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EN-UY 2204W Science Journalism 4 Credits
Introduction to a field of specialized writing that includes science and technology articles geared to an informed lay audience and published in newspapers, business magazines, niche publications, and online journals and blogs. Students will read and comment on classic pieces written since the field began to take shape as a major sector of the media following World War II. Students will research and write news and feature articles on science, technology, and medical issues, with the clear purpose of publishing their work in the school newspaper. Emphasis will be on research, development of interviewing skills, accuracy and clarity in reporting, and writing style. Each student will also compose a major “think” piece that explores and interprets a complex, controversial public-policy issue besetting one of the science/technology disciplines today.
Prerequisite(s): Completion of first year writing requirements
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EN-UY 2244 Shakespeare and the Creative Imagination 4 Credits
In this course, students learn how Shakespeare’s writings were influenced by his literary forebears and how he has inspired artists since his own time. Through this approach, the course explores the author’s particular creative genius and his legacy.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 2254/W 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): Prerequisite: Completion of first year writing requirements
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EN-UY 2324/W 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 2334/W The Invention of the Word 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 first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 2354/W 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 2414/W 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 first year writing requirements
Note: This course satisfies HUSS elective requirements and HUSS writing intensive requirements.
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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 3144/W Formal Approaches to Art & Poetry 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 first year writing requirements
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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 first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 3194 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. 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 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 first year writing requirements.
Note: This course satisfies HUSS elective requirements and 3000-level writing intensive requirements for all Poly majors.
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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 first year writing requirements and EN-UY 2114/W or permission of instructor.
Note: Satisfies a humanities and social sciences elective.
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EN-UY 3814/W 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 first year writing requirements.
Weekly Lecture Hours: 4 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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EN-UY 4911 Special Topics in Literature Variable Credits
This course discusses variable topics in literature.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 4912 Special Topics in Literature Variable Credits
This course discusses variable topics in literature.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EN-UY 4913 Special Topics in Literature Variable Credits
This course discusses variable topics in literature.
Prerequisite(s): Completion of first year writing requirements
Note: Satisfies a humanities and social sciences elective.
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EXPOS-UA 4 International Workshop Writing 1 4 Credits
Previously designated by section number under EW 1013.
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EXPOS-UA 9 International Workshop Writing 2 4 Credits
Previously designated by section number under EW 1023.
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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-Poly 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): Completion of first year writing requirements and 8 credits of Calculus
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): Completion of first year writing requirements
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 3012 , 8 credits of calculus, and completion of first year writing requirements Corequisite(s): MA-UY 2054
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 Operational Risk Modeling and Analytics 3 Credits
This course focuses on how to optimize business strategies, qualitatively and quantitatively with respect to operational risk. The course is organized around the principle that operational 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 operational risk modeling and a focus on the modeling process, the course discusses probabilistic tools for operational risk modeling and statistical methods to calibrate models of operational risk. The quantitative assessment of operational 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-Poly in their Senior year of undergraduate studies. No other exceptions are made. |
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FRE-GY 5500 Bloomberg Certification 0 Credits
The required Bloomberg certification is a self-taught, self‐paced process available on any Bloomberg terminal. Upon completion and receipt of the certification, the student’s requirement in this area will be deemed complete. This requirement can be completed at any time prior to the end of the financial lab course, even before beginning the Master’s in Financial Engineering program if a student so chooses, but no later than the last class of the semester in which the lab course is taken.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 0 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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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 Economic Foundations in Finance 3 Credits
This course studies the interactions between money, the financial system and the economy. Topics include supply and demand; consumer theory; theory of the firm; production costs and other subject areas such as interest rates and asset returns. This course summarizes key insights from financial economics as the methodological and conceptual basis of financial engineering.
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 6031 Money, Banking and Financial Markets 1.5 Credits
Financial econometrics has matured into an important and necessary field, providing an opportunity to deal with 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 intra-day trading data requires particular mathematic techniques; memory-based and persistent stochastic processes can be used for algorithmic trading and detecting markets incompleteness; and copulas are now 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 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): 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 Risk Management in the Real World 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): 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 6051 Insurance Finance and Actuarial Science 1.5 Credits
This course highlights essential facets of actuarial science, insurance and finance insurance. 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 by both actuarial (historic and data based) and financial approaches (based on implied estimates of future losses). The expected Utility Approach to Insurance Risk Pricing and Management is briefly reviewed and greater attention is given to financial insurance derivatives; pricing Insurance Products (Life Insurance, Casualty, Pension Funds and Defined Benefits). The course concludes with an appreciation of the Principles of Insurance Management in a Dynamic and Global Setting. Throughout, the course uses numerous cases centered on financial insurance and actuarial problems and analyzes them from a financial markets perspective. Particular problems such as insurance pension funds, CATBOND and weather (insurance) derivatives and regulation are presented as case problems.
Prerequisite(s): 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 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 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 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 6091 Financial Econometrics 1.5 Credits
This course focuses on the art and science of statistical modeling of processes applied to business, finance and economics. These may include models of aggregate economic activity, economic behavior of firm or behavior of financial assets. Topics include statistical inference; maximum likelihood estimation; method of moments; Bayesian estimation; least-squares estimation; robust estimation; kernel estimation; copula estimation; analysis of variance; linear regression models; multiple regression; logistic regression; quantile regression; time series estimation; unit root tests; bootstrapping.
Prerequisite(s): FRE-GY 6083 . Students are expected to know basic statistics, 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 6103 Corporate Finance 3 Credits
The modern corporation, as issuer of financial securities and end-user of financial risk management products, is a major participant in financial markets and the economic counterpart to investors and financial intermediaries. The mechanism of financial markets and the valuation of instruments are studied in further detail in other courses. However, this course applies the tools of the trade of financial economics and corporate finance to the financial decision-making process of firms. Upon successful completion of this course, students know how to contribute to optimal financial decisions in a corporation: valuation; capital budgeting; risk; capital structure; dividend policy; long-term financing; risk management; and mergers and acquisitions. Increasingly important international factors that affect corporate finance are stressed throughout.
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 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): 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 6123 Financial Risk Management and Asset Pricing 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): 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 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 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 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): 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 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 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 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 6223 Credit Risk and 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): and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
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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
The course presents advanced numerical techniques to solve ordinary, partial and stochastic differential equations. 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 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 6273 Corporate Valuations 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 evaluationg firms and assessing a business’ 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 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
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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 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 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 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 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 and 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 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 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 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 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 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 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 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 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 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 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 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 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 an overview and analysis of the market for debt obligations of state and local governments. Topics will include the micro structure of the market, including the types of debt issued, and characteristics of the buyers. Federal and state taxation of munis will be discussed, along with industry regulatory structure. Bond structure, risk assessment and risk management using cash bonds, futures and options will be covered.
Prerequisite(s): FRE-GY 6411 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 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 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 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): and FRE-GY 6511 .
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 6731 Basel 3 & Banking Assets Management 1.5 Credits
This course addresses financial risk management and particularly focuses on Basel 3 directives and Value at Risk (VaR), a method to assess risk that employs standard statistical techniques routinely used in other fields. VaR analysis is used by bank and corporate managers and by financial market regulators.
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 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): 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 6821 Financial Econometrics Laboratory 1.5 Credits
This course teaches students to use financial econometrics software. Examples include: Eviews, Stata and others.
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 6831 Computational Finance Laboratory 1.5 Credits
This course teaches students to use the software tools employed in computational finance. Examples include: MATLAB, GAMS and other optimization software.
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 6861 Financial Software Engineering 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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FRE-GY 6883 Financial Computing 3 Credits
This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
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 6901 Selected Topics in Financial Engineering 1.5 Credits
Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.
Prerequisite(s): Advanced standing and instructor’s permission.
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 6911 Financial Regulation 1.5 Credits
The course provides an overview of the legal and institutional framework of regulations for capital markets, with a strong emphasis on the United States with some discussion of the financial regulation of banks, insurance firms and financial services in general. In addition, attention is given to regulation in global and emerging markets. The goal is to develop a practical understanding for application in business decision making. The course explores the interplay of regulation (both intended and unintended effects), risk management and the evolution of global modern banking. In light of current market developments, the course develops a critical perspective and discusses potential approaches to the structure of financial regulation.
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 7043 Financial Engineering Capstone: Project 3 Credits
In this project course, students work with faculty on proprietary or non-proprietary research projects. Generally, students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A significant written research component is required.
Prerequisite(s): This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the project to be undertaken. 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 7103 Macroeconomics 3 Credits
Macroeconomics deals with the performance, structure and behavior of a national or regional economy as a whole. This course provides the basic tools for analyzing macroeconomic phenomena. Economic models are developed that explain the relationship between factors such as national income, output, consumption, unemployment, inflation, savings, investment, international trade and international finance. Applications investigate the causes and consequences of short-run fluctuations in national income and attempts at predicting long-run economic growth.
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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