Financial Engineering, MS

On Campus

Financial Engineering

Sophisticated modeling and information technology now dominate the financial world. The theories and the practice of Finance are challenged today by complex financial and global systems and by dynamically changing regulatory environments and politics. A global world in transition creates both opportunities and challenges for financial engineers to adapt theoretical and financial constructs into profitable and innovative opportunities by creating innovative, custom-designed instruments in the marketplace.

At the NYU School of Engineering, we train our students to do exactly that: to engineer the future of finance and transform financial theory into practice. The MS in Financial Engineering program furnishes students with foundational knowledge in financial concepts. This knowledge then becomes a springboard to specialized fields where students can apply concepts to everything from derivatives risk finance to financial IT and algorithmic trading on Big Data.

Students follow one of four different tracks as they earn their degree:

  • Financial Markets and Corporate Finance
  • Computational Finance
  • Technology and Algorithmic Finance
  • Risk Finance

 

About the Program

The Department receives a large number of applications every year. To be considered for admission into the MS in Financial Engineering program, students must have a Bachelor’s Degree from an accredited institution and proven proficiency in:

  • Linear Algebra
  • Probability Theory
  • Calculus (Advanced)
  • Applied Statistics
  • Computer Programming

Applicants must submit official transcripts from each institution attended as well as GRE test scores. Note that the average Quant GRE score of accepted students in Fall 2016 was 169.3/170.

 When applicable, applicants must also demonstrate English language proficiency to be determined by the TOEFL score.

The FRE department does not accept change-of-major requests. In all instances, students must formally apply to the program. Applicants must have demonstrated proficiency in the mathematical areas listed to be considered for admission. The Department offers optional refresher courses for students who would like to brush up on their skills and to serve the population of students who have been out of academia prior to matriculating into this program.


Contact the Graduate Center for questions about the application process, application status or to talk to an admissions counselor:

Office of Graduate Enrollment Management and Admissions
NYU Tandon School of Engineering
6 MetroTech Center
Brooklyn, NY 11201
engineering.gradinfo@nyu.edu
Phone: 646.997.3182
Fax: 646.997.3624


Contact the Department of Finance and Risk Engineering with your academic questions, e.g., courses and curricula.

Department of Finance and Risk Engineering
NYU Tandon School of Engineering
12 MetroTech Center, 26th floor
Brooklyn, NY 11201
engineering.fre@nyu.edu
Tel: 646.997.3279
Fax: 646.997.3355


Curriculum

Students enrolled full-time will complete the program in 4 semesters (May) although some may accelerate the course load and graduate within 3 semesters. Our program also offers flexibility to attend part-time and extend the number of semesters.

To earn a Master of Science in Financial Engineering, students must complete 33 credits to qualify for graduation. The structure of the program is as follows:

  • 5 core courses, each 3 credits
  • Track-required courses totaling 7.5 credits
  • 1 required applied lab worth 1.5 credits
  • 4 general elective courses, each 1.5 credits
  • 1 capstone experience of 3 credits
  • Capstone assessment of 0 credits
  • Bloomberg certification of 0 credits
  • Total # of credits: 33

 

Students may choose from one of the following tracks:

  • Corporate Finance and Financial Markets
  • Computational Finance
  • Technology and Algorithmic Finance
  • Risk Finance

Students may petition for a customized track. Please review the guidelines here.

Students must also complete the Bloomberg Essentials Online Training Program and earn the Acknowledgement of Completion to qualify for graduation. The Department will support your efforts to complete the training program by providing many Bloomberg terminals and laboratory assistants to answer your questions. This is a zero-credit requirement, listed as FRE 5500.

Graduate students enrolled in other NYU graduate programs may request enrollment in FRE courses for up to 6 credits per semester with the approval of their graduate program advisor. Undergraduate students are not allowed to take courses in the MS in Financial Engineering program, except for those in a combined BS/MS program. It is the students’ responsibility to consult with their academic advisor if the courses they plan to take satisfy degree requirements in their program, and to obtain approval to enroll in Financial Engineering courses via the FRE cross-registration form available in the Student Resources page. Please review the NYU cross-school registration policy prior to submitting cross-registration requests.


CORE COURSES (15 CREDITS)

3 Credits Financial Accounting FRE-GY6003
This course provides a solid foundation in the construction and interpretation of financial statements. Topics include accounting terminology; financial statement preparation and analysis; liquidity and credit risk ratios; depreciation calculations; revenue recognition; and accrued liabilities and asset valuation. Also covered are the effects of equity transactions; cash flows; and various accounting methods on financial statements.
Prerequisite: Graduate Standing. Co-Requisite: None. Notes: None.
3 Credits Financial Economics FRE-GY6023
This course provides a rigorous introduction to the principles and application of the theory of financial economics. Following a review of foundational theories of markets and competition, this course covers the following areas: certainty and perfect capital markets, the institutional setting of financial economics, risk and contingent claims theory, and capital market imperfections and the limits to arbitrage that these impose on financial systems.
Prerequisite: Graduate Standing

3 Credits Quantitative Methods in Finance FRE-GY6083
This course focuses on quantitative methods and financial modeling. Probability theory, stochastic processes and optimization are studied and applied to a broad variety of financial problems and their derivatives. Topics include probability spaces; conditional probability; densities; distributions; density estimators; multivariate probability; moment-generating functions; random walks; Markov processes; Poisson processes; and the Brownian-motion process.
Prerequisite: Students are expected to know calculus and elementary probability and Graduate Standing

Watch a clip on FRE-GY 6083 by Professor Agnes Tourin

3 Credits Valuation for Financial Engineering FRE-GY6103
This course introduces financial engineers to robust risk-based valuation methods in discrete and continuous time. This includes four major applications: cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets & liabilities.
- “Cash flows” refers to risk-free and risky payments or expenditures.
- “Traded derivatives” include a high level treatment of forward contracts and the most commonly traded option contracts.
- “Nontraded and embedded derivatives” refer to contingent cash flows created in the normal processes of contracting and asset management
- “Corporate assets” refer to claims to cash flows owned and managed by corporations
- “Corporate liabilities” refers to corporate-issued securities or other payment obligations incurred by corporations.
Prerequisite: Graduate Standing

3 Credits Financial Risk Management and Asset Pricing FRE-GY6123
This course introduces the techniques and problems of Financial Risk Management and Asset Pricing. It emphasizes risk finance and attitudes; Value at Risk; risk measurement principles; valuation and expected utility and their relevance in the valuation and the pricing of financial investments; insurance; management of derivatives; and risk management. Throughout, risk-management application problems are explored., The course introduces and focuses on the fundamental principles of the Arrow-Debreu state preference theory used to price derivatives and other assets in complete markets. Risk neutral-Binomial models in option pricing; essential elements of Ito calculus; and the Black-Scholes model for pricing options are introduced and applied to practical financial decision making and risk management problems. Prerequisite: Graduate Standing

    TRACK-REQUIRED COURSES (7.5 CREDITS)

    These include Financial Markets and Corporate Finance, Computational Finance, Technology and Algorithmic Finance, and Risk Finance (Credit Risk, Financial Management, and Insurance). Please see the the dropdowns below for more details.

    APPLIED LAB (1.5 CREDITS*)

    Students from all tracks except Risk Finance must choose 1 lab from the following:

    1.5 Credits Financial Software Laboratory FRE-GY6811
    This course teaches students to use financial software tools commonly employed in industry. Examples include: @Risk, Yieldbook, Excel, R, and C++.
    Prerequisites: Graduate Standing

    1.5 Credits Financial Econometric Laboratory FRE-GY6821
    This course teaches students to use Eviews and Stata.
    Prerequisites: Graduate Standing
    1.5 Credits Computational Finance Laboratory FRE-GY6831
    This course teaches students to use Matlab and GAMS.
    Prerequisites: Graduate Standing
    1.5 Credits Financial Software Engineering Laboratory FRE-GY6861
    This financial lab requires students to publicly participate in a large software project. This participation could take the form of contributing to an open-source financial software project with the contributions being accepted and committed to the main branch, or publishing a stand-alone library or package for a programming language commonly used in financial applications, or the development or updating of a brand-new industrial strength financial software application. As the students work on their project, this course will focus on important software engineering considerations specifically as they apply to the fast-paced world of financial projects, such as formalized procedures for revision control and bug tracking and other proven methods of software management in a fast-paced financial environment.
    Prerequisite: Graduate Standing
    1.5 Credits R in Finance FRE-GY6871
    This course introduces the free programming language R and its many applications to finance including risk management, portfolio construction, strategy development and testing, and trading and execution. Topics covered include financial time series analysis, advanced risk tools, applied econometrics, portfolio management, and derivatives valuation. Students will be required to write some code in R every week.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
    3 Credits Financial Computing FRE-GY6883
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.

    *For FRE-GY 6883, 1.5 credits count as lab and 1.5 credits as elective.

    Note: Waivers are possible.

    REQUIRED CERTIFICATION (0 CREDITS)

    Bloomberg Certification FRE-GY5500
    This course tracks the requirement for the self-paced, self-taught Bloomberg certification to be completed through a Bloomberg terminal.
    Prerequisite: Graduate Financial Risk Engineering students only

    CAPSTONE (3 CREDITS)

    Choose 1 capstone option:

    1.5 Credits Financial Engineering Capstone: Internship FRE-GY7023
    In this course, the Career Services Office helps the student to secure an internship. Students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A paper based on the internship work is required.
    Prerequisites: This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the internship and Graduate Standing
    (200 hours at least; 1 report to the faculty is required)

    3 Credits Financial Engineering Capstone: Project FRE-GY7043
    In this project course, students work with faculty on proprietary or non-proprietary research projects. Generally, students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A significant written research component is required.
    Prerequisites: This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the project to be undertaken and Graduate Standing.
    (project under faculty supervision)

    3 Credits MS Thesis in Finance & Risk Engineering FRE-GY9973
    In this research course, students undertake proprietary or non-proprietary research and write a thesis-type research paper. Generally, students work under faculty supervision. However, the course is intended to be largely self-directed within guidelines established by the supervising faculty member.
    Prerequisites: Graduate Standing. This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the thesis project.

    2 courses with a “topics” or “special topics” title of 1.5 credits each, with a capstone paper submitted to the capstone advisor.

    In addition, please see the Capstone Procedures and Requirements.

    CAPSTONE ASSESSMENT (0 CREDITS)

    Capstone Assessment FRE-GY5990
    The Master of Science in Financial Engineering program offers four types of Capstone experiences to its graduate students: theses, projects, special topics, and internships. This Capstone Assessment will serve as a centralized measure for the various types of Capstone experiences to identify whether students have successfully completed this experience and garner feedback about graduating students' skills and professional readiness. Note: course should be completed during final semester of studies.
    Prerequisites: FRE-GY 9973 or FRE-GY 7023 or FRE-GY 7043 or two special topics courses of 1.5 credits each, with a capstone paper submitted to the faculty.

    GENERAL ELECTIVES (6 CREDITS)

    Students may choose from any FRE courses outside of their specific track to fulfill these elective requirements or they may choose from the below general elective courses. They may also elect to register for up to three (3) classes (maximum of one 1 per semester) at select schools/programs at NYU. Students may only enroll for courses at other schools of NYU that are not offered at the School of Engineering. Please review the NYU cross-school registration policy prior to submitting cross-registration requests.

    For a list of available electives, see the FRE Course Listing page.


    Financial Markets and Corporate Finance Track

    The Financial Markets and Corporate Finance track focuses on how to structure, value, market and apply complex financial products in expanding global financial markets. You will learn to wield sophisticated trading and risk management strategies and engineer solutions to the host of financial problems faced by today’s institutions. As a student in this track, you will learn a diverse array of skills to prepare you for wide-ranging positions in corporate financial analysis, financial planning, financial consulting, asset management, management consulting, private equity value creation and global financial advisory and foreign exchange trading.

    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.


    Required to Complete the Financial Engineering MS program:

    • 5 core courses, each 3 credits totaling 15 credits
    • Track-required courses totaling 7.5 credits
    • 1 required applied lab worth 1.5 credits
    • 6 credits of electives
    • 1 capstone experience of 3 credits
    • Capstone assessment (0 credits)
    • Bloomberg Certification (0 credits)

    Total # of credits: 33

    Track-Required Course:

    3 Credits Advanced Valuation Theory FRE-GY6273
    This course provides students with corporate finance theory and analytical skills essential to financial decision-making. It helps students develop a framework that is useful for understanding a broad range of major corporate financial policies and equips students with tools and techniques useful for evaluationg firms and assessing a business' investment and financial policies. Topics will include: discount cash flow models, financial statement analysis, valuations, capital budgeting analysis, capital structure, cost of capital, dividend policies, initial public offerings, and corporate governance.
    Prerequisites: FRE-GY 6103 and FRE-GY 6003

    3 of the Following Courses:

    1.5 Credits Money, Banking and Financial Markets FRE-GY6031
    Studies how the interactions among money, the financial system and the economy determine interest rates and asset returns. It utilizes a consistent approach based in economics to explain the role of the financial system in matching savers and borrowers and in providing risk-sharing, liquidity and information services in efficient financial markets. Students study why and how financial markets and financial instruments evolve as a function of transactions and information costs, adverse selection and moral hazard problems, and summarize economic arguments for and against regulation. Finally, they examine the money supply process and monetary policy, in particular the link between monetary authorities and the macro-economy through a transmission mechanism involving banks and the non-financial public.
    Prerequisite: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department
    1.5 Credits Financial Econometrics FRE-GY6091
    Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data.
    Prerequisite: FRE-GY 6083 and a working knowledge of statistics. Matriculation into MS Financial Engineering or permission of the department.
    1.5 Credits Econometrics and Time Series Analysis FRE-GY6351
    Financial econometrics has matured into a necessary and essential part of financial engineering that provides opportunities to deal with real and practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intra-day trading data that requires particular models and techniques; memory-based and fractal stochastic processes to study complex markets behaviors and copulas applied routinely to model- and estimate-dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from both theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.
    Prerequisite: FRE-GY 6083 and Graduate Standing
    1.5 Credits Corporate and Financial Strategy FRE-GY6361
    This is an introduction to financial strategy for MS Financial Engineering students. The course focuses on the role of financial engineers and financial officers in developing and sustaining competitive advantage through the use of financial engineering analyses.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6023 and FRE-GY 6103.

    1.5 Credits Mergers & Acquisitions FRE-GY6391
    This course examines the theories and empirical evidence related to mergers and acquisitions and other corporate transactions and reorganizations. The course looks at friendly mergers, hostile takeovers (including takeover and anti-takeover tactics), leveraged buyouts and bankruptcy. Throughout, the course examines the motives behind these transactions and reorganizations.
    Prerequisites: FRE-GY 6103 and Graduate Standing
    1.5 Credits Fixed Income Securities and Interest Rate Derivatives FRE-GY6411
    This course examines the body of analytical tools and measures that constitute modern fixed-income markets. The valuation of interest-rate sensitive cash flows is the unifying theme. Major topics include theories of term structure, institutional aspects of fixed-income markets and analytical techniques for managing interest-rate risk. Bond refunding, defeasance, corporate bonds, forwards, futures, options and interest-rate swaps are discussed. The course gives an overview of the major classes of fixed-income securities and the markets in which they trade. Among the major classes of fixed-income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset-backed securities, municipals, floating and inverse floating rate securities.
    Prerequisite: FRE-GY 6023, FRE-GY 6083, FRE-GY 6103 and Graduate Standing

    1.5 Credits Global Finance FRE-GY6671
    The level of economic and financial globalization combined with the growth of the multinational firms and virtual firms with no boundaries may have altered the future of finance and its risk engineering. The purpose of this course is to focus attention on the essential elements that both large financial firms and institutions are confronting worldwide, the challenges of national and international financial investments, currencies speculations and investments, regulation as well as managing risks in a strategic and macroeconomic environment. In such an environment, financial markets are multi-polar, geographically distributed with national entities pursuing their own economic and political agenda.
    Prerequisites: FRE-GY 6411 and FRE-GY 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    1.5 Credits Quantitative Portfolio Management FRE-GY6711
    This course focuses on the quantitative foundations of portfolio management . It teaches the fundamental mathematical models such as the Markowitz, CAPM, and the Merton investment-consumption models, and discusses the issues related to the implementation of these models in practice to different types of portfolios. Finally, it also introduces some common portfolio construction and rebalancing techniques.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6083

    Watch the video to learn more about the Global Finance course:

    FRE 6671 Global Finance - Professor Charles Tapiero

    Recommended Electives (6 credits):

    1.5 Credits Extreme Risk Analytics FRE-GY6041
    The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; "fat tails"; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; data-mining biases and decision error; and decision-making with incomplete information.
    Pre-Requisite: Graduate Standing
    1.5 Credits Investment Banking and Brokerage FRE-GY6111
    This course introduces an overview of Wall Street, the back office and general brokerage operations, investment banking and capital markets. The course covers subjects essential to understanding how products, once created, are distributed and sold. The course relies heavily on The Wall Street Journal, Financial Times and other trade publications. Topics include a brief history of Wall Street, an understanding of the major securities laws and how they have changed over time, basics of equity and debt securities, creation of debt and equity securities, and pricing and sale of debt and equity securities. The course seeks to understand how and where opportunities for creating new securities arise.
    Prerequisites: Graduate Standing

    1.5 Credits Financial Market Regulation FRE-GY6211
    This course considers the role and forms of regulation in the U.S. financial markets, the role of the Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission (CFTC), the Federal Reserve, the Office of the Controller of the Currency (OCC), and self-regulating organizations (SROs) such as the National Association of Securities Dealers and the National Futures Association. Also examined are the roles of the state insurance commissions and the STATE OR FEDERAL Department of Labor.
    Prerequisites: FRE-GY 6031 and Graduate Standing

    1.5 Credits Applied Derivative Contracts FRE-GY6291
    This course provides an introduction to derivative contracts with a special emphasis on current practical applications in use today by financial institutions for investing, hedging, trading and issuing. The characteristics and features of futures, forwards, swaps, options and structured notes are all covered with a special emphasis on useful applications. For each of the four primary derivative contracts, we review in these lectures the appropriate definitions, terminology, market mechanics and theoretical fair value pricing.
    Prerequisite: FRE-GY 6003, FRE-GY 6023, FRE-GY 6103 and Graduate Standing

    1.5 Credits Contract Economics FRE-GY6371
    This course covers advanced material in applied economics for students of financial engineering. The topics discussed include the development of contractual relationships between parties with dissimilar interests. These include risks of moral hazard and the design of incentives, adverse selection and market signaling, auction theory and the winner’s curse, and distributed and integrative negotiation. Students who complete this course successfully obtain an appreciation for the theoretical and practical challenges in completing contracts that provide satisfactory economic incentives to each party and satisfy the other party’s belief that the required terms will be met.
    Prerequisite: FRE-GY 6023 and Graduate Standing

    1.5 Credits Behavioral Finance FRE-GY6451
    This course discusses investors’ systematic deviations from the level of financial rationality assumed by modern financial theory. Such biased behavior can lead to market inefficiencies, market opportunities and market failure. After a brief introduction to the topic and its research history, the course focuses on the limits to arbitrage created by decision bias, the equity premium puzzle, market over-reaction and under-reaction. The course seeks to understand how and where opportunities for and threats to wealth accumulation exist as a result of the mismatch between investor behavior and the algorithmic assumptions about investment behavior inherent in financial theory.
    Prerequisite: FRE-GY 6023 and Graduate Standing.
    1.5 Credits Credit Risk & Financial Risk Management FRE-GY6491
    This course provides a deep understanding of credit instruments from a qualitative and quantitative point of view. Students learn how to price credit derivatives and hedge credit risk. Both the structural and intensity models approaches are presented. Applications to a number of structured products are considered.
    Prerequisites: FRE-GY 6411 and Graduate Standing
    1.5 Credits Asset-backed Securities and Securitization FRE-GY6571
    This course examines essential contributions in this field and provides a comprehensive coverage of financial securitization and their application to major asset-backed securities, structuring issues and relative value analysis. Topics include the expanding frontiers of asset securitization; introduction to ABS accounting; trends in the structuring of ABSs; and prepayment nomenclature in the ABS market.
    Prerequisites: FRE-GY 6411, FRE-GY 6511 and Graduate Standing

    1.5 Credits Selected Topics in Financial Engineering FRE-GY6951
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.
    Prerequisites: advanced standing and instructor’s permission.
    1.5 Credits Algorithmic Portfolio Management FRE-GY7241
    This course focuses on portfolio construction and rebalancing strategies such as momentum, value, and size strategies, among others. The course emphasizes backtesting and risk factor analysis as well as optimization to reduce tracking error. It will also address how a quantitative investment approach can help both individual and institutional investors make sound long-term investment decisions.
    Prerequisite: FRE-GY 6123 and Graduate Standing
    1.5 Credits Topics in Finance and Financial Markets I FRE-GY7801
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include Financial Economics, Macroeconomics and Finance, the Bond market, the securities markets, Derivatives markets, Contract Theory, Credit and Counterparty Risks, Banking Finance and others.
    Prerequisites: Graduate standing and instructor’s permission

    1.5 Credits Topics in Risk Finance I FRE-GY7821
    Current topics of particular importance in Actuarial Science are analyzed and discussed. Course topics may include for example: Pension Funds management, Actuarial Science and Social Security, Life Insurance, Insurance and Financial Products design and management.
    Prerequisite: Advanced standing and instructor’s permission.

    1.5 Credits Topics in Financial and Risk Engineering I FRE-GY7831
    Current and selected topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Topics include Credit Risk and Credit Derivatives, Quantitative Methods in Rare Events, Energy, Oil and Water Finance as well as advanced topics in financial econometrics and computational finance.
    Prerequisites: Graduate standing and instructor’s permission.

    1.5 Credits Topics in Financial and Risk Engineering 2 FRE-GY7851
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Examples can include urban finance engineering, environmental finance, infrastructure and projects finance, real-estate finance, insurance finance and derivatives, and macro hedge funds management.
    Prerequisites: Graduate standing and instructor’s permission.

    Recommended Lab:

    1.5 Credits Financial Econometric Laboratory FRE-GY6821
    This course teaches students to use Eviews and Stata.
    Prerequisites: Graduate Standing


    Computational Finance Track

    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.


    Required to Complete the Financial Engineering MS program:

    • 5 core courses, each 3 credits totaling 15 credits
    • Track-required courses totaling 7.5 credits
    • 1 required applied lab worth 1.5 credits
    • 6 credits of electives
    • 1 capstone experience of 3 credits
    • Capstone assessment (0 credits)
    • Bloomberg Certification (0 credits)

    Total # of credits: 33

    Track-Required Course:

    3 Credits Options Pricing & Stochastic Calculus FRE-GY6233
    This course provides the mathematical foundations of Option Pricing models. The techniques covered include arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential Calculus, change of probability measure, martingales, Stochastic Differential Equations and Partial Differential Equations. Some of the pricing models considered are the European, Barrier, Asian and American options. These problems are either solved analytically by the martingale approach or numerically, by applying approximation and simulation methods. Since the same techniques allow the treatment of more complex financial products, examples of credit derivatives will be also presented. This course is a requirement in the Computational Finance Track
    Prerequisite: FRE-GY 6083

    3 of the following courses (4.5 Credits):

    1.5 Credits Extreme Risk Analytics FRE-GY6041
    The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; "fat tails"; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; data-mining biases and decision error; and decision-making with incomplete information.
    Pre-Requisite: Graduate Standing
    1.5 Credits Numerical & Simulation Techniques in Finance FRE-GY6251
    Advanced numerical techniques for the solution of ordinary, partial and stochastic differential equations are presented. These techniques are analyzed both mathematically and using computer aided software that allows for the solution and the handling of such problems. In addition, the course introduces techniques for Monte Carlo simulation techniques and their use to deal with theoretically complex financial products in a tractable and practical manner. Both self-writing of software as well as using outstanding computer programs routinely used in financial and insurance industries will be used.
    Prerequisite: FRE-GY 6083 and Graduate Standing
    1.5 Credits Dynamic Assets and Options Pricing FRE-GY6311
    The course focuses on inter-temporal assets pricing in discrete and continuous time. The course explores problems in complete and incomplete markets of both theoretical and practical interest that require an appreciation of financial economic theories and computational techniques. Financial-engineering techniques are introduced including Martingales, stochastic calculus and jump processes; these are applied to engineering problems in finance. Problems and cases are presented that span Stocks and Derivatives (options of various sorts), Bonds and Implied Risk-Neutral Pricing.
    Prerequisites: FRE-GY 6083, FRE-GY 6123 and Graduate Standing
    1.5 Credits Financial Risk Management and Optimization FRE-GY6331
    This course provides solutions to the inter-temporal problems in financial management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.
    Prerequisites: FRE-GY 6083, FRE-GY 6123, and FRE-GY 6091 and Graduate Standing.
    1.5 Credits Econometrics and Time Series Analysis FRE-GY6351
    Financial econometrics has matured into a necessary and essential part of financial engineering that provides opportunities to deal with real and practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intra-day trading data that requires particular models and techniques; memory-based and fractal stochastic processes to study complex markets behaviors and copulas applied routinely to model- and estimate-dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from both theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.
    Prerequisite: FRE-GY 6083 and Graduate Standing
    1.5 Credits Credit Risk & Financial Risk Management FRE-GY6491
    This course provides a deep understanding of credit instruments from a qualitative and quantitative point of view. Students learn how to price credit derivatives and hedge credit risk. Both the structural and intensity models approaches are presented. Applications to a number of structured products are considered.
    Prerequisites: FRE-GY 6411 and Graduate Standing
    1.5 Credits Quantitative Portfolio Management FRE-GY6711
    This course focuses on the quantitative foundations of portfolio management . It teaches the fundamental mathematical models such as the Markowitz, CAPM, and the Merton investment-consumption models, and discusses the issues related to the implementation of these models in practice to different types of portfolios. Finally, it also introduces some common portfolio construction and rebalancing techniques.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6083

    1.5 Credits Special Topics in Financial Engineering FRE-GY6971
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics will be emphasized and provide focus for further study. Examples might include urban finance engineering, environmental
    finance, infrastructure and projects finance, real estate finance, insurance
    finance and derivatives, macro hedge funds management, among others. Prerequisites: advanced standing and instructor’s permission and Graduate Standing

    Recommended Electives (6 credits):

    1.5 Credits Selected Topics in Financial Engineering FRE-GY6961
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.
    Prerequisites: advanced standing and instructor’s permission.
    1.5 Credits Statistical Arbitrage FRE-GY7121
    Statistical arbitrage refers to strategies that combine many relatively independent positive expected value trades so that profit, while not guaranteed, becomes very likely. This course prepares students to research and practice in this area by providing the tools and techniques to generate and evaluate individual trading strategies, combine them into a coherent portfolio, manage the resulting risks, and monitor for excess deviations from expected performance. It introduces theoretical concepts such as cointegration, risk capital allocation, proper backtesting, and factor analysis, as well as practical considerations such as data mining, automated systems, and trade execution. Programming languages such as R, Python, or C++ will be used to present applications to data at low, intermediate and high frequency.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
    1.5 Credits Topics in Risk Finance I FRE-GY7821
    Current topics of particular importance in Actuarial Science are analyzed and discussed. Course topics may include for example: Pension Funds management, Actuarial Science and Social Security, Life Insurance, Insurance and Financial Products design and management.
    Prerequisite: Advanced standing and instructor’s permission.

    1.5 Credits Topics in Financial and Risk Engineering I FRE-GY7831
    Current and selected topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Topics include Credit Risk and Credit Derivatives, Quantitative Methods in Rare Events, Energy, Oil and Water Finance as well as advanced topics in financial econometrics and computational finance.
    Prerequisites: Graduate standing and instructor’s permission.

    1.5 Credits Topics in Financial and Risk Engineering 2 FRE-GY7851
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Examples can include urban finance engineering, environmental finance, infrastructure and projects finance, real-estate finance, insurance finance and derivatives, and macro hedge funds management.
    Prerequisites: Graduate standing and instructor’s permission.

    Recommended Labs (1.5 credits*):

    1.5 Credits Computational Finance Laboratory FRE-GY6831
    This course teaches students to use Matlab and GAMS.
    Prerequisites: Graduate Standing
    3 Credits Financial Computing FRE-GY6883
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.

    *FRE-GY 6883 counts both as a lab (1.5 credits) and as an elective (1.5 credits), totaling 3 credits.


    Technology and Algorithmic Finance Track

    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 mission-critical projects. Applications include high frequency finance, behavioral finance, agent-based modeling and algorithmic trading and portfolio management.

    Upon graduation, students of the Technology and Algorithmic Finance track will have developed software projects ranging from behavioral models to bespoke derivative valuations to financial trading, information management and tools and financial platforms. Students would be familiar with the use and role of technology in front, middle, and back offices; common trading strategies and how to implement and back-test them; and how to create new models and build new useful tools quickly.


    Required to Complete the Financial Engineering MS program:

    • 5 core courses, each 3 credits totaling 15 credits
    • Track-required courses totaling 7.5 credits
    • 1 required applied lab worth 1.5 credits
    • 6 credits of electives
    • 1 capstone experience of 3 credits
    • Capstone assessment (0 credits)
    • Bloomberg certification (0 credits)

    Total # of credits: 33

    Track-Required Course:

    3 Credits Foundations of Financial Technology FRE-GY6153
    Financial Institutions spend billions per year to exploit the latest development in information technology. This course introduces a framework with which to understand and leverage information technology. The technology components covered include telecommunications, groupware, imaging and document processing, artificial intelligence, networks, protocols, risk, and object-oriented analysis and design. the course also covers the entire technological-planning process specifically for financial institutions.
    Prerequisite: Graduate Standing

    3 Courses from the Following:

    1.5 Credits Clearing and Settlement and Operational Risk FRE-GY6131
    This course focuses on issues involved in processing financial transactions—from order execution to final settlement of transactions—and operational risk in general. The course examines the procedures and market conventions for processing, verifying, and confirming completed transactions; resolving conflicts; decisions involved in developing clearing operations or purchasing clearing services; the role played by clearing houses; and numerous issues associated with cross-border transactions. The course also examines the effects of transaction processing, liquidity management, organizational structure, and personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.
    Prerequisite: FRE-GY 6153 and Graduate Standing
    3 Credits Financial Computing FRE-GY6883
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.

    1.5 Credits Statistical Arbitrage FRE-GY7121
    Statistical arbitrage refers to strategies that combine many relatively independent positive expected value trades so that profit, while not guaranteed, becomes very likely. This course prepares students to research and practice in this area by providing the tools and techniques to generate and evaluate individual trading strategies, combine them into a coherent portfolio, manage the resulting risks, and monitor for excess deviations from expected performance. It introduces theoretical concepts such as cointegration, risk capital allocation, proper backtesting, and factor analysis, as well as practical considerations such as data mining, automated systems, and trade execution. Programming languages such as R, Python, or C++ will be used to present applications to data at low, intermediate and high frequency.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
    1.5 Credits Forensic Financial Technology and Regulatory Systems FRE-GY7211
    The goal of this course is to understand the technology behind financial forensics and regulatory systems. These include innovative database techniques ("dataveillance"), artificial intelligence, data mining, and non-parametric outlier methods used by the Secuities Exchange Commission (SEC), the Financial Industry Regulatory Authority (FINRA), as well as the FBI, and other federal and state agencies. Student teams will prepare and present projects or case studies applying hte concepts covered in class.
    Prerequisite: FRE-GY 6153 and Graduate Standing
    1.5 Credits Big Data in Finance FRE-GY7221
    This is an advanced course on practical computer science and database topics most relevant to financial applications. As such it covers fundamental concepts such as financial database design, use, and maintenance, distributed financial computing and associated storage, grid and cloud computing, modeling unstructured financial data, and data mining for risk management.
    Prerequisite: FRE-GY 6153 and Graduate Standing
    1.5 Credits Algorithmic Trading & High-frequency Finance FRE-GY7251
    Algorithmic trading refers to the utilization of special computer programs in an order management system that restructure an order into a sequence of sub-orders based on the dimensions of submission time, price, size, and side. The goal of this course is to survey several algorithmic strategies used by financial institutions and to understand their implementation in the context of order management systems and standard financial protocols (such as FIX and FIXatdl). Student teams will prepare and present projects or case studies applying the concepts covered in class.
    Prerequisites: FRE-GY 6153 and FRE-GY 7221 and Graduate Standing

    1.5 Credits News Analytics & Strategies FRE-GY7261
    The fast-growing field of news analytics requires large databases, fast computation, and robust statistics. This course introduces the tools and techniques of analyzing news, how to quantify textual items based on, for example, positive or negative sentiment, relevance to each stock, and the amount of novelty in the content. Applications to trading strategies are discussed, including both absolute and relative return strategies, and risk management strategies. Students will be exposed to leading software in this cutting-edge space.
    Prerequisites: FRE-GY 6153 and FRE-GY 7221 and Graduate Standing

    1.5 Credits Topics in Financial and Risk Engineering I FRE-GY7831
    Current and selected topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Topics include Credit Risk and Credit Derivatives, Quantitative Methods in Rare Events, Energy, Oil and Water Finance as well as advanced topics in financial econometrics and computational finance.
    Prerequisites: Graduate standing and instructor’s permission.

    Recommended Electives (6 credits):

    1.5 Credits Extreme Risk Analytics FRE-GY6041
    The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; "fat tails"; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; data-mining biases and decision error; and decision-making with incomplete information.
    Pre-Requisite: Graduate Standing
    1.5 Credits Numerical & Simulation Techniques in Finance FRE-GY6251
    Advanced numerical techniques for the solution of ordinary, partial and stochastic differential equations are presented. These techniques are analyzed both mathematically and using computer aided software that allows for the solution and the handling of such problems. In addition, the course introduces techniques for Monte Carlo simulation techniques and their use to deal with theoretically complex financial products in a tractable and practical manner. Both self-writing of software as well as using outstanding computer programs routinely used in financial and insurance industries will be used.
    Prerequisite: FRE-GY 6083 and Graduate Standing
    1.5 Credits Behavioral Finance FRE-GY6451
    This course discusses investors’ systematic deviations from the level of financial rationality assumed by modern financial theory. Such biased behavior can lead to market inefficiencies, market opportunities and market failure. After a brief introduction to the topic and its research history, the course focuses on the limits to arbitrage created by decision bias, the equity premium puzzle, market over-reaction and under-reaction. The course seeks to understand how and where opportunities for and threats to wealth accumulation exist as a result of the mismatch between investor behavior and the algorithmic assumptions about investment behavior inherent in financial theory.
    Prerequisite: FRE-GY 6023 and Graduate Standing.
    1.5 Credits Derivatives Algorithms FRE-GY6511
    This course focuses on the algorithms behind derivatives valuation and applications. The focus is on the principles and practice of financial engineering and risk management and on developing intuition: understanding the reasons for the existence of the product, simulating possible paths and possible parameter values as an exploratory process, approximating complex derivatives as a combination of simpler ones, and attempting to replicate the payout. The goal is to prepare you to be able to evaluate an arbitrary derivative given only its term sheet. To that end, the course requires a project almost every week. Projects can be done in any programming language (Excel, Mathematica, R, Python, etc.), but the final result must be stand-alone tables and graphs. The primary prerequisite is familiarity with standard option pricing and Greeks. A portion of the final exam may involve a live computation project.
    Prerequisite: FRE-GY 6123 and Graduate Standing
    1.5 Credits Algorithmic Portfolio Management FRE-GY7241
    This course focuses on portfolio construction and rebalancing strategies such as momentum, value, and size strategies, among others. The course emphasizes backtesting and risk factor analysis as well as optimization to reduce tracking error. It will also address how a quantitative investment approach can help both individual and institutional investors make sound long-term investment decisions.
    Prerequisite: FRE-GY 6123 and Graduate Standing
    1.5 Credits Topics in Finance and Financial Markets I FRE-GY7801
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include Financial Economics, Macroeconomics and Finance, the Bond market, the securities markets, Derivatives markets, Contract Theory, Credit and Counterparty Risks, Banking Finance and others.
    Prerequisites: Graduate standing and instructor’s permission

    1.5 Credits Topics in Risk Finance I FRE-GY7821
    Current topics of particular importance in Actuarial Science are analyzed and discussed. Course topics may include for example: Pension Funds management, Actuarial Science and Social Security, Life Insurance, Insurance and Financial Products design and management.
    Prerequisite: Advanced standing and instructor’s permission.

    1.5 Credits Topics in Financial and Risk Engineering 2 FRE-GY7851
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Examples can include urban finance engineering, environmental finance, infrastructure and projects finance, real-estate finance, insurance finance and derivatives, and macro hedge funds management.
    Prerequisites: Graduate standing and instructor’s permission.

    Recommended Labs (1.5 credits*):

    The following are recommended labs for this track:

    1.5 Credits R in Finance FRE-GY6871
    This course introduces the free programming language R and its many applications to finance including risk management, portfolio construction, strategy development and testing, and trading and execution. Topics covered include financial time series analysis, advanced risk tools, applied econometrics, portfolio management, and derivatives valuation. Students will be required to write some code in R every week.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
    3 Credits Financial Computing FRE-GY6883
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.

    *FRE-GY 6883 counts both as a lab (1.5 credits) and as an elective (1.5 credits), totaling 3 credits.


    Risk Track

    The Risk track presents a comprehensive approach to managing risk in the context of globalized markets, financial compliance, multi-dimensional regulatory environments and industry convergence across the financial spectrum. This specialization will prepare you for a challenging career in risk finance, insurance, credit risk and derivatives or financial risk management.

    Challenges faced by practitioners of risk include:

    1. Managing financial, extreme and cyber risks in an era of uncertainty and global markets in turmoil and out of equilibrium.
    2. Developing financial products that are robust and anti-fragile to value risks and allow the safe transfer and the securitization of risks to better access financial liquidity and financial risk exchanges.  Both, optional financial products such as credit derivatives and financial insurance products are introduced, priced and managed to prevent financial losses and to hedge trading bets.
    3. Corporate Finance Risk Management, embedded in financial risk management of banks and other industrial and financial institutions.
    4. Financial regulation to better comprehend the complexity and complying to multiple regulation agencies as well as global regulation currently at the forefront of financial authorities.
    5. Financial Analytics to better measure risks, price and manage trading risks in an environment where stealth trading, high frequency trading, uncertainty and multi-agents finance prevail.  In such an environment a greater appreciation of out-of-equilibrium (incomplete) finance, statistical tools, big-data finance and financial technology to track, assess and control become essential tools to engineer financial risk management.
    6. Market Risk Analytics in banks, investment management firms and hedge funds.
    7. Operational Risk Management to implement the company’s operational risk framework.
    8. Quantitative Model Risk and model validation including the implementation process, reviewing model standards, assessing risk mitigation policies and monitoring risk events.

    The job opportunities open to graduates in the Risk Track are expanding and may include jobs in Credit Risk, Derivatives and Management in Loan Firms and Banks, Insurance and their use of financial Instruments, Regulation, within Agencies with responsibilities over Financial Institutions

    (such as the Treasury-The OCC, The SEC, etc.  As well as Compliance Management, in particular in the Banking sector, in Hedge Funds and in numerous Regulated Institutions, Investment and Hedge funds and Corporate Financial Risk Management.


    Required to Complete the Financial Engineering MS program:

    • 5 core courses, each 3 credits totaling 15 credits
    • Track-required courses totaling 7.5 credits
    • 1 required applied lab worth 1.5 credits
    • 6 credits of electives
    • 1 capstone experience of 3 credits
    • Capstone assessment (0 credits)
    • Bloomberg Certification (0 credits)

    Total # of credits: 33

    Students in the Risk Track will be required to attend the following courses as well as select a set of courses to tailor their interest and their focus on financial risks management (whether quantitative and technology oriented or management focus)

    ** Recommended: Math Refresher in Probability and Statistics

    7.5 credits are required from the following:

    1.5 Credits Extreme Risk Analytics FRE-GY6041
    The course covers failures of financial theory in risk management, deriving from fundamental definitions and assumptions in modeling, including pricing formulae; convexity; stochasticity and volatility; "fat tails"; and risk. Other topics: Portfolio robustness and extreme markets and moral hazard; data-mining biases and decision error; and decision-making with incomplete information.
    Pre-Requisite: Graduate Standing
    1.5 Credits Clearing and Settlement and Operational Risk FRE-GY6131
    This course focuses on issues involved in processing financial transactions—from order execution to final settlement of transactions—and operational risk in general. The course examines the procedures and market conventions for processing, verifying, and confirming completed transactions; resolving conflicts; decisions involved in developing clearing operations or purchasing clearing services; the role played by clearing houses; and numerous issues associated with cross-border transactions. The course also examines the effects of transaction processing, liquidity management, organizational structure, and personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.
    Prerequisite: FRE-GY 6153 and Graduate Standing
    1.5 Credits Static and Dynamic Hedging FRE-GY6141
    The course discusses advanced topics in hedging exposures, with emphasis on adaptation of the mathematics to the real world. Examines applications in quantitative finance. Methods in the hedging of cash flows and liabilities for corporations and for option traders are covered. A synthesis is made of both theory and historical hedges traded.
    Prerequisite: Graduate Financial Risk Engineering students only
    1.5 Credits Financial Market Regulation FRE-GY6211
    This course considers the role and forms of regulation in the U.S. financial markets, the role of the Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission (CFTC), the Federal Reserve, the Office of the Controller of the Currency (OCC), and self-regulating organizations (SROs) such as the National Association of Securities Dealers and the National Futures Association. Also examined are the roles of the state insurance commissions and the STATE OR FEDERAL Department of Labor.
    Prerequisites: FRE-GY 6031 and Graduate Standing

    3 Credits Actuarial Models FRE-GY6223
    Many problems in actuarial science involve building a mathematical model to forecast or predict future insurance losses and revenues. Historical data guide the actuary in selecting the model and in calibrating its unknown parameters. The course introduces discrete and continuous actuarial models such as loss, frequency and severity models and their specific characteristics. It then studies aggregate loss models in which individual risks are pooled into a manageable aggregate risk. Finally, financial tools are used to market price theses losses and allow a securitization of insurance firms’ portfolios.
    Prerequisite: FRE-GY 6051 Insurance Finance and Actuarial Science and Graduate Standing
    1.5 Credits Econometrics and Time Series Analysis FRE-GY6351
    Financial econometrics has matured into a necessary and essential part of financial engineering that provides opportunities to deal with real and practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intra-day trading data that requires particular models and techniques; memory-based and fractal stochastic processes to study complex markets behaviors and copulas applied routinely to model- and estimate-dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from both theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.
    Prerequisite: FRE-GY 6083 and Graduate Standing
    1.5 Credits Market Risk Management and Regulation FRE-GY6731
    This course covers quantitative methods of measurement and management of market risk as well as regulatory aspects of market risk management including both the current framework of Basel 2, 2.5, and 3 and the future methodology of FRTB. As the final project students produce a fully developed risk management system that includes risk calculations (sensitivities, VaR, Stressed VaR, Stress Analysis) on individual position and portfolio levels.
    Co-requisite: FRE-GY 6711 and Graduate Standing.

    1.5 Credits Sp Tpc in Applied Credit Derivatives & Securitization FRE-GY6941

    Recommended Electives (6 credits):

    1.5 Credits Insurance Finance and Actuarial Science FRE-GY6051
    This course highlights essential facets of actuarial science, insurance and the finance-insurance convergence. The course assumes that students are familiar with basic notions of expected utility and stochastic processes, and options pricing. Topics include Insurance Business and Insurance Firms Management; Principles of Actuarial Science and Risk Pricing in Insurance and in Finance (Complete Markets); Expected Utility Approach to Insurance Risk Pricing and Management; Derivatives and the Financial Approach to Insurance Pricing; Insurance Products (Life Insurance, Casualty, Pension Funds and Defined Benefits); Principles of Insurance Management in a Dynamic and Global Setting. Throughout, the course uses numerous cases centered on actuarial and insurance problems and analyzes them from a financial perspective. Of particular interest are those related to insurance pricing, reserve policies, insurance pension funds, CATBOND and weather (insurance) derivatives and regulation.
    Prerequisite: FRE-GY 6103. Co-Requisite: None. Notes: None.
    1.5 Credits Financial Econometrics FRE-GY6091
    Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data.
    Prerequisite: FRE-GY 6083 and a working knowledge of statistics. Matriculation into MS Financial Engineering or permission of the department.
    1.5 Credits Applied Derivative Contracts FRE-GY6291
    This course provides an introduction to derivative contracts with a special emphasis on current practical applications in use today by financial institutions for investing, hedging, trading and issuing. The characteristics and features of futures, forwards, swaps, options and structured notes are all covered with a special emphasis on useful applications. For each of the four primary derivative contracts, we review in these lectures the appropriate definitions, terminology, market mechanics and theoretical fair value pricing.
    Prerequisite: FRE-GY 6003, FRE-GY 6023, FRE-GY 6103 and Graduate Standing

    1.5 Credits Financial Risk Management and Optimization FRE-GY6331
    This course provides solutions to the inter-temporal problems in financial management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.
    Prerequisites: FRE-GY 6083, FRE-GY 6123, and FRE-GY 6091 and Graduate Standing.
    1.5 Credits Fixed Income Securities and Interest Rate Derivatives FRE-GY6411
    This course examines the body of analytical tools and measures that constitute modern fixed-income markets. The valuation of interest-rate sensitive cash flows is the unifying theme. Major topics include theories of term structure, institutional aspects of fixed-income markets and analytical techniques for managing interest-rate risk. Bond refunding, defeasance, corporate bonds, forwards, futures, options and interest-rate swaps are discussed. The course gives an overview of the major classes of fixed-income securities and the markets in which they trade. Among the major classes of fixed-income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset-backed securities, municipals, floating and inverse floating rate securities.
    Prerequisite: FRE-GY 6023, FRE-GY 6083, FRE-GY 6103 and Graduate Standing

    1.5 Credits Credit Risk & Financial Risk Management FRE-GY6491
    This course provides a deep understanding of credit instruments from a qualitative and quantitative point of view. Students learn how to price credit derivatives and hedge credit risk. Both the structural and intensity models approaches are presented. Applications to a number of structured products are considered.
    Prerequisites: FRE-GY 6411 and Graduate Standing
    1.5 Credits Special Topics in Financial Engineering FRE-GY6971
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics will be emphasized and provide focus for further study. Examples might include urban finance engineering, environmental
    finance, infrastructure and projects finance, real estate finance, insurance
    finance and derivatives, macro hedge funds management, among others. Prerequisites: advanced standing and instructor’s permission and Graduate Standing

    1.5 Credits Topics in Risk Finance I FRE-GY7821
    Current topics of particular importance in Actuarial Science are analyzed and discussed. Course topics may include for example: Pension Funds management, Actuarial Science and Social Security, Life Insurance, Insurance and Financial Products design and management.
    Prerequisite: Advanced standing and instructor’s permission.

    Various special topics courses, as offered, including:

    • Extreme Risk &  Fractional Finance
    • Financial Cyber Risks Management
    • Topics in Real Time Trading & Risk Management   
    • Topics in Financial Risk Management    
    • Topics in Advanced Credit Risk and Derivatives   
    • Topics in Actuarial and Insurance Finance  
    • Topics in Financial Analytics and Big Data     
    • Topics in Financial Regulation and Compliance
    • Financial Risk Management and Incomplete Markets
    • Financial Risk Measurement 

    Labs (1.5 credits*):

    Students must choose one lab from the following:

    1.5 Credits Financial Software Laboratory FRE-GY6811
    This course teaches students to use financial software tools commonly employed in industry. Examples include: @Risk, Yieldbook, Excel, R, and C++.
    Prerequisites: Graduate Standing

    1.5 Credits Financial Econometric Laboratory FRE-GY6821
    This course teaches students to use Eviews and Stata.
    Prerequisites: Graduate Standing
    1.5 Credits Computational Finance Laboratory FRE-GY6831
    This course teaches students to use Matlab and GAMS.
    Prerequisites: Graduate Standing
    1.5 Credits Financial Software Engineering Laboratory FRE-GY6861
    This financial lab requires students to publicly participate in a large software project. This participation could take the form of contributing to an open-source financial software project with the contributions being accepted and committed to the main branch, or publishing a stand-alone library or package for a programming language commonly used in financial applications, or the development or updating of a brand-new industrial strength financial software application. As the students work on their project, this course will focus on important software engineering considerations specifically as they apply to the fast-paced world of financial projects, such as formalized procedures for revision control and bug tracking and other proven methods of software management in a fast-paced financial environment.
    Prerequisite: Graduate Standing
    1.5 Credits R in Finance FRE-GY6871
    This course introduces the free programming language R and its many applications to finance including risk management, portfolio construction, strategy development and testing, and trading and execution. Topics covered include financial time series analysis, advanced risk tools, applied econometrics, portfolio management, and derivatives valuation. Students will be required to write some code in R every week.
    Prerequisites: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123 and FRE-GY 6083
    3 Credits Financial Computing FRE-GY6883
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.
    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.

    *Please note: for FRE-GY 6883, 1.5 credits count as lab and 1.5 credits as elective.

    Watch the video to learn more about the Insurance Finance and Actuarial Science course:

    FRE 6051 Insurance Finance and Actuarial Science - Professor Charles Tapiero

    NOTE: All students must fulfill a lab requirement. Please see the curriculum page for more details.