Transcript Master of Science in Financial Mathematics and Stastistics Fall 2009

Orientation Session, Fall 2009
Master of Science
in
Financial Mathematics
and
Stastistics
Welcome!
What Make this Program
Distinguished?
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Derivative modeling
Equity
 Fixed income
 Credit
 Inflation
 Hybrid and structured products
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Risk Management
Financial economics
Teaching Staff from UST
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Prof. Yue-Kuen Kwok, Financial
Mathematics
Prof. Qi-Man Shao, Probaility
Prof. Bin-Yi Jing, Probability
Prof. Kani Chen, Statistics
Prof. Man-Yu Wong, Statistics
Prof. Shi-Qing Ling, Statistics
Prof. Mike So, Statistics
Visiting Prof. Jerome Yan, Finance
Dr. Mei-Choy Chiu
Prof. Lixin Wu, Financial Mathematics
Teaching Staff from Outside
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Dr. Chun-De Shum (former senior VP of JP
Morgan), Quant Programmer
Prof. Harry Zheng (Imperial College),
Financial Mathematics
Prof. M. Dai (NUS), Financial Mathematics
Prof. M. Kijima (Kyoto Univ.), Financial
Mathematics and Applied Economics
Dr. S.Y. Leung (Citigroup)
Dr. Bon Ho (Macquaire)
Mr. Y.F. Lam (HSBC)
Mr. G.X. Wu (Essense Security)
Regulations for Course Taking
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Full-time students are advised to
take no more than four courses
per semester
Part-time students should take
nor more than two courses, or
he/she should change to fulltime mode (The change of mode
can only be made once).
Degree Requirement: 30 credits
and a B or better GPA
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Category of courses
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6 credits from the list of foundation
courses
9 credits from the list of courses in
financial mathematics
9 credits from the list of courses in
statistics
6 credits as free electives*
A graduation GPA of B or above.
For other information, please visit
Program webpage.
A Complete List of Courses
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Courses of the MSc Program
Courses of Mathematics of Fall
Semester
Courses for Fall 2009
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MAFS 501 Stochastic Calculus (B.Y.
Jing)
MAFS 511 Advanced Data Analysis
with Statistical Programming (M. So)
MAFS 524 Software Development
with C++ for Quantitative Finance
(C.D. Shum)
MAFS 601B Financial Derivatives
and Martingale Pricing Theory (M.C.
Chiu)
Course of Spring 2010
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MAFS 513 Quantitative Analysis of
Financial Time Series (SQ Ling)
MAFS 522 Quantitative and Statistical Risk
Analysis (Y.F. Lam, G. Wu and L. Wu)
MAFS 601A Volatility Derivatives and
Structured Products (Y.K. Kwok, B. Ho, J.
Yen), or
MATH 572 Interest Rate Models (L. Wu)
MATH 685A Mathematical Models of
Financial Economics (Y.K. Kwok)
MATH 685B Volatility Smile Modeling (L.
Wu)
Courses for the 1st Summer
Session of 2010
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MAFS 523 Advanced Credit
Risk Models (H. Zheng)
MAFS 525 Computational
Methods for Pricing Structured
Products (YK Kwok)
Courses for the 2nd Summer
Session of 2010
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MAFS 502 Advanced Probability
and Statistics (MC Chiu)
An Interdisciplinary Program
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Three corner stones
Economics
Finance
Financial markets
Business
Probability
Statistics
Stoch. Analysis
PDE
Numer. Anal.
C++, Java, VBA,
Pearl, R,
database
management
Financial
Mathematics
IT skills
Economics
Job Related
Issues
Types of Institutions
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Investment banks
Hedge funds
Asset management companies
Securities firms
Insurance companies
Commercial banks
Targeted Professions
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Derivatives traders
Quantitative programmers
Sales of financial instruments
Software developers
Quantitative analysts
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Quant for trading desks
Quant for middle and back offices
Risk analysts/managers
Statistical analysts
Where Our Students Work?
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Citigroup, Merrill Lynch, Societie
General, DBS, Nomura,
Macquarie, Credit Lyonnais
Security Asia, Athbest Financial
Groups, Hang Seng Bank,
CITIC KA Wah Bank, Clayons
Moody(中国),中银, 安信, 平保,
深国投, 渣打
Job Information
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The contacts between the program
and the industry
Student Affair Office
Internet job sites
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Jobs in Finance
Financial Analysis Jobs
Jobs Finance
51job
chinahr 招聘网站!
www.zhaopin.com
www.chinabond.com.cn
For Non-local Students
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Mainland students can stay in
Hong Kong for up to a year after
graduation.
Internship for this one-year
program is discouraged by both
University and Immigration
Department.
About Internship
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Yet students under student visa
can still apply
Such internship is limited to a
maximum of 20 hours/week, and
the interns have to take course
with at least 9 credits
Thank you for your attentions!
Questions?
Course Description
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MAFS 501 Stochastic Calculus
Random walk models. Filtration.
Martingales. Brownian motions
Diffusion processes. Forward and
backward Kolmogorov equations.
Ito's calculus. Stochastic differential
equations. Stochastic optimal
control problems in finance.
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MAFS 511 Advanced Data Analysis with
Statistical Programming
Data analysis and implementation of
statistical tools in a statistical program, like
SAS, R, or Minitab. Topics: reading and
describing data, categorical data and
longitudinal data, correlation and
regression, nonparametric comparisons,
ANOVA, multiple regression, multivariate
data analysis.
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MAFS 524 Software Development with
C++ for Quantitative Finance
This course introduces C++ with
applications in derivative pricing. Contents
include abstract data types; object creation,
initialization, and toolkit for large-scale
component programming; reusable
components for path-dependent options
under the Monte Carlo framework.
Background: Prior programming
experience
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MAFS 601B Financial Derivatives
and Martingale Pricing Theory
Black-Scholes-Merton framework,
dynamic hedging, replicating
portfolio. Martingale theory of option
pricing, risk neutral measure. Exotic
options: barrier options, lookback
options and Asian options. Free
boundary value pricing models:
American options, reset options.
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MAFS 513 Quantitative
Financial Time Series
Analysis
of
Analysis of asset returns: autocorrelation,
predictability and prediction.
Volatility
models: GARCH-type models, long range
dependence.
High frequency data
analysis:
transactions
data,
duration. Markov switching and threshold
models.
Multivariate time series:
cointegration models and vector GARCH
models. Background: Entry PG level MATH
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MAFS 521 Mathematical Models of
Investment
Utility theory, stochastic
dominance. Portfolio analysis:
mean-variance approach, one-fund
and two-fund theorems. Capital
asset pricing models. Arbitrage
pricing theory. Consumptioninvestment problems.
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MAFS 522 Quantitative and
Statistical Risk Analysis
Various risk measures such as Value
at Risk and Shortfall Risk. Coherent
risk measures. Stress testing, model
risk, spot and forward risk. Portfolio
risks. Liabilities and reserves
management. Case studies of major
financial losses.
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MATH 571 Mathematical Models of
Financial Derivatives
Black-Scholes-Merton framework,
dynamic hedging, replicating
portfolio. Martingale theory of option
pricing, risk neutral measure. Exotic
options: barrier options, lookback
options and Asian options. Free
boundary value pricing models:
American options, reset options.
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MATH 572 Interest Rate Models
Theory of interest rates, yield curves,
short rates, forward rates. Short rate
models: Vasicek model and CoxIngersoll-Ross models. Term
structure models: Hull-White fitting
procedure. Heath-Jarrow-Morton
pricing framework. LIBOR and swap
market models, Brace-GatarekMusiela approach. Affine models.
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MATH 600 Volatility Smile Modeling
The mechanism of volatility
smile/skew. Pros and cons of local
volatility diffusion model. Dynamics
of jump and stochastic volatility. Levy
framework. Affine models. Models of
stochastic volatility: Heston’s model
and SABR model.
Courses for the 1st Summer
Session of 2010
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MAFS 523 Advanced Credit
Risk Models (H. Zheng)
MAFS 525 Computational
Methods for Pricing Structured
Products (YK Kwok)
Course Descriptions
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MAFS 523 Advanced Credit Risk
Models
Credit spreads and bond price-based
pricing. Credit spread
models. Recovery
modeling. Intensity based
models. Credit rating models. Firm
value and share price-based models.
Industrial codes: KMV and Credit
Metrics. Default correlation: copula
functions.
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MAFS 525 Computational Methods for Pricing
Structured Products
Computational methods for pricing structured
(equity, fixed-income and hybrid) financial
derivatives products. Lattice tree methods. Finite
difference schemes. Forward shooting grid
techniques. Monte Carlo simulation. Structured
products analyzed include: Convertible securities;
Equity-linked notes; Quanto currency swaps;
Differential swaps; Credit derivatives products;
Mortgage backed securities; Collateralized debt
obligations; Volatility swaps. Background: Entry PG
level MATH
Courses for the 2nd Summer
Session of 2010
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MAFS 502 Advanced Probability and
Statistics (MC Chiu)
Probability spaces, measurable functions
and distributions, conditional probability,
conditional expectations, asymptotic
theorems, stopping times, martingales,
Markov chains, Brownian motion, sampling
distributions, sufficiency, statistical decision
theory, statistical inference, unbiased
estimation, method of maximum likelihood.
Background: Entry PG level MATH