing financial risk.
Prerequisite(s): MA-UY 1124 or MA-UY 1154 or MA-UY 1424 and Sophomore Standing or higher.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 2203 Corporate Finance and Financial Markets 3 Credits
This course covers the fundamentals of corporate finance, valuation, risk, capital budgeting and market efficiency. Students who complete this class acquire a solid foundation needed for intermediate and advanced topics in finance. This class is a prerequisite for all FIN classes at the 3000 level.
Prerequisite(s): MA-UY 2054 or MA-UY 2212 (or MA-UY 2224 ) or MA-UY 3012 , 8 credits of calculus, and Sophomore Standing or higher.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 3213 Financial Management and Risk Engineering 3 Credits
The course introduces the elements and techniques of risk engineering spanning the following: Probabilities and their distributions and data analysis and statistics as well as Monte Carlo simulation. Throughout, these techniques are demonstrated through special problems and cases providing the necessary tools and concepts for dealing with major problems in risk engineering, decision-making under uncertainty, and financial management and pricing. The course is based on multiple sessions in a Financial Laboratory environment, using computational- risk software, statistical and financial econometric software, and simulation programs and software.
Prerequisite(s): FIN-UY 2203 . Corequisite(s): FIN-UY 2003 and FIN-UY 2103 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 3233 Derivatives and the Options Market 3 Credits
This course builds on mathematical models of bond and stock prices and covers two major areas of mathematical finance with significant impact on operating-model financial markets, namely, Black-Scholes arbitrage pricing of options, and other derivative securities and interest rates together with their term structure. The course makes significant use of probability and calculus, covering the material in a mathematically rigorous and complete manner.
Prerequisite(s): FIN-UY 2203 . Corequisite(s): FIN-UY 2003 and FIN-UY 2103 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 3403 Entrepreneurship and Financial Management 3 Credits
This course introduces the finance of entrepreneurship and venture capital. It considers the perspectives of the start-up firm and the venture capitalist and develops a framework for understanding the laws, contracts and issues involved in reaching mutually profitable contracts.
Prerequisite(s): FIN-UY 2203 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 3503 Financial Risk Modeling and Analytics 3 Credits
This course focuses on how to optimize business strategies, qualitatively and quantitatively with respect to financial risk. Financial risk can be thought of in two pieces: Operational Risk is cost-side risk and Sales Risk is revenue-side risk. The course is organized around the principle that risk analysis consists, in part, of data collection and the building of mathematical models to describe the risk of failures in human resources, processes and technology. Beginning with a foundation for financial risk modeling and a focus on the modeling process, the course discusses probabilistic tools for risk modeling and statistical methods to calibrate models of risk. The quantitative assessment of risk uses the tools of probability, statistics and actuarial science.
Prerequisite(s): FIN-UY 2203 Corequisite(s): FIN-UY 2003 and FIN-UY 2103 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FIN-UY 4903 Special Topics in Finance and Risk Engineering 3 Credits
The course considers unique topics of interest in Finance and Risk Engineering. It may feature a detailed look at a single topic or a series of focused topical presentations.
Prerequisite(s): , and
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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RSK-UY 3593 Probabilistic Risk Assessment 3 Credits
This undergraduate course in probabilistic risk assessment (PRA) introduces students to a deep, comprehensive methodology for risk evaluation associated with complex engineered technological designs. Four fundamental questions are addressed: what can go wrong, what are the indications of potential failure, what is the potential magnitude of the failure, and with what probability will failure occur. We will also explore human reliability analysis and common-cause-failure analysis. This course can be applied towards the requirements for NYU-Poly’s minor in Nuclear Science and Engineering but not towards the minor in Finance.
Prerequisite(s): MA-UY 2054 or MA-UY 2212 or MA-UY 3012 .
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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Finance and Risk Engineering Undergraduates in Graduate FRE Courses
The Department of Finance and Risk Engineering does not permit undergraduates to take courses with the prefix “FRE”; these are graduate courses reserved for graduate students. Exceptions are made only for sub-matriculated undergraduates; undergraduates who have applied to and been accepted to the MS FE program at NYU Tandon in their Senior year of undergraduate studies. No other exceptions are made.
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FRE-GY 5010 FRE Bootcamp I 0 Credits
This summer bootcamp online experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite(s): Admission to MS Financial Engineering
Note: No fees or tuition for admitted, deposited incoming students.
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FRE-GY 5020 FRE Bootcamp II 0 Credits
This summer bootcamp online experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite(s): Admission to MS Financial Engineering
Note: No fees or tuition for admitted, deposited incoming students.
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FRE-GY 5030 FRE Bootcamp III - From Brain Teasers to Black-Scholes 0 Credits
This summer bootcamp experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite(s): Admission to MS Financial Engineering Corequisite(s): FRE-GY 5040
Note: No fees or tuition for admitted, deposited incoming students.
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FRE-GY 5040 FRE Bootcamp IV - Risk, Applied Statistics, and Probability 0 Credits
This summer bootcamp experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite(s): Admission to MS Financial Engineering Corequisite(s): FRE-GY 5030
Note: No fees or tuition for admitted, deposited incoming students.
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FRE-GY 5500 Bloomberg Certification 0 Credits
This course tracks the requirement for the self-paced, self-taught Bloomberg certification to be completed through a Bloomberg terminal.
Prerequisite(s): Graduate Financial Risk Engineering students only.
Weekly Lecture Hours: 0 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 5990 Capstone Assessment 0 Credits
The Master of Science in Financial Engineering program offers four types of Capstone experiences to its graduate students: theses, projects, special topics, and internships. This Capstone Assessment will serve as a centralized measure for the various types of Capstone experiences to identify whether students have successfully completed this experience and garner feedback about graduating students’ skills and professional readiness. Note: course should be completed during final semester of studies.
Prerequisite(s): FRE-GY 9973 or FRE-GY 7023 or FRE-GY 7043 or two special topics courses of 1.5 credits each, with a capstone paper submitted to the faculty.
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FRE-GY 6003 Financial Accounting 3 Credits
This course provides a solid foundation in the construction and interpretation of financial statements. Topics include accounting terminology; financial statement preparation and analysis; liquidity and credit risk ratios; depreciation calculations; revenue recognition; and accrued liabilities and asset valuation. Also covered are the effects of equity transactions; cash flows; and various accounting methods on financial statements.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6021 Financial Insurance and Credit Derivatives 1.5 Credits
Financial insurance and Derivatives have moved to the center of modern corporate finance, investments and the management of financial institutions. Option pricing concepts are applied to price complex structured financial products and to price portfolios of equity-linked life insurance. This course also introduces modeling and the pricing of credit derivatives such as CDOs and the many other vehicles used to securitize portfolios of MBS, Loans, etc. Applications to Fixed Income problems, interest rates and bond derivatives, the management of portfolio risks and their like are considered.
Prerequisite(s): FRE-GY 6103 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6023 Financial Economics 3 Credits
This course provides a rigorous introduction to the principles and application of the theory of financial economics. Following a review of foundational theories of markets and competition, this course covers the following areas: certainty and perfect capital markets, the institutional setting of financial economics, risk and contingent claims theory, and capital market imperfections and the limits to arbitrage that these impose on financial systems.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6031 Money, Banking and Financial Markets 1.5 Credits
Studies how the interactions among money, the financial system and the economy determine interest rates and asset returns. It utilizes a consistent approach based in economics to explain the role of the financial system in matching savers and borrowers and in providing risk-sharing, liquidity and information services in efficient financial markets. Students study why and how financial markets and financial instruments evolve as a function of transactions and information costs, adverse selection and moral hazard problems, and summarize economic arguments for and against regulation. Finally, they examine the money supply process and monetary policy, in particular the link between monetary authorities and the macro-economy through a transmission mechanism involving banks and the non-financial public.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6041 Extreme Risk Analytics 1.5 Credits
The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; “fat tails”; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; datamining biases and decision error; and decision- making with incomplete information.
Prerequisite(s): Graduate Standing
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6051 Insurance Finance and Actuarial Science 1.5 Credits
This course highlights essential facets of actuarial science, insurance and the finance-insurance convergence. The course assumes that students are familiar with basic notions of expected utility and stochastic processes, and options pricing. Topics include Insurance Business and Insurance Firms Management; Principles of Actuarial Science and Risk Pricing in Insurance and in Finance (Complete Markets); Expected Utility Approach to Insurance Risk Pricing and Management; Derivatives and the Financial Approach to Insurance Pricing; Insurance Products (Life Insurance, Casualty, Pension Funds and Defined Benefits); Principles of Insurance Management in a Dynamic and Global Setting. Throughout, the course uses numerous cases centered on actuarial and insurance problems and analyzes them from a financial perspective. Of particular interest are those related to insurance pricing, reserve policies, insurance pension funds, CATBOND and weather (insurance) derivatives and regulation.
Prerequisite(s):
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6071 Derivatives, Financial Markets and Technology 1.5 Credits
This course covers basic derivatives, including futures contracts, forward contracts, option contracts and swap contracts. The principal focus is on the use of these instruments by financial institutions. Basic valuation concepts are discussed, as are the use of derivatives for speculation, hedging and arbitrage. The specifics of the contracts and the markets in which they trade are also discussed. The main focus gives students in the Financial Technology track a general understanding of the derivatives market and risk management.
Prerequisite(s): FRE-GY 6003 , FRE-GY 6023 and FRE-GY 6103 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6073 Introduction to Derivative Securities 3 Credits
This course explains in detail various models and methods for pricing and hedging derivatives including: European, American, exotic options, swaps, and convertible bonds. Presentation is done using equity, interest rate, and volatility derivative products. A short introduction to computational methods necessary for pricing derivatives is provided.
Prerequisite(s): Matriculation into MS Financial Engineering or permission of the department.
Weekly Lecture Hours: 3
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FRE-GY 6083 Quantitative Methods in Finance 3 Credits
This course focuses on quantitative methods and financial modeling. Probability theory, stochastic processes and optimization are studied and applied to a broad variety of financial problems and their derivatives. Topics include probability spaces; conditional probability; densities; distributions; density estimators; multivariate probability; moment generating functions; random walks; Markov processes; Poisson processes; and the Brownian-motion process.
Prerequisite(s): Students are expected to know calculus and elementary probability, and Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6091 Financial Econometrics 1.5 Credits
Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data.
Prerequisite(s): FRE-GY 6083 and a working knowledge of statistics. Matriculation into MS Financial Engineering or permission of the department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6103 Valuation for Financial Engineering 3 Credits
This course introduces financial engineers to robust risk-based valuation methods in discrete and continuous time. This includes four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets & liabilities.
- “Cash flows” refers to risk-free and risky payments or expenditures.
- “Traded derivatives” include a high level treatment of forward contracts and the most commonly traded option contracts.
- “Nontraded and embedded derivatives” refer to contingent cash flows created in the normal processes of contracting and asset management
- “Corporate assets” refer to claims to cash flows owned and managed by corporations
- “Corporate liabilities” refers to corporate-issued securities or other payment obligations incurred by corporations.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6111 Investment Banking and Brokerage 1.5 Credits
This course introduces an overview of Wall Street, the back office and general brokerage operations, investment banking and capital markets. The course covers subjects essential to understanding how products, once created, are distributed and sold. The course relies heavily on The Wall Street Journal, Financial Times and other trade publications. Topics include a brief history of Wall Street, an understanding of the major securities laws and how they have changed over time, basics of equity and debt securities, creation of debt and equity securities, and pricing and sale of debt and equity securities. The course seeks to understand how and where opportunities for creating new securities arise.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6123 Financial Risk Management 3 Credits
This course introduces the techniques and problems of Financial Risk Management and Asset Pricing. It emphasizes risk finance and attitudes; Value at Risk; risk measurement principles; valuation and expected utility and their relevance in the valuation and the pricing of financial investments; insurance; management of derivatives; and risk management. Throughout, risk-management application problems are explored. The course introduces and focuses on the fundamental principles of the Arrow-Debreu state preference theory used to price derivatives and other assets in complete markets. Risk neutral-Binomial models in option pricing; essential elements of Ito calculus; and the Black-Scholes model for pricing options are introduced and applied to practical financial decision making and risk management problems.
Prerequisite(s): Graduate Standing
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6131 Clearing and Settlement and Operational Risk 1.5 Credits
This course focuses on issues involved in processing financial transactions-from order execution to final settlement of transactions-and operational risk in general. The course examines the procedures and market conventions for processing, verifying, and confirming completed transactions; resolving conflicts; decisions involved in developing clearing operations or purchasing clearing services; the role played by clearing houses; and numerous issues associated with cross-border transactions. The course also examines the effects of transaction processing, liquidity management, organizational structure, and personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.
Prerequisite(s): FRE-GY 6153 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6141 Static and Dynamic Hedging 1.5 Credits
The course discusses advanced topics in hedging exposures, with emphasis on adaptation of the mathematics to the real world. Examines applications in quantitative finance. Methods in the hedging of cash flows and liabilities for corporations and for option traders are covered. A synthesis is made of both theory and historical hedges traded.
Prerequisite(s): Graduate Financial Risk Engineering students only.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6143 Life Insurance and Related Financial Products 1.5 Credits
This course begins with an introduction to the Mathematics of Life Insurance. Basic topics covered are survival distributions, time-of-death as a continuous random variable, life tables and their interpretation. Insurance applications include estate planning, tax ramifications and other specific issues related to the multiple uses of life insurance. Characteristics of life annuities are exhibited; the equivalence principle is introduced and used to evaluate future benefits. Prospective future loss on a contract already in force is investigated. An emphasis lies on the integration of life contingencies into a full risk-theory framework and the use of modern probabilistic and financial methods that are based on financial pricing.
Prerequisite(s): FRE-GY 6051 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6153 Foundations of Financial Technology 3 Credits
Financial Institutions spend billions per year to exploit the latest development in information technology. This course introduces a framework with which to understand and leverage information technology. The technology components covered include telecommunications, groupware, imaging and document processing, artificial intelligence, networks, protocols, risk, and object-oriented analysis and design. The course also covers the entire technological-planning process specifically for financial institutions.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6163 Life Contingencies II 3 Credits
The course investigates annuity and insurance contracts involving two lives. Subsequently, a more realistic model is introduced in which several causes of decrement are possible. An overview of risk-theory application to insurance is given. Also covered are an extension of the individual model to incorporate operational constraints such as acquisitions and administrative expenses, accounting requirements and the effects of contract termination.
Prerequisite(s): FRE-GY 6143 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6171 Management of Financial Institutions 1.5 Credits
This course focuses on managing institutions from a financial-management perspective. By analyzing the factors that define the dynamics of the rapidly changing financial services industry, the course explores the normative consequences of financial management decision-making to create shareholder value.
Prerequisite(s): FRE-GY 6031 and FRE-GY 6023 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6191 Advanced Topics in Financial Technology 1.5 Credits
This course complements the Foundations of Financial Technology by treating in-depth advanced topics in this rapidly changing field. Students prepare and present case studies applying the concepts covered in class.
Prerequisite(s): FRE-GY 6153 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6211 Financial Market Regulation 1.5 Credits
This course considers the role and forms of regulation in the U.S. financial markets, the role of the Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission (CFTC), the Federal Reserve, the Office of the Controller of the Currency (OCC), and self-regulating organizations (SROs) such as the National Association of Securities Dealers and the National Futures Association. Also examined are the roles of the state insurance commissions and the STATE OR FEDERAL Department of Labor.
Prerequisite(s): FRE-GY 6031 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6223 Actuarial Models 3 Credits
Many problems in actuarial science involve building a mathematical model to forecast or predict future insurance losses and revenues. Historical data guide the actuary in selecting the model and in calibrating its unknown parameters. The course introduces discrete and continuous actuarial models such as loss, frequency and severity models and their specific characteristics. It then studies aggregate loss models in which individual risks are pooled into a manageable aggregate risk. Finally, financial tools are used to market price theses losses and allow a securitization of insurance firms’ portfolios.
Prerequisite(s): FRE-GY 6051 Insurance Finance and Actuarial Science, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6231 Stochastic Calculus in Finance 1.5 Credits
This course provides the mathematical foundations of option pricing and credit risk models. The techniques covered include filtrations, arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential calculus, change of probability measure, martingales, Stochastic Differential Equations and the connection with Partial Differential Equations. Some financial applications to European options and bonds will be presented.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department and FRE-GY 6083
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6233 Options Pricing & Stochastic Calculus 3 Credits
This course provides the mathematical foundations of Option Pricing models. The techniques covered include arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential Calculus, change of probability measure, martingales, Stochastic Differential Equations and Partial Differential Equations. Some of the pricing models considered are the European, Barrier, Asian and American options. These problems are either solved analytically by the martingale approach or numerically, by applying approximation and simulation methods. Since the same techniques allow the treatment of more complex financial products, examples of credit derivatives will be also presented. This course is a requirement in the Computational Finance Track.
Prerequisite(s):
Weekly Lecture Hours: 3
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FRE-GY 6243 Credibility and Loss 3 Credits
This course deals with actuarial models and the estimation of their parameters. Statistical parameter estimation techniques and Bayesian methods are used to study and interpret survival models. Quantitative methods for model selection and model testing are introduced. The basics of credibility theory provide the mathematical tools for an insurer’s prospective experience rating on a risk or a group of risks (e.g., to justify policy prices). Finally, model simulation techniques are treated in theory and practice.
Prerequisite(s): FRE-GY 6223 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6251 Numerical and Simulation Techniques in Finance 1.5 Credits
Advanced numerical techniques for the solution of ordinary, partial and stochastic differential equations are presented. These techniques are analyzed mathematically and use computer aided software that allows for the solution and the handling of such problems. In addition, the course introduces techniques for Monte Carlo simulation techniques and their use to deal with theoretically complex financial products in a tractable and practical manner. Both self-writing of software as well as using outstanding computer programs routinely employed in financial and insurance industries will be used.
Prerequisite(s): FRE-GY 6083 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6273 Advanced Valuation Theory 3 Credits
This course provides students with corporate finance theory and analytical skills essential to financial decision-making. It helps students develop a framework that is useful for understanding a broad range of major corporate financial policies and equips students with tools and techniques useful for evaluating firms and assessing a business’s investment and financial policies. Topics will include: discount cash flow models, financial statement analysis, valuations, capital budgeting analysis, capital structure, cost of capital, dividend policies, initial public offerings, and corporate governance.
Prerequisite(s): and .
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FRE-GY 6291 Applied Derivative Contracts 1.5 Credits
This course provides an introduction to derivative contracts with a special emphasis on current practical applications in use today by financial institutions for investing, hedging, trading and issuing. The characteristics and features of futures, forwards, swaps, options and structured notes are all covered with a special emphasis on useful applications. For each of the four primary derivative contracts, we review in these lectures the appropriate definitions, terminology, market mechanics and theoretical fair value pricing.
Prerequisite(s): FRE-GY 6003 , FRE-GY 6023 , FRE-GY 6103 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6303 Dynamic Assets and Option Pricing
This course provides the foundations of option pricing models. The problems are either solved analytically by the martingale and Partial Differential equation approaches, or numerically, by applying approximation and simulation methods. The applications to both European and American options, exotic options, and bonds will be presented. Since the same techniques allow the treatment of more complex financial products, application to fixed income derivatives such as interest rate caps will also be presented. This course is a requirement in the Computational Finance Track and is a track elective in the Risk Finance Track.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department & FRE-GY 6083 .
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FRE-GY 6311 Dynamic Assets and Option Pricing 1.5 Credits
The course focuses on inter-temporal assets pricing, both in discrete and continuous time. The course distinguishes between problems in complete and incomplete markets of both theoretical and practical interest, all of which requires an appreciation of financial economic theories and computational techniques. Problems and cases are presented that span Fixed Income (Bonds), Stocks and Derivatives (Options of various sorts), and Implied Risk Neutral Pricing. Reference text: Applied Stochastic Models and Control for Finance and Insurance by C.S. Tapiero (Kluwer, 1998).
Prerequisite(s): FRE-GY 6083 and FRE-GY 6123 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6311 Dynamic Assets and Options Pricing 1.5 Credits
The course focuses on inter-temporal assets pricing in discrete and continuous time. The course explores problems in complete and incomplete markets of both theoretical and practical interest that require an appreciation of financial economic theories and computational techniques. Financial-engineering techniques are introduced including Martingales, stochastic calculus and jump processes; these are applied to engineering problems in finance. Problems and cases are presented that span Stocks and Derivatives (options of various sorts), Bonds and Implied Risk-Neutral Pricing.
Prerequisite(s): FRE-GY 6083 and FRE-GY 6123 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6321 Casualty I 1.5 Credits
This course broadens perspectives on the business environment in which actuaries work and analyzes insurance-pricing cycles and regulatory developments. Rating and solvency issues are covered, as well as the rating of individual risks and the concept of loss reserve. The course also touches on issues behind daily events and the impact of current developments in the actuarial sciences on the actuarial function.
Prerequisite(s): FRE-GY 6051 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6331 Financial Risk Management & Optimization 1.5 Credits
This course provides solutions to the inter-temporal problems in financial management including management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.
Prerequisite(s): FRE-GY 6083 , FRE-GY 6091 and FRE-GY 6123 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6341 Casualty II 1.5 Credits
This course continues FRE-GY 6321 . It covers operational issues of Property and Casualty insurance. Specialized Lines of Business are treated. An introduction to Classification Analysis is given.
Prerequisite(s): FRE-GY 6321 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6351 Econometrics and Time Series Analysis 1.5 Credits
Financial econometrics has matured into a necessary and essential part of financial engineering that provides opportunities to deal with real and practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intraday trading data that requires particular models and techniques; memory-based and fractal stochastic processes to study complex markets behaviors and copulas applied routinely to model- and estimate-dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from both theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.
Prerequisite(s): FRE-GY 6083 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6361 Corporate and Financial Strategy 1.5 Credits
This is an introduction to financial strategy for MS Financial Engineering students. The course focuses on the role of financial engineers and financial officers in developing and sustaining competitive advantage through the use of financial engineering analyses.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6023 and FRE-GY 6103 .
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6371 Contract Economics 1.5 Credits
This course covers advanced material in applied economics for students of financial engineering. The topics discussed include the development of contractual relationships between parties with dissimilar interests. These include risks of moral hazard and the design of incentives, adverse selection and market signaling, auction theory and the winner’s curse, and distributed and integrative negotiation. Students who complete this course successfully obtain an appreciation for the theoretical and practical challenges in completing contracts that provide satisfactory economic incentives to each party and satisfy the other party’s belief that the required terms will be met.
Prerequisite(s): FRE-GY 6023 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6391 Mergers & Acquisitions 1.5 Credits
This course examines the theories and empirical evidence related to mergers and acquisitions and other corporate transactions and reorganizations. The course looks at friendly mergers, hostile takeovers (including takeover and anti-takeover tactics), leveraged buyouts and bankruptcy. Throughout, the course examines the motives behind these transactions and reorganizations.
Prerequisite(s): FRE-GY 6103 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6411 Fixed Income Securities and Interest Rate Derivatives 1.5 Credits
This course examines the body of analytical tools and measures that constitute modern fixed-income markets. The valuation of interest-rate sensitive cash flows is the unifying theme. Major topics include theories of term structure, institutional aspects of fixed-income markets and analytical techniques for managing interest-rate risk. Bond refunding, defeasance, corporate bonds, forwards, futures, options and interest-rate swaps are discussed. The course gives an overview of the major classes of fixed-income securities and the markets in which they trade. Among the major classes of fixed-income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset-backed securities, municipals, floating and inverse floating rate securities.
Prerequisite(s): FRE-GY 6023 , FRE-GY 6083 and FRE-GY 6103 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6431 Electronic Market Design 1.5 Credits
This course covers the design and analysis of electronic marketplaces. This exciting new research area incorporates ideas from economics (in particular game theory and mechanism design), AI and theoretical computer science. Electronic markets have many interesting applications, from the obvious, such as automated negotiation for e-commerce, to non-obvious applications such as resource allocation in grid-computing settings. The course focuses on computational and game theoretic questions related to electronic markets and looks at what it means to design electronic markets with good properties. Topics include Introduction to game theory and mechanism design; winner determination in combinatorial auctions; bidding languages; approximate single-shot auctions; iterative auctions; preference elicitation and communication complexity; mechanisms for selling digital goods; false-name bids; reputation mechanisms; computationally-limited agents; trading agents; and privacy and auctions.
Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6451 Behavioral Finance 1.5 Credits
This course discusses investors’ systematic deviations from the level of financial rationality assumed by modern financial theory. Such biased behavior can lead to market inefficiencies, market opportunities and market failure. After a brief introduction to the topic and its research history, the course focuses on the limits to arbitrage created by decision bias, the equity premium puzzle, market over-reaction and under-reaction. The course seeks to understand how and where opportunities for and threats to wealth accumulation exist as a result of the mismatch between investor behavior and the assumptions about investment behavior inherent in financial theory.
Prerequisite(s): FRE-GY 6023 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6471 Applied Financial Econometrics 1.5 Credits
This course builds on the concepts covered in FRE-GY 6091 and addresses the design, estimation and application of both univariate and multivariate time-series models that are used widely in finance and risk engineering. Financial econometric techniques such as ARCH-GARCH methods and the use of numerical techniques and simulation.
Prerequisite(s): FRE-GY 6083 and FRE-GY 6091 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6491 Credit Risk & Financial Risk Management 1.5 Credits
This course provides a deep understanding of credit instruments from a qualitative and quantitative point of view. Students learn how to price credit derivatives and hedge credit risk. Both the structural and intensity models approaches are presented. Applications to a number of structured products are considered.
Prerequisite(s): FRE-GY 6411 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6511 Derivatives Algorithms 1.5 Credits
This course focuses on the algorithms behind derivatives valuation and applications. The focus is on the principles and practice of financial engineering and risk management and on developing intuition: understanding the reasons for the existence of the product, simulating possible paths and possible parameter values as an exploratory process, approximating complex derivatives as a combination of simpler ones, and attempting to replicate the payout. The goal is to prepare students to be able to evaluate an arbitrary derivative given only its term sheet. To that end, the course requires a project almost every week. Projects can be done in any programming language (Excel, Mathematica, R, Python, etc.), but the final result must be stand-alone tables and graphs. The primary prerequisite is familiarity with standard option pricing and Greeks. A portion of the final exam may involve a live computation project.
Prerequisite(s): FRE-GY 6123 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6551 Accounting for Financial Products 1.5 Credits
This course addresses accounting issues pertaining to innovative financial products, risk management strategies, tax-driven strategies and other manifestations of financial engineering, particularly those in which derivative financial instruments play an important role. Accounting and tax rules are reviewed and applied.
Prerequisite(s): FRE-GY 6003 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6571 Asset-Backed Securities and Securitization 1.5 Credits
This course examines essential contributions in this field and provides a comprehensive coverage of financial securitization and their application to major asset-backed securities, structuring issues and relative value analysis. Topics include the expanding frontiers of asset securitization; introduction to ABS accounting; trends in the structuring of ABSs; and prepayment nomenclature in the ABS market.
Prerequisite(s): , FRE-GY 6511 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6591 Real Estate Finance and Mortgage-Backed Securities 1.5 Credits
This course takes the student from a general introduction to real estate finance and applied mortgage-backed securities (MBS) to a detailed treatment of issues that make real estate and these instruments some of the most complex. Students learn the fundamentals of yield curves, mortgage-cash flows, prepayments and analysis. The course covers pass-throughs, CMOs, mortgage derivatives and ARMs. Asset/Liability management of MBS will be discussed. Students build a price-yield calculator for MBS pass-throughs (using a spreadsheet) and complete a course project.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6571 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6611 Credit Derivatives 1.5 Credits
This course introduces credit derivatives and Collateralized Debt Obligations (CDO’s). The course reviews the most important credit instruments and their marketing, starting with risky bonds and credit default swaps, through basket swaps, structured products and CDO’s. Each instrument is defined and explained, including its markets, modeling, pricing and risk management. Class work is illustrated with theoretical homework and practical Excel projects.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6631 Applied Derivatives and Real Options Finance 1.5 Credits
This course focuses on financial-engineering applications using derivatives, alone and in combination with other financial instruments. In addition to studying complex financial- engineering structures, students consider applications of real options to the many industrial and assets management problems dealt with by business firms. Examples of applications include case problems in real options as well as issues in tax arbitrage, the construction of equity collars on restricted stock, the alteration of the investment characteristics of large portfolios, and the creation of synthetic financial instruments.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6651 Term Structure Modeling and Advanced Interest Rate Derivatives 1.5 Credits
This course covers term-structure models, the term structure of volatility, interest-rate processes with time-dependent volatility and mean reversion, a closer look at path-dependent securities, including sinking fund bonds and options with look-back features, multifactor models and multinomial methods of discrete numerical implementations. Course readings are drawn from current literature.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 . Students are expected to know numerical analysis, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6671 Global Finance 1.5 Credits
The level of economic and financial globalization combined with the growth of the multinational firms and virtual firms with no boundaries may have altered the future of finance and its risk engineering. The purpose of this course is to focus attention on the essential elements that both large financial firms and institutions are confronting worldwide, the challenges of national and international financial investments, currencies speculations and investments, regulation as well as managing risks in a strategic and macroeconomic environment. In such an environment, financial markets are multi-polar, geographically distributed with national entities pursuing their own economic and political agenda.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6691 Intermediate Credit Derivatives Valuation and Applications 1.5 Credits
Credit derivatives have emerged as an area of significant interest in global derivatives and risk- management practice. These instruments have the potential to revolutionize the management of credit risk in banking and capital markets. This course introduces the full range of products available in today’s marketplace, the economic value of credit derivatives, valuation techniques and guidelines on using them to manage and control risk.
Prerequisite(s): FRE-GY 6411 and FRE-GY 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6711 Quantitative Portfolio Management 1.5 Credits
This course focuses on the quantitative foundations of portfolio management . It teaches the fundamental mathematical models such as the Markowitz, CAPM, and the Merton investment-consumption models, and discusses the issues related to the implementation of these models in practice to different types of portfolios. Finally, it also introduces some common portfolio construction and rebalancing techniques.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6083
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6713 Advanced Investment Theory and Applications 3 Credits
This course covers a wide range theoretical and practical issues that arise in the management of equity and fixed income portfolios, including the classical (Markowitz) foundations of mean-variance optimization, the use of constraints, risk budgeting, robust (outlier-resistant) optimization, tail risk aware optimization, the estimation of expected returns, and the measurement and monitoring of portfolio performance using ideas from statistical process control. It will also require the use of Bloomberg’s PORT optimization tool to optimize, as well as to simulate the risk and return of, large portfolios.
Prerequisite(s): FRE-GY 6083 , FRE-GY 6103 and Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department.
Weekly Lecture Hours: 3
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FRE-GY 6731 Market Risk Management and Regulation 1.5 Credits
This course covers quantitative methods of measurement and management of market risk as well as regulatory aspects of market risk management including both the current framework of Basel 2, 2.5, and 3 and the future methodology of FRTB. As the final project students produce a fully developed risk management system that includes risk calculations (sensitivities, VaR, Stressed VaR, Stress Analysis) on individual position and portfolio levels.
Corequisite(s): FRE-GY 6711 and Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6751 Credit Risk Measurement and Management 1.5 Credits
This course deals with issues in credit-risk measurement, credit-risk management and related areas in which credit considerations are important. These issues arise in credit-rating activity, credit extension by banks and other financial services and in derivative markets where counter-party risk is perceived to be an important management issue.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department Corequisite(s): FRE 6711.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6771 Financial Optimization Techniques 1.5 Credits
The course introduces optimization concepts intended for coping with financial stochastic processes. The course involves both numerical analysis with commercial solvers and analytical approaches for gaining insights into underlying problems. The course covers three major optimization areas: convex optimization, non-convex optimization and stochastic programming. Conceptual frameworks and techniques are taught through applications and problems in financial engineering and management.
Prerequisite(s): FRE-GY 6311 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6791 Operational Risk Measurement and Management 1.5 Credits
The operational difficulties faced by financial institutions have created a need for tools to measure and manage operational risk. An accurate appreciation of risks, exposures and controls is critical to managing risk effectively in today’s dynamic global business environment. This course examines the effects of transaction processing, liquidity management, organizational structure, personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.
Prerequisite(s): FRE 6711.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6811 Financial Software Laboratory 1.5 Credits
This course teaches students to use financial software tools commonly employed in industry. Examples include: @Risk, Yieldbook, Excel, R, and C++.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6821 Financial Econometric Laboratory 1.5 Credits
This course teaches students to use Eviews and Stata.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6831 Computational Finance Laboratory 1.5 Credits
The course introduces programming applications in financial modelling. Topics include variables, data types, input/output, plotting, selection statements, loop statements, functions, and classes, and implementation for Black-Scholes option pricing partial differential equation, Monte Carlo simulation, numerical methods for solving partial differential equations, and option pricing by Fourier transform.
Prerequisite(s): Graduate Standing.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6861 Financial Software Engineering Laboratory 1.5 Credits
This financial lab requires students to publicly participate in a large software project. This participation could take the form of innovation, such as contributing to an open-source financial software project with the contributions being accepted and committed to the main branch, or invention, such as publishing a stand-alone library or package for a programming language commonly used in financial applications, or pure entrepreneurship, such as the development or updating of a brand-new industrial strength financial software application. As the students work on their project, this course will focus on important software engineering considerations specifically as they apply to the real-time world of financial projects, such as formalized procedures for revision control and bug tracking and other proven methods of software management in a fast-paced financial and business environment.
Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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FRE-GY 6871 R in Finance 1.5 Credits
This course introduces the free programming language R and its many applications to finance including risk management, portfolio construction, strategy development and testing, and trading and execution. Topics covered include financial time series analysis, advanced risk tools, applied econometrics, portfolio management, and derivatives valuation. Students will be required to write some code in R every week.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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