Course Descriptions
- ACTU K4821. Actuarial Methods. 3 pts.
- ACTU K4823. Actuarial Models. 3 pts.
- ACTU K4831. Mathematical Methods of Derivatives Pricing. 1.5 pts.
- ACTU K4833. Applications of Derivatives Pricing. 1.5 pts.
- BUSI K4003. Corporate Finance. 3 pts.
- ECON W3211. Intermediate Microeconomics. 3 pts.
- ECON W3213. Intermediate Macroeconomics. 3 pts.
- STAT W4105. Probability. 3 pts.
- STAT W4107. Statistical Inference. 3 pts.
- STAT W4440. Linear Regression and Time Series Models. 3 pts.
- STAT W4543. Survival Analysis. 3 pts.
- STAT W4606. Elementary Stochastic Processes. 3 pts.
- STAT W4840. Theory of Interest. 3 pts.
Elective Courses
- BUSI B6301. Corporate Finance, A. 3 pts.
- ECON W2261. Introduction to Accounting and Finance. 4 pts.
- IEOR E4404. Simulation. 3 pts.
- MATH W4071. Introduction to the Mathematics of Finance. 3 pts.
- STAT G6503. Statistical Inference and Time-Series Modelling. 3 pts.
- STAT G6505. Stochastic Methods in Finance. 3 pts.
- STAT G8263. Stochastic Differential Equations and Applications. 3 pts.
- STAT W4201. Advanced Data Analysis. 3 pts.
- STAT W4240. Data Mining. 3 pts.
- STAT W4290. Statistical Methods in Finance. 3 pts.
- STAT W4315. Linear Regression Models. 3 pts.
- STAT W4413. Nonparametric Statistics. 3 pts.
- STAT W4437. Time Series Analysis. 3 pts.
- STAT W4635. Stochastic Processes for Finance. 3 pts.
- STAT W6501. Stochastic Processes and Applications, I. 3 pts.
Professional Development
- ACTU K4900. Proseminar in Actuarial Science. 2 pts.
- ACTU K4995. Internship in Actuarial Science. 2 pts.
ACTU K4821. Actuarial Methods. 3 pts.
Prerequisite
STAT W4105, STAT W4840
Description
This course covers the non-stochastic process portions of the MLC/3L exam, and is about pricing and reserving of life insurance. Topics include actuarial present value, the equivalence principle, premiums, three methods of calculating reserves, joint life and multiple hazard.
ACTU K4833. Applications of Derivatives Pricing. 1.5 pts.
Prerequisite or co-requisite
STAT W4606 or STAT W4635.
Description
This is the main MFE/3F course. Types of options. Rational restrictions on option prices. Methods for construction binomial lattices. Exotic options. Continuous time option pricing. Applications of Ito’s formula. Black-Scholes formula. Interest rate options. Black-Derman-Toy lattice. Futures vs. Forwards.
BUSI K4003. Corporate Finance. 3 pts.
Prerequisite
One accounting course (ECON W2261/W4261 Introduction to Accounting and Finance or the equivalent) and one course in finance (BUSI K4001 Introductory Finance or the equivalent). Appropriate professional experience may meet either prerequisite.
Description
An exploration of the central concepts of corporate finance for those who already have some basic knowledge of finance and accounting. This case-based course considers project valuation; cost of capital; capital structure; firm valuation; the interplay between financial decisions, strategic consideration, and economic analyses; and the provision and acquisition of funds. These concepts are analyzed in relation to agency problems: market domination, risk profile, and risk resolution; and market efficiency or the lack thereof. The validity of analytic tools is tested on issues such as highly leveraged transactions, hybrid securities, volatility in initial public offerings, mergers and acquisitions, divestitures, acquisition and control premiums, corporate restructurings, and sustainable and unsustainable market inefficiencies.
STAT W4105. Probability. 3 pts.
Prerequisite
A working knowledge of calculus.
Description
Fundamentals, random variables and distribution functions in one or more dimensions; moments, conditional probabilities, and densities; Laplace transforms and characteristic functions. Infinite sequences of random variables; weak and strong laws of large numbers; central limit theorem.
STAT W4107. Statistical Inference. 3 pts.
Prerequisite
STAT W4105, or the equivalent.
Description
Principles of statistical inference. Population parameters, sufficient statistics. Basic distribution theory. Point and interval estimation. Method of maximum likelihood. Method of least squares, regression. Introduction to the theory of hypothesis testing. Likelihood ratio tests. Nonparametric procedures. Statistical decision theory. Applications to engineering, medicine, and natural and social sciences.
STAT W4440. Linear Regression and Time Series Models. 3 pts.
Prerequisite
STAT W4105 or the equivalent and STAT W4107 or the equivalent.
Description
Theory and practice of regression analysis. Simple and multiple regression including testing, estimation and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, fixed effects ANOVA and ANCOVA models, nonlinear regression, multiple comparisons, co-linearity and confounding, model selection. Emphasis on geometric approach to the theory and computer use to analyze data. Least squares smoothing and prediction, linear systems, Fourier analysis, and spectral estimation. Impulse response and transfer function. Fourier series, the fast Fourier transform, autocorrelation function, and spectral density. Univariate Box-Jenkins modeling and forecasting. Emphasis on applications. Examples from the physical sciences, social sciences, and business. Computing is an integral part of the course.
This class satisfies the applied statistics VEE requirement.
STAT W4543. Survival Analysis. 3 pts.
Prerequisite
STAT W4107 or the equivalent
Description
Survival distributions, types of censored data, estimation for various survival models, nonparametric estimation of survival distributions, the proportional hazard and accelerated lifetime models for covariate data, regression analysis with lifetime data.
STAT W4606. Elementary Stochastic Processes. 3 pts.
Prerequisite
STAT W4105, or the equivalent.
Description
Review of elements of probability theory. Poisson processes. Exponential distribution. Renewal theory. Wald's equation. Introduction to discrete and continuous time Markov chains and applications to queueing theory, inventory models, branching processes.
STAT W4840. Theory of Interest. 3 pts.
Description
Introduction to the mathematical theory of interest as well as the elements of economic and financial theory of interest. Topics include rates of interest and discount; simple, compound, real, nominal, effective, dollar (time)-weighted; present, current, future value; discount function; annuities; stocks and other financial instruments; definitions of key terms of modern financial analysis; yield curves; spot (forward) rates; duration; immunization; and short sales. The course will cover determining equivalent measures of interest; discounting; accumulating; determining yield rates; and amortization.
BUSI B6301. Corporate Finance, A. 3 pts.
Description
This is the core course in finance that may be considered the first course in corporate perspective. It focuses on the primary tasks of the corporate treasurer, showing students how to use ratio analysis to assess corporate performance and project financial statements and cash needs for both projects and whole companies. It devotes substantial time to the question of how much debt is optimal in a firm's capital structure. It then introduces discounted cash flow and shows how to estimate a weighted average cost of capital to use as a discount rate appropriate to a particular company or project. By the end of the course, students have all the tools necessary to value a company by projecting its free cash flow and discounting it at an appropriate rate.
ECON W2261. Introduction to Accounting and Finance. 4 pts.
Prerequisite
Econ W1105
Description
The concepts and methods underlying the financial statements of business corporations. Attention to problems of asset valuation, income determination, cash flows, and cost and profit behavior in response to changes in the level of business activity. Analysis of selected corporate financial statements, capital structure, and leverage. Strategies and analytical methods for the evaluation of capital projects.
IEOR E4404. Simulation. 3 pts.
Prerequisite
SIEO W3600 or SIEO W4150 and knowledge of Java, C, or FORTRAN.
Description
Generation of random numbers from given distributions; variance reduction; statistical output analysis; introduction to simulation languages; application to financial, telecommunications, computer, and production systems. Recitation Section Required.
MATH W4071. Introduction to the Mathematics of Finance. 3 pts.
Prerequisite
MATH V1202, V3027, STAT W4150, SEIOW4150, or their equivalents.
Description
The mathematics of finance, principally the problem of pricing of derivative securities, developed using only calculus and basic probability. Topics include mathematical models for financial instruments, Brownian motion, normal and lognormal distributions, the BlackûScholes formula, and binomial models.
STAT G6503. Statistical Inference and Time-Series Modelling. 3 pts.
Prerequisite
STAT W4105 and W4107 or the equivalent.
Description
Modeling and inference for random processes, from natural sciences to finance and economics. ARMA, ARCH, GARCH and nonlinear models, parameter estimation, prediction and filtering.
STAT G6505. Stochastic Methods in Finance. 3 pts.
Prerequisite
STAT G6501 or the equivalent.
Description
Mathematical theory and probabilistic tools for modeling and analyzing security markets are developed. Pricing options in complete and incomplete markets, equivalent martingale measures, utility maximization, term structure of interest rates.
STAT G8263. Stochastic Differential Equations and Applications. 3 pts.
Prerequisite
Statistics G6105-G6106 or member of the department’s permission.
Description
Elements of the general theory of stochastic processes; Martingales; Doob-Meyer decomposition; Strochastic integrals; differential equations; existence and uniqueness of strong and weak partial differential equations; comparison and approximation theorems; Stroock-Varadhan theory; applications to stochastic optimization.
STAT W4201. Advanced Data Analysis. 3 pts.
Description
This is a course on getting the most out of data for students in statistics, biostatistics, the sciences, social sciences, humanities, health sciences, law and engineering. The emphasis is on hands-on experience, involving case studies with real data and using the statistical package S, which will be taught from scratch. Students are also be encouraged to use other statistical packages of their choice, e.g., SAS, SPSS or BMDP. The course covers exploratory data analysis, model formulation, goodness of fit testing, and other standard and non-standard statistical procedures, including linear regression, analysis of variance, nonlinear regression, generalized linear models, survival analysis, time series analysis, and modern regression methods. Prospective students and auditors of the class are invited to propose a data set of their choice for use as case study material. In addition to homework and a midterm, the grade will be based on a final project. There will be no final exam.
STAT W4240. Data Mining. 3 pts.
Description
Data Mining is a dynamic and fast growing field at the interface of statistics and computer science. The emergence of massive datasets containing millions or even billions of observations provides the primary impetus for the field. Such datasets arise, for instance, in large-scale retailing, telecommunications, astronomy, computational biology, and internet commerce. The analysis of data on this scale presents exciting new computational and statistical challenges. This course provides an overview of current research in data mining and is suitable for graduate students from many disciplines. Specific topics covered include databases and data warehousing, exploratory data analysis and visualization, descriptive modeling, predictive modeling, pattern and rule discovery, text mining, Bayesian data mining, and causal inference.
STAT W4315. Linear Regression Models. 3 pts.
Prerequisite
STAT W4105 or the equivalent and STAT W3659 or the equivalent.
Description
Theory and practice of regression analysis. Simple and multiple regression including testing, estimation and confidence procedures, modeling, regression diagnostics and plots, polynomial regression, fixed effects ANOVA and ANCOVA models, nonlinear regression, multiple comparisons, co-linearity and confounding, model selection. Emphasis on geometric approach to the theory and computer use to analyze data.
STAT W4437. Time Series Analysis. 3 pts.
Prerequisite
STAT W4315 or the equivalent
Description
Least squares smoothing and prediction, linear systems, Fourier analysis, and spectral estimation. Impulse response and transfer function. Fourier series, the fast Fourier transform, autocorrelation function, and spectral density. Univariate Box-Jenkins modeling and forecasting. Emphasis on applications. Examples from the physical sciences, social sciences, and business. Computing is an integral part of the course.
STAT W4290. Statistical Methods in Finance. 3 pts.
Description
This is a master-level course introducing statistical methodologies in quantitative finance. Financial applications and statistical methodologies are intertwined in all lectures, with several research topics being introduced through problems in a term project. Lecture notes by the instructor will be distributed. The course will cover: linear regression with applications to single and multi-factor pricing models, multivariate analysis and their applications in Markowitz's portfolio management, estimation and modeling of volatilities, calculation of value-at-risk, nonparametric methods with applications to option pricing and interest rate markets.
STAT W4413. Nonparametric Statistics. 3 pts.
Description
Statistical inference without parametric model assumption. Hypothesis testing using ranks, permutations, and order statistics. Nonparametric analogs of analysis of variance. Tolerance limits. Robust estimation. Introduction to sequential statistical procedures. Applications to quality control and clinical trials.
STAT W6501. Stochastic Processes and Applications, I. 3 pts.
Prerequisite
STAT W4105 or the equivalent.
Description
Advanced treatment of discrete and continuous-time Markov chains; elements of renewal theory; Martingales and their basic properties. Brownian motion: construction, basic properties, sample paths. Stochastic integration, Ito's rule, applications. Introduction to stochastic differential equations and diffusion processes.
