2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]
Department of Finance and Risk Engineering
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 Return to: Academic Department, Degree and Program Information
Head: Charles S. Tapiero
Deputy Head: Barry Blecherman
Mission
The Department of Finance and Risk Engineering creates world-class research and degree programs bridging theory and practice in our disciplines.
The Department
The Department of Finance and Risk Engineering (FRE) is a diversified research and degree granting department-the second in the U.S. to provide the MS degree in Financial Engineering-providing a broadly based education in corporate and computational finance and financial markets, risk finance (including credit risk, insurance and financial risk engineering) and technology and algorithmic finance. The department’s mission is to provide the talent and excellence needed by financial services industries and their many associated professions.
The department’s educational and MS-degree-granting programs, research and extracurricular activities seeks to bridge theory and practice and meet the many and complex challenges that the financial engineering professions are confronted with now and in the future. Graduates may assume diversified employment positions in the many facets that make up the financial engineering profession. Trading desks, hedge fund and investment managers, CFOs, quantitative professionals, insurance firms, financial technology managers as well as financial and specialized risk managers define the broad set of professions that are open to NYU School of Engineering’s graduates in financial engineering.
The department’s curriculum combines a rigorous vision of economics, finance, applied quant finance, actuarial science and financial technology in their theoretical and practical setting in a global world and global financial markets.
In addition, the department provides interdisciplinary certificate and opportunities to combine studies, such as computer science, mathematics and engineering with financial management and technology and risk engineering.
The department is based both in Brooklyn at the MetroTech Center and in Wall Street, in the midst of the world’s leading financial center. Our MS degrees and certificates offer specialization tracks spanning Corporate and Financial Markets (CM), Computational Finance (CF), Technology and Algorithmic Finance (TAF), and Risk Finance (RF) emphasizing the convergence of credit risk, insurance and financial risk management.
The department is staffed by a number of leading academics and practitioners, both nationally and internationally, and boasts a number of outstanding affiliated professors and cutting-edge traders, hedge funds managers and academics turned practitioners by the lure of Wall Street. This combination of talent, theoretically and practically based, national and international, provides a first-rate education embedded in answering the real needs of the financial services sector that recognizes the continuous growth of finance, financial insurance and risk engineering, technology, financial engineering and management in an increasingly global world. In addition, the department has a Research Institute that emphasizes specialized research areas and provides a public service. These include:
- Research focusing on of the many issues that transpired following the financial credit crisis, incomplete markets finance (including rare, Black Swans and uncommon risks finance, financial regulation, leverage, liquidity and corporate structure, real finance and business policy, alternative and behavioral finance as well as topical projects pursued by students and faculty.
- Research on Algorithmic Trading, emphasizing trading platforms and software development and the management of financial technology. The institute is a research hub as well as a laboratory for generating new ideas in computer science and finance. The Institute undertakes collaborative research projects to provide ideas, methods and tools with scholarly and practical applications with the purpose of opening greater opportunities for our students when they graduate.
- Research in corporate finance, liquidity management and the many facets of theoretical and applied finance.
The department operates in close collaboration with NYU’s other educational programs (such as the Financial Mathematics program at the Courant Institute of Mathematical Sciences) as well as a number of universitiesin Europe and China. Collaborative agreements will allow some students to visit other similar programs and profit from more diversified cultures and experiences that are essential today in a more global financial environment.
Contact
Polytechnic Institute of NYU
Six MetroTech Center
Brooklyn, NY 11201
Tel: (718) 260-3279
Fax: (718) 260-3355
Web: http://engineering.nyu.edu/academics/departments/finance
The Profession
Financial engineering is driven by financial practice to bridge means and ends and to reconcile the theoretical foundations of financial economics with the reality of financial markets. Finance is about money and therefore, all problems that can be transformed to a real or to a synthetic financial money framework can profit by the extent to which money is used and exchanged. It is in such a perspective, that many economic and engineering problems can be conceived as “financial engineering problems.” This conception of financial engineering underpins the NYU School of Engineering programs in finance. In this spirit, our goal and objectives pertain to trading, speculating, investing, pricing and corporate and risk management but also to pricing and managing the risks of infrastructure, the environment and business management. In this sense, financial engineering as with all technology and scientific based professions is a “work in progress,” whose purpose is to present and communicate with practitioners and financial engineering students to better prepare their entering the world of finance. We meet the challenges of financial markets-in analysis, pricing, trading and investing-for technology managers and computational finance engineers in fast-moving, highly rewarding careers that create value enabled by finance, technology and computational mathematics.
Degrees Offered
Master of Science in Financial Engineering offered by the Financial Engineering Program
Tracks
Graduate Certificates
Graduate and Certificate Programs
The Master of Science Program
The Master of Science in Financial Engineering (FE) is a 33-credit program designed to provide the skills required to operate at the cutting-edge of financial engineering in today’s financial services industry. Separate tracks make it possible to pursue careers in financial markets and corporate finance, in financial technology, in computational finance or in risk finance. The program is rigorous, demanding and selective.
Graduates of the Financial Markets and Corporate Finance Track are expected to seek positions in financial management groups, on trading and arbitrage desks, in product structuring groups, in derivatives groups, in investment banking departments and in the information-technology firms that support the trading operations of financial institutions.
Graduates of the Technology and Algorithmic Finance Track are actively involved in the development and implementation of the entire spectrum of algorithmic trading strategies, software applications, databases and networks used in modern financial services firms. The techniques it applies bridge computer science and finance to prepare graduate to participate in large-scale and missioncritical projects. Applications include high frequency finance, behavioral finance, agentbased modeling and algorithmic trading and portfolio management.
The Computational Finance Track emphasizes both financial quantitative theory and practice, bridging the two and using both the fundamental concepts of finance and the stochastic and optimization methods and software in finance. This track is meant for those individuals with a strong desire to become quantitative financial managers or to pursue applied finance research interests in cutting-edge investment science, trading and in financial risk management. Techniques such as quantitative finance, financial econometrics, stochastic modeling, simulation and optimization are part of a set of financial tools applied to the many problems of derivatives and options finance, arbitrage trading algorithms, asset pricing, credit risk and credit derivatives, developing new derivative products and the many areas where quant finance has a contribution to make.
Graduates of the Computational Finance Track will be qualified to work in pricing financial risk and their management, in credit risk and their derivatives, in cutting-edge institutions, in quant hedge funds and in research and advanced product development departments of financial and consulting firms. Graduates of the Risk Finance Track will have the qualification and abilities to become responsible specialists for positions in finance, credit granting firms, banks and insurance companies, as well as obtain the knowledge needed to face the upcoming complex problems arising by the increased use and centrality of financial insurance products (contributing to the development of complex financial products and a convergence) of finance and insurance. The complementary actuarial profession is a discipline that uses tools from statistics, probability theory and finance to analyze and solve practical problems in insurance and financial risk management. Actuaries assemble and analyze data to estimate the probability and likely cost of an event such as death, sickness, injury, disability or loss of property. Courses in risk finance provide the background for the first four actuarial examinations supervised by the Society of Actuaries and the Casualty Actuarial Society and cover additional educational experience requirements. The department both supports and encourages students in their preparation for and the acquisition of such certificates as these are important elements in job-seeking in the insurance-quant sector.
NYU School of Engineering’s Master of Science in Financial Engineering brings together four key areas: finance and related business disciplines, quantitative analysis (mathematics and statistics), information technology (telecommunications and computer science) and management. In addition, it provides an opportunity to attend to the many areas of business and management where finance is an essential element.
The financial and practical component of the educational program has been further strengthened by developing a large and versatile body of adjunct faculty consisting of leading financial market practitioners from major Wall Street firms and international professors’ affiliates. These adjunct faculty members work closely with NYU School of Engineering’s full-time faculty emphasizing both applied and theoretical research in bringing to financial engineering students a greater sensitivity to the needs and the demands of financial markets and the management of financial services and institutions.
Admissions
The Master of Science in Financial Engineering at the School of Engineering is very highly selective. All applicants must present transcripts from all colleges and universities they have attended as well as GRE (Graduate Record Exam) test scores; there are no exceptions to this rule. Applicants who have undergraduate average above 3.0 or a master’s degree and also have a GRE quantitative score that is superior and a verbal score that shows competence in English are considered for admission. Completed applications must be received by Polytechnic by April 1 for consideration for the fall semester or by October 15 for consideration for the spring semester.
For the GRE, the institution code is 2668; a department code is not necessary. Additionally, the applicant must have sufficient proficiency and aptitude in mathematics. This may be demonstrated by grades earned in relevant course work and/or standardized examinations. This criterion is not entirely objective and will be established by the Academic Director. Applicants who meet the above criteria are by no means guaranteed admission, which is also based on a competitive performance of applicants.
Two letters of recommendation are also required for admission. The student must demonstrate a proficiency in the English language as measured by verbal scores on the GRE or successfully complete a series of ESL courses in order to commence formal study.
The Graduate Certificates associated with the Financial Engineering Program have the same application requirements and prerequisites as the Master of Science degree.
Applicants requesting admission for study only in a particular course or group of courses are given Special or Visiting Student Status, which permits registration, generally for a limited duration, in those courses indicated by the approval of admission. Registration is limited to 6 credits per semester. If additional courses are desired after the end of the specified period, a new admission request must be filed through the admissions office. Special Status students who later apply for and are accepted to the master’s or certificate program may transfer up to 9 credits taken while on Special Status. Special Status students are expected to complete the GRE exam before applying for admission to MS FE or any associated Graduate Certificate. The GPA earned as a Special Status student will be used as part of the admissions decision in place of the undergraduate GPA.
Individuals interested in applying for admissions to either the Master of Science in Financial Engineering or the Graduate Certificate Program please visit the Graduate Admissions website page at www.poly.edu/graduate. The site has a downloadable application and information on tuition and financial aid.
Undergraduate Minor
The Department of Finance and Risk Engineering offers an Undergraduate Minor in Finance. The intent of this program of study is to allow NYU School of Engineering undergraduate students in the sciences and engineering to leverage their mathematical talents in a selected number of appropriate courses. For more information on the Finance Minor, contact Prof. Barry Blecherman at (718) 260-3398 or blecherman@poly.edu.
Faculty
Professors
Charles S. Tapiero, The Morton and Angela Topfer Distinguished Professor in Financial Engineering and Technology Management, Department Head of Finance and Risk Engineering
PhD, New York University
MBA New York University B. App. Science (Electrical Engineering), Polytechnique-University of Montreal
Financial engineering, business and operations risks engineering and management
Nassim Nicholas Taleb, Distinguished Professor of Risk Engineering
PhD, University of Paris (Paris 9Dauphine),
MBA, Wharton School, University of Pennsylvania
Domestication of the unknown, philosophy of chance, uncertainty and probability
Assistant Professor
Philip Maymin, Assistant Professor of Risk Engineering
PhD, University of Chicago
Alternative and behavioral finance
Zhaoxia Xu, Assistant Professor of Finance & Risk Engineering
PhD, University of Toronto
Corporate Finance, Corporate Governance and Financial Markets
Industry Faculty
Franziska Berger, Industry Assistant Professor of Mathematics and Financial and Risk Engineering
PhD, Munich University of Technology Discrete mathematics
Barry S. Blecherman, Industry Professor of Financial Engineering
PhD, Wharton School of the University of Pennsylvania
Information economics and strategy, decision theory, business negotiations
Fredrick Novomestky, Industry Professor of Financial Engineering
PhD, Polytechnic Institute of Brooklyn
Asset/liability modeling and management, evolutionary computational algorithms for mathematical optimization, multiple criteria decision making models, quantitative investment strategy
Research Fellow
Anne Zissu, Research Fellow
PhD, The Graduate School and University
Center of the City University of New York Corporate finance, risk management, securitization
Adjunct Faculty
Sassan Alizadeh, Adjunct Associate Professor of Financial Engineering
PhD, Wharton School of the University of Pennsylvania
Term-structure model, quantitative trading strategies
Lucas Bernard, Adjunct Associate Professor of Financial Engineering
PhD, The New School for Social Research
Credit derivatives, corporate finance
Paul Biederman, Adjunct Associate Professor of Financial Engineering
PhD, New School University
Financial market regulation, industry economic analysis
Robert Biolsi, Adjunct Associate Professor of Financial Engineering
PhD, City University of New York
Innovation, equity prices and commodity diversification, electricity deregulation
Jean-Carlo Bonilla, Adjunct Associate Professor of Financial Engineering
MS, Polytechnic University
Quantitative methods in finance
Peter Cai, Adjunct Associate Professor of Financial Engineering
PhD, Pennsylvania State University
Trading, hedge funds and risk engineering
Raphaelle Chappe, Adjunct Associate Professor of Financial Engineering
JD, New York University School of Law
Taxation and regulation in finance
Rohan Douglas, Adjunct Associate Professor of Financial Engineering
BSc, Sydney University (Australia)
Market theory, credit derivatives
Roy Freedman, Adjunct Associate Professor of Financial Engineering
PhD, Polytechnic Institute of New York
Evolutionary information technology, quantitative methods in finance, artificial intelligence
Sebastien Galy, Adjunct Associate Professor of Financial Engineering
PhD, Concordia University
Dynamic asset pricing, option pricing
Barry Guttenplan, Adjunct Associate Professor of Financial Engineering
MPhil, Yale University
Taxation and finance, credit derivatives
Thomas Hutchinson, Adjunct Associate Professor of Financial Engineering and Management
MA, McMaster University (Canada)
Investment banking, financial economics
Maureen Koetz, Esq., Adjunct Associate Professor of Financial Engineering
JD, Washington College of Law
Environmental finance
Andrew Kalotay, Adjunct Associate Professor of Financial Engineering
PhD, University of Toronto
Debt management, valuation of bonds, interest-rate derivatives and mortgage-backed securities
Victor Makarov, Adjunct Associate Professor of Financial Engineering
PhD, Academy of Sciences - Moscow
Value at risk, financial regulation
Steven Mandel, Adjunct Associate Professor of Financial Engineering
PhD, New York University
Risk management, portfolio optimization, return attribution
Ingrid Marshall, CPA, Adjunct Associate Professor of Financial Engineering
MBA, St. John’s University
Corporate financial accounting
Anthony Pepennella, Adjunct Associate Professor of Financial Engineering
Florida State University, Financial and Operations Principal: Series 24, NASD Registered Representative: Series 7, NASD
Financial accounting, financial statement analysis
Ronald T. Slivka, Adjunct Associate Professor of Financial Engineering
PhD, Wharton School of the University of Pennsylvania
Quantitative approaches to derivative securities valuation and applications, quantitative investment strategies
Richard Van Slyke, Adjunct Associate Professor of Financial Engineering Professor Emeritus of Computer Science
PhD, University of California, Berkeley
Financial risk optimization
Charles Stone, Adjunct Associate Professor of Financial Engineering
PhD, City University of New York
Editor of The Financier and The Securitization Conduit
Kimberly Swain, Adjunct Associate Professor of Financial Engineering
BA, University of Texas, Austin, Series 7 and 63
Infrastructure finance
Daniel Totouom-Tangho, Adjunct Associate Professor of Financial Engineering
PhD, École des Mines Paris, Polytechnique-Paris
Financial modeling, stochastic calculus
Edward Dean Weinberger, Adjunct Associate Professor of Financial Engineering
PhD, Courant Institute of Mathematical Sciences, New York University
Credit risk measurement and management
International Professors Associates
Alain Bensoussan, Hong Kong University and the University of Texas, Dallas
Dominique Guegan, University of Paris I-Pantheon/Sorbonne
Raphael Douady, University of Paris I-Pantheon/Sorbonne
Pierre Vallois, University of Lorraine, France
Mina Teicher, Bar Ilan University, The US-Israel Bi National Science Foundation
Bertand Munier, The Maurice Allais Foundation, France
Sergio Bianchi, The University of Cassino, Italy
Bouchra Rahmouni Benhida, ESCA, Morocco
Konstantin Kogan, Bar-Man University
Ron S. Kenett, Chairman and CEO, The KPA Group
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