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Core Courses
Course work forms the core of the program, and occupies the majority of students' efforts. Each course involves 13 weeks of
lectures, with associated written assignments, projects, tests and a final exam. Some courses include intensive use of scientific
computation and financial databases. M-Phimac students will take the following 7 master's level courses, providing a range of
expertise from highly mathematical foundations to topical business applications.
FALL
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MATH 771: Mathematics of Finance
Stochastic calculus, martingales and arbitrage, Black-Scholes
equation and pricing derivative securities, fundamental
theorems of asset pricing, models of equity and fixed
income markets, exotic options. |
MATH 776: Financial Markets
Overview of equity, fixed income and FX markets; summary
of discrete and continuous time financial modeling; pricing
of vanilla and exotic derivatives; discussion of volatility;
market risk, VaR, CAPM models; introduction to credit risk;
capital models. |
| WINTER
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MATH 772: Topics in Financial Mathematics
Stylized facts from financial time series; GARCH models;
stochastic volatility models; markets with jumps; Levy
processes; implications for pricing, hedging and risk
management. |
MATH 774: The Mathematics of Credit Risk
Default events and stopping times; bonds and rates; credit
spreads and corporate bond prices; intensity based models;
credit rating models, firm value models; default correlation;
credit derivatives; calibration; basket credit products;
collateralized debt obligations. |
MATH 775: Portfolio Theory and Incomplete Markets
The continuous time portfolio problem; portfolio problems
with constraints, portfolio optimization in the presence of
transaction costs; risk measures; optimal cash management
in equity index tracking with transaction costs. |
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FULL YEAR
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MATH 790: Major Research Project
Completion of a project of industrial interest. Students will work
together with a mentor from a financial institution, or alternatively,
may complete the project while working as an intern or while
beginning work full time in the financial industry. Students deliver
a paper and an oral presentation at the end of August to complete their
degree requirements. |
Statistics
A course in statistical methods for use in practice. Topics may
include central concepts and methods of statistical inference,
sampling distributions, point and interval estimation, and
testing of statistical hypotheses.
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