About the Program
The Berkeley Master of Financial Engineering (MFE) degree offers two options of study: one-year graduate degree option and our part-time degree option (completed over two-years). Both are offered by the Haas School of Business and cover the same curriculum. Students enrolled in the MFE Program learn to combine finance, mathematics, data science and machine learning, and computer programming skills to optimize decision making. They enter careers in areas like portfolio management, trading, data science, quantitative research, and development, as well as strats and modeling among many others.
Graduates of the MFE Program find positions in hedge funds, fintech firms, commercial and investment banking, insurance and reinsurance, corporate treasuries, private equity and asset management. Specializations include asset/liability modeling/optimization, security structuring, derivative valuation, sales and trading, consulting, asset management, research, option-based securities valuation, special hedging, real-option investment analysis, and risk management.
Admissions
Admission to the Program
Please visit the departmental website at mfe.haas.berkeley.edu for more information.
Applying for Graduate Admission
Thank you for considering UC Berkeley for graduate study! UC Berkeley offers more than 120 graduate programs representing the breadth and depth of interdisciplinary scholarship. The Graduate Division hosts a complete list of graduate academic programs, departments, degrees offered, and application deadlines can be found on the Graduate Division website.
Prospective students must submit an online application to be considered for admission, in addition to any supplemental materials specific to the program for which they are applying. The online application and steps to take to apply can be found on the Graduate Division website.
Admission Requirements
The minimum graduate admission requirements are:
-
A bachelor’s degree or recognized equivalent from an accredited institution;
-
A satisfactory scholastic average, usually a minimum grade-point average (GPA) of 3.0 (B) on a 4.0 scale; and
-
Enough undergraduate training to do graduate work in your chosen field.
For a list of requirements to complete your graduate application, please see the Graduate Division’s Admissions Requirements page. It is also important to check with the program or department of interest, as they may have additional requirements specific to their program of study and degree. Department contact information can be found here.
Where to apply?
Visit the Berkeley Graduate Division application page.
Master's Degree Requirements
Unit Requirements: 28 Units
Curriculum
| Code | Title | Units |
|---|---|---|
| Required courses: | ||
| MFE 230A | Investments and Derivatives | 2,3 |
| MFE 230D | Derivatives: Quantitative Methods | 2 |
| MFE 230E | Empirical Methods in Finance | 2,3 |
| MFE 230H | Financial Risk Measurement and Management | 2 |
| MFE 230I | Fixed Income Markets | 2,3 |
| MFE 230O | Applied Finance Project (1 or 3 units.) | 1-3 |
| MFE 230P | Financial Data Science | 2 |
| MFE 230Q | Stochastic Calculus with Asset Pricing Applications | 2 |
| Select electives from the following (not all courses are offered every year): | ||
| MFE 230G | Equity and Currency Markets | 2 |
| MFE 230GA | Equity Markets | 1 |
| MFE 230GB | Currency Markets | 1 |
| MFE 230J | Financial Innovation with Data Science Applications | 1-2 |
| MFE 230K | Dynamic Asset Management | 2 |
| MFE 230M | Asset-Backed Security Markets | 2 |
| MFE 230S | Behavioral Finance | 1,2 |
| MFE 230T | Topics in Financial Engineering | 1-5 |
| MFE 230V | Credit Risk Modeling | 2 |
| MFE 230W | Accounting and Taxation of Derivatives | 1 |
| MFE 230X | High Frequency Finance | 1,2 |
| MFE 230Y | Ethics and Regulation in Financial Markets | 1 |
| MFE 230ZA | Deep Learning and Applications I | 1 |
| MFE 230ZB | Deep Learning and Applications II | 1 |
| MFE 293 | Individually Supervised Study for Graduate Students | 1-5 |
Research Resources
MFE Data Lab
Dedicated lab that includes the following resources: Bloomberg terminals (4), Access to FactSet, DataStream, Thompson Reuters, High Frequency trading server with NYSE TAQ, NASDAQ TotalView-ITCH, and ICAP EBS currency data; Software: SPSS, Mathematica, SAS, Visual Studio, EViews, RStudio, Anaconda, R, OneTick, kdb+, Rotman Interactive Trader, Numerix Bloomberg Edition, ETNA Trader, Kensho, and WRDS. Access to high-performance research cluster is available for individuals and for group scenarios.
Research Lab Manager
Dedicated staff member assists students with lab and technical needs. Depending on project needs, the lab manager provides appropriate resources for high-performance computing.
Business and Economics Library at the Haas School of Business
Access to Financial Times, Wall Street Journal, and all library resources.
Professional Development Activities
1. Extensive assistance with placement in internship and full-time positions.
2. Workshops on job search skills, e.g., cover letter/resume writing and interviewing.
3. Financial Practice Seminars with professionals who discuss career paths available and industry needs. Workshops on relevant skills, e.g., programming languages.
For more information, visit the departmental website at mfe.haas.berkeley.edu.
Courses
Financial Engineering
Note: Not all courses are offered every year.
Terms offered: Spring 2015, Spring 2013, Fall 2007
The course discusses the basic theories of asset pricing. It begins with the standard discounted cash flow analysis, and generalizes this approach to develop the No Arbitrage Pricing Technique for security valuation. Topics will be fixed income securities, derivatives, contingent claims, basic principles of optimal portfolio theory, models of equilibrium asset pricing, including CAPM and related Factor Models.
Investments and Derivatives: Read More [+]
Hours & Format
Fall and/or spring: 8 weeks - 4-6 hours of lecture per week
Summer: 8 weeks - 4-6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Summer 2008 10 Week Session, Fall 2007, Summer 2007 10 Week Session
This course emphasizes the pricing of derivatives in continuous time, from the formulation of the pricing problem to the implementation of computational and numerical solution techniques.
Derivatives: Quantitative Methods: Read More [+]
Rules & Requirements
Prerequisites: 230A-230B
Hours & Format
Fall and/or spring: 8 weeks - 4 hours of lecture and 4 hours of lecture per week
Summer: 10 weeks - 3 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2020, Spring 2019, Spring 2018
This course reviews probability and statistical techniques commonly used in quantitative finance. It includes a review of normal, lognormal, CEV distribution, estimation and nonparametric techniques commonly used in finance (MLE, GMM, GARCH). Students will be introduced to financial databases and estimation application software to estimate volatilities and correlations and their stability.
Empirical Methods in Finance: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230A-230B
Hours & Format
Fall and/or spring: 8 weeks - 4-6 hours of lecture and 1-1 hours of discussion per week
Summer: 8 weeks - 4-6 hours of lecture and 1-1 hours of discussion per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2015, Fall 2012, Fall 2006
This course reviews various aspects of equity and currency markets and their relative importance. It provides models of and historical evidence on the average returns and volatility of returns on equities, on the trade-to-trade equity price behavior, on trading volume and patterns, and primary financial risks. Determination of spot and forward rates and volatility, volume, high frequency dynamics and dealer behavior are examined.
Equity and Currency Markets: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230A-230B
Hours & Format
Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Formerly known as: Business Administration 230G
Terms offered: Prior to 2007
This course will cover active equity portfolio management including the more general quantitative theory of active management. We will view active management as an optimization problem trading off expected returns against risk and the cost of trading. Modules will cover forecasting returns, risk, and cost. We will also cover how to research active strategies and the analytics that support the enterprise. We will discuss various categories of active equity strategies and provide an introduction to current approaches.
Equity Markets: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE 230GA after completing MFE 230G. A deficient grade in MFE 230GA may be removed by taking MFE 230G.
Hours & Format
Fall and/or spring: 3 weeks - 6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course is dedicated to currency markets: market organization, determination of spot and forward rates, and links to international finance more broadly. Topics include: The FX market: organization, players, and instruments, FX arrangements and capital controls, Different approaches to exchange rate determination/forecasting, Conventional and unconventional monetary policy and exchange rate, Dominant currency paradigm/ dollar safety and FX Markets in the Post-COVID era.
Currency Markets: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE 230GB after completing MFE 230G. A deficient grade in MFE 230GB may be removed by taking MFE 230G.
Hours & Format
Fall and/or spring: 3 weeks - 6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2015, Fall 2012, Fall 2008
This course examines risk measurement and management including market risk, credit risk, liquidity risk, settlement risk, volatility risk, kurtosis risk and other types of financial risks. Topics will include risk management techniques for different types of contracts and portfolios such as duration, portfolio beta, factor sensitivities, VAR, dynamic portfolio analysis and extreme value analysis and other risk management techniques.
Financial Risk Measurement and Management: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230A-230B
Hours & Format
Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Formerly known as: Business Administration 230H
Terms offered: Fall 2007, Summer 2007 10 Week Session, Summer 2006 10 Week Session
This course provides a quantitative approach to fixed income securities and bond portfolio management. Topics include fixed income security markets, pricing and uses for portfolio management or for hedging interest rate risk, bond mathematics, term structure measurement and theory, immunization techniques, and the modern theory of bond pricing, and derivative instruments.
Fixed Income Markets: Read More [+]
Rules & Requirements
Prerequisites: 230D
Hours & Format
Fall and/or spring: 8 weeks - 3-4 hours of lecture per week
Summer: 8 weeks - 3-4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2015, Fall 2008, Fall 2006
This course will stress financial innovation in the traditional financial markets, and innovation opportunities in the newer disciplines of long and short term economic markets. Some examples of the later include livelihood insurance, home-equity insurance, inequality insurance, intergenerational social security, international agreements, and individual pension investment strategies.
Financial Innovation with Data Science Applications: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230A-230B
Hours & Format
Fall and/or spring: 10 weeks - 1-3 hours of lecture per week
Summer: 8 weeks - 2-6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Financial Innovation with Data Science Applications: Read Less [-]
Terms offered: Spring 2015, Spring 2010, Spring 2009
This course reviews portfolio theory and pricing models. It includes: risk models for international portfolio returns, models of optimal allocation of funds, exchange rate uncertainty and criteria for judging the performance of managers and models; different types of portfolios/instruments, different types of applications, and strategies to achieve various investment objectives.
Dynamic Asset Management: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230A-230B
Hours & Format
Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Formerly known as: Business Administration 230K
Terms offered: Fall 2015, Spring 2015, Spring 2010
This course extends the study of fixed income securities to advanced topics on mortage and other asset-backed securities. Topics will include basic mechanics of structuring deals for mortgage-related securities, credit cards, leases, and other debt markets and the risk management techniques employed in the securitization process for these assets. The valuation of pooled assets and derivative bonds using Monte Carlo and option pricing techniques, and trading strategies are also evaluated.
Asset-Backed Security Markets: Read More [+]
Rules & Requirements
Prerequisites: Business Administration 230D and 230I
Hours & Format
Summer: 7.5 weeks - 4 hours of lecture and 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Formerly known as: Business Administration 230M
Terms offered: Fall 2015, Fall 2012, Fall 2008
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Applied Finance Project: Read More [+]
Rules & Requirements
Prerequisites: Participation requires prior approval of the supervising faculty
Hours & Format
Summer: 7.5 weeks - 6 hours of lecture and 6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade. This is part one of a year long series course. A provisional grade of IP (in progress) will be applied and later replaced with the final grade after completing part two of the series.
Formerly known as: Business Administration 230N-230O
Terms offered: Spring 2015, Spring 2010, Spring 2009
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Applied Finance Project: Read More [+]
Rules & Requirements
Prerequisites: Participation requires prior approval of the supervising faculty
Hours & Format
Summer: 7.5 weeks - 6 hours of lecture and 6 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade. This is part two of a year long series course. Upon completion, the final grade will be applied to both parts of the series.
Formerly known as: Business Administration 230N-230O
Terms offered: Fall 2015
This course proposes a guided tour through optimization models arising in practical finance. These problems include ones that are traditionally associated with optimization, including asset and liability management, asset pricing, and portfolio optimization. We also describe optimization models arising in model calibration, predication and estimation, and risk analysis. The course includes some recent approaches to the analysis of other kinds of financial data, such as text (financial news) data.
Financial Data Science: Read More [+]
Hours & Format
Summer: 6 weeks - 5 hours of lecture and 5 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2018, Spring 2015, Fall 2007
The course introduces the students to techniques from stochastic analysis employed in mathematical finance. Topics include: stochastic processes, brownian motion, stochastic integral, differentials and Ito's formula; martingales.
Stochastic Calculus with Asset Pricing Applications: Read More [+]
Hours & Format
Summer: 8 weeks - 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Stochastic Calculus with Asset Pricing Applications: Read Less [-]
Terms offered: Fall 2008, Fall 2006, Fall 2005
This course builds on the techniques learned in 230D, Quantitative Methods for Derivative Pricing. The focus is to gain a deeper analysis of numerical and computational issues in pricing and calibration. The orientation of the course is hands-on, with heavy use of computational techniques applied to case projects. The primary objective of this course is to prepare students to tackle the latest challenges in quantitative pricing that they are likely to encounter in cutting-edge financial institutions.
Advanced Computational Finance: Read More [+]
Rules & Requirements
Prerequisites: 230D
Hours & Format
Summer: 8 weeks - 2-4 hours of lecture and 2-4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2020, Spring 2019, Spring 2018
Over the last 25 years, psychologists have come to better understand the processes by which people make judgements and decisions. They have identified common judgement and decision heuristics and the biases associated with these. An understanding of one's own decision biases and those of others is an important tool for managers. Behavioral Decision Theory has also contributed to our understanding of financial markets. This course will discuss the common biases and heuristics.
Behavioral Finance: Read More [+]
Rules & Requirements
Prerequisites: 230D
Hours & Format
Fall and/or spring: 8 weeks - 4 hours of lecture, 4 hours of lecture, 1 hour of discussion, and 1 hour of discussion per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2015, Summer 2013 10 Week Session, Fall 2012
Advanced study in the field of finance engineering that will address current and emerging issues. Topics will vary with each offering and will be announced at the beginning of each term.
Topics in Financial Engineering: Read More [+]
Rules & Requirements
Repeat rules: Course may be repeated for credit when topic changes.
Hours & Format
Fall and/or spring: 15 weeks - 1-6 hours of lecture per week
Summer: 8 weeks - 2-12 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: The grading option will be decided by the instructor when the class is offered.
Terms offered: Fall 2008, Fall 2005, Fall 2004
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as Matlab. Some empirical testing exercises will also be part of the project work.
Credit Risk Modeling: Read More [+]
Hours & Format
Summer: 8 weeks - 4 hours of lecture and 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2010, Summer 2006 10 Week Session
Introduction to credit risk modeling and conceptual overview of current techniques. Covers default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Prepares students who are interested in a second course that will focus on model building. Students not interested in the technical details of modeling but who desire an understanding of how credit risk modeling is used in practice will benefit from taking this course.
Credit Risk: Economic Concepts: Read More [+]
Hours & Format
Fall and/or spring: 6 weeks - 3 hours of lecture and 3 hours of lecture per week
Summer: 8 weeks - 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2006
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as MATLAB. Some empirical testing exercises will also be part of the project work.
Credit Risk: Quantitative Modeling: Read More [+]
Hours & Format
Summer: 6 weeks - 3 hours of lecture and 3 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2007, Summer 2007 10 Week Session, Summer 2006 10 Week Session
This course provides a framework to allow students the understanding of the accounting and tax issues related to derivatives and hedging. It also fulfills the needs of students seeking jobs in the corporate sector and/or seeking securities-structuring assignments in the financial services sector. A basic understanding of financial accounting is required.
Accounting and Taxation of Derivatives: Read More [+]
Hours & Format
Summer: 8 weeks - 2.5 hours of lecture and 2.5 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Spring 2015
This course introduces basic concepts of high frequency finance and discusses recent developments in market microstructure, electronic trading, and high frequency data modeling. Topics include trading basics and price discovery, distributional properties of financial time series, tick data analysis, trade direction algorithms, trading benchmarks, sources of risk, and trading strategies (including back-testing challenges, benchmark and hedging strategies, and arbitrage and program trading).
High Frequency Finance: Read More [+]
Hours & Format
Fall and/or spring: 10 weeks - 3 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course is an introduction to the legal rules which govern financial markets and institutions in general but also, specifically related to derivatives. The main purpose of legal rules and regulations is to ensure a smooth functioning of financial markets, as well as the safety and soundness of the overall financial system. We will examine the main areas of law and regulation, as they pertain to the centralized exchanges and the over the counter markets and the role of regulatory arbitrage. We will specifically focus on Dodd-Frank and Basel III and how these rules came about as a response to the financial crisis. We will also explore the role of ethics in filling in the gaps that the law fails to fill.
Ethics and Regulation in Financial Markets: Read More [+]
Hours & Format
Fall and/or spring: 6 weeks - 3 hours of lecture per week
Summer: 6 weeks - 3 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
Topics include supervised, unsupervised, and reinforcement learning industry tools to develop machine learning systems. Data collection and processing (APIs, web scraping, and Hadoop, MapReduce, Spark), multilayer perceptron (deep neural nets, training deep neural nets, convolutional, neural networks, recurring neural networks, Word2Vec). The course will end with a session on solving practical problems with deep learning.
Deep Learning and Applications I: Read More [+]
Rules & Requirements
Prerequisites: MFE 230P or equivalent
Hours & Format
Fall and/or spring: 4 weeks - 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
Topics include spectral representation, long memory processes “shallow models”: ARMA, filter banks, SVR/SVM, random forests and Probabilistic graphical networks; deep models: RNNs and CNNs for sequential modeling, attention networks deep learning frameworks, basic models and causal loss functions for financial time-series prediction. Distributed representations of discrete entities and applications in Natural Language Processing data and model fusion strategies, irregular time series low cost modeling strategies (model compression, cascades and low rank modeling).
Deep Learning and Applications II: Read More [+]
Rules & Requirements
Prerequisites: MFE 230P or equivalent
Hours & Format
Fall and/or spring: 4 weeks - 4 hours of lecture per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
The course discusses the basic theories of asset pricing. It begins with the standard discounted cash flow analysis, and generalizes this approach to develop the No Arbitrage Pricing Technique for security valuation. Topics will be fixed income securities, derivatives, contingent claims, basic principles of optimal portfolio theory, models of equilibrium asset pricing, including CAPM and related Factor Models.
Investments and Derivatives: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230A after completing MFE 230A. A deficient grade in MFE W230A may be removed by taking MFE 230A.
Hours & Format
Fall and/or spring: 8 weeks - 4-6 hours of web-based lecture per week
Summer: 8 weeks - 4-6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course emphasizes the pricing of derivatives in continuous time, from the formulation of the pricing problem to the implementation of computational and numerical solution techniques.
Derivatives: Quantitative Methods: Read More [+]
Rules & Requirements
Prerequisites: MFE 230A, MFA 230E, MFE 230Q. Co-requisite MFE 230I
Credit Restrictions: Students will receive no credit for MFE W230D after completing MFE 230D. A deficient grade in MFE W230D may be removed by taking MFE 230D.
Hours & Format
Fall and/or spring: 8 weeks - 4 hours of web-based lecture per week
Summer: 10 weeks - 3 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course reviews probability and statistical techniques commonly used in quantitative finance. It includes a review of normal, lognormal, CEV distribution, estimation and nonparametric techniques commonly used in finance (MLE, GMM, GARCH). Students will be introduced to financial databases and estimation application software to estimate volatilities and correlations and their stability.
Empirical Methods in Finance: Read More [+]
Rules & Requirements
Prerequisites: MFE 230A-230B
Credit Restrictions: Students will receive no credit for MFE W230E after completing MFE 230E. A deficient grade in MFE W230E may be removed by taking MFE 230E.
Hours & Format
Fall and/or spring: 8 weeks - 4-6 hours of web-based lecture and 1-2 hours of web-based discussion per week
Summer: 8 weeks - 4-6 hours of web-based lecture and 1-2 hours of web-based discussion per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course reviews various aspects of equity and currency markets and their relative importance. It provides models of and historical evidence on the average returns and volatility of returns on equities, on the trade-to-trade equity price behavior, on trading volume and patterns, and primary financial risks. Determination of spot and forward rates and volatility, volume, high frequency dynamics and dealer behavior are examined.
Equity and Currency Markets: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230G after completing MFE 230G. A deficient grade in MFE W230G may be removed by taking MFE 230G.
Hours & Format
Fall and/or spring: 7 weeks - 4 hours of web-based lecture per week
Summer: 7 weeks - 4 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course examines risk measurement and management including market risk, credit risk, liquidity risk, settlement risk, volatility risk, kurtosis risk and other types of financial risks. Topics will include risk management techniques for different types of contracts and portfolios such as duration, portfolio beta, factor sensitivities, VAR, dynamic portfolio analysis and extreme value analysis and other risk management techniques.
Financial Risk Measurement and Management: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230H after completing MFE 230H. A deficient grade in MFE W230H may be removed by taking MFE 230H.
Hours & Format
Fall and/or spring:
7 weeks - 4 hours of web-based lecture per week
7 weeks - 4 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course provides a quantitative approach to fixed income securities and bond portfolio management. Topics include fixed income security markets, pricing and uses for portfolio management or for hedging interest rate risk, bond mathematics, term structure measurement and theory, immunization techniques, and the modern theory of bond pricing, and derivative instruments.
Fixed Income Markets: Read More [+]
Rules & Requirements
Prerequisites: MFE 230D or MFE W230D
Credit Restrictions: Students will receive no credit for MFE W230I after completing MFE 230I. A deficient grade in MFE W230I may be removed by taking MFE 230I.
Hours & Format
Summer: 8 weeks - 4-6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course will stress financial innovation in the traditional financial markets, and innovation opportunities in the newer disciplines of long and short term economic markets. Some examples of the later include livelihood insurance, home-equity insurance, inequality insurance, intergenerational social security, international agreements, and individual pension investment strategies.
Financial Innovation with Data Science Applications: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230J after completing MFE 230J. A deficient grade in MFE W230J may be removed by taking MFE 230J.
Hours & Format
Fall and/or spring: 7 weeks - 2-6 hours of web-based lecture per week
Summer: 7 weeks - 2-6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Financial Innovation with Data Science Applications: Read Less [-]
Terms offered: Prior to 2007
This course reviews portfolio theory and pricing models. It includes: risk models for international portfolio returns, models of optimal allocation of funds, exchange rate uncertainty and criteria for judging the performance of managers and models; different types of portfolios/instruments, different types of applications, and strategies to achieve various investment objectives.
Dynamic Asset Management: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230K after completing MFE 230K. A deficient grade in MFE W230K may be removed by taking MFE 230K.
Hours & Format
Fall and/or spring: 7 weeks - 4 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course extends the study of fixed income securities to advanced topics on mortage and other asset-backed securities. Topics will include basic mechanics of structuring deals for mortgage-related securities, credit cards, leases, and other debt markets and the risk management techniques employed in the securitization process for these assets. The valuation of pooled assets and derivative bonds using Monte Carlo and option pricing techniques, and trading strategies are also evaluated.
Asset-Backed Security Markets: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230M after completing MFE 230M. A deficient grade in MFE W230M may be removed by taking MFE 230M.
Hours & Format
Fall and/or spring: 7.5 weeks - 4 hours of lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
Students will be required to complete an applied quantitative finance project that explores a quantitative finance problem that might be met in practice and involves the development or use of quantitative financial technique.
Applied Finance Project: Read More [+]
Rules & Requirements
Prerequisites: Participation requires prior approval of the supervising faculty
Credit Restrictions: Students will receive no credit for MFE W230O after completing MFE 230O. A deficient grade in MFE W230O may be removed by taking MFE 230O.
Hours & Format
Fall and/or spring: 7 weeks - 3-6 hours of web-based lecture per week
Summer: 7 weeks - 3-6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course proposes a guided tour through optimization models arising in practical finance. These problems include ones that are traditionally associated with optimization, including asset and liability management, asset pricing, and portfolio optimization. We also describe optimization models arising in model calibration, predication and estimation, and risk analysis. The course includes some recent approaches to the analysis of other kinds of financial data, such as text (financial news) data.
Financial Data Science: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230P after completing MFE 230P. A deficient grade in MFE W230P may be removed by taking MFE 230P.
Hours & Format
Summer: 5 weeks - 6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
The course introduces the students to techniques from stochastic analysis employed in mathematical finance. Topics include: stochastic processes, brownian motion, stochastic integral, differentials and Ito's formula; martingales.
Stochastic Calculus with Asset Pricing Applications: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230Q after completing MFE 230Q. A deficient grade in MFE W230Q may be removed by taking MFE 230Q.
Hours & Format
Fall and/or spring: 8 weeks - 4 hours of web-based lecture per week
Summer: 8 weeks - 4 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Stochastic Calculus with Asset Pricing Applications: Read Less [-]
Terms offered: Prior to 2007
Over the last 25 years, psychologists have come to better understand the processes by which people make judgements and decisions. They have identified common judgement and decision heuristics and the biases associated with these. An understanding of one's own decision biases and those of others is an important tool for managers. Behavioral Decision Theory has also contributed to our understanding of financial markets. This course will discuss the common biases and heuristics.
Behavioral Finance: Read More [+]
Rules & Requirements
Prerequisites: MFE 230D or MFE W230D
Credit Restrictions: Students will receive no credit for MFE W230S after completing MFE 230S. A deficient grade in MFE W230S may be removed by taking MFE 230S.
Hours & Format
Fall and/or spring: 8 weeks - 2-4 hours of web-based lecture and 1-1 hours of web-based discussion per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Prior to 2007
This course introduces basic concepts of high frequency finance and discusses recent developments in market microstructure, electronic trading, and high frequency data modeling. Topics include trading basics and price discovery, distributional properties of financial time series, tick data analysis, trade direction algorithms, trading benchmarks, sources of risk, and trading strategies (including back-testing challenges, benchmark and hedging strategies, and arbitrage and program trading).
High Frequency Finance: Read More [+]
Rules & Requirements
Credit Restrictions: Students will receive no credit for MFE W230X after completing MFE 230X. A deficient grade in MFE W230X may be removed by taking MFE 230X.
Hours & Format
Fall and/or spring: 10 weeks - 3-6 hours of web-based lecture per week
Online: This is an online course.
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Terms offered: Fall 2015, Spring 2015, Fall 2012
Individually supervised study of subjects not available to students in the regular schedule, approved by faculty adviser as appropriate for the students' programs.
Individually Supervised Study for Graduate Students: Read More [+]
Rules & Requirements
Prerequisites: Graduate standing
Repeat rules: Course may be repeated for credit without restriction.
Hours & Format
Summer: 8 weeks - 1-5 hours of independent study and 1-5 hours of independent study per week
Additional Details
Subject/Course Level: Masters in Financial Engineering/Graduate
Grading: Letter grade.
Individually Supervised Study for Graduate Students: Read Less [-]