wpi 2014 fall fm专业群+项目的一些信息

lkq1234

已经快4.15了。。很多小伙伴要做决定了吧
lz拿到wpi fm 金融数学的录取已经很久了
但是这个项目很小 也没太多的公开信息
lz通过向高年级学长学姐提问的方式搜集了很多信息，包括：
课程设计、师资力量、教学质量、就业情况、读研花费等等
希望其他拿到fm录取的小伙伴们能够一起加入群中，大家一起讨论
一直在寻找2014 wpi fm的群 但是一直没有 那么我来建一个吧
群号：316073762

就业情况：
波士顿还是有许多金融公司的，毕竟波士顿还是有交易所的
学校的career fair都是cs类的工作 找到纯quant的工作一般没有吧 大部分都是cs类和统计类的岗位  做程序员或者数据处理很多学长学姐觉得做国内金融数学的发展更好的发展 所以挺多人自愿回国的

费用的问题：
学费的话 $1,281 per credit hour  大概30学分
具体参见这里：http://www.wpi.edu/admissions/graduate/financing.html
伙食的话一天20刀差不多了 如果自己做的话便宜一点
住宿条件大概是400-600刀一个月
然后算上燃气费可能要50-100刀一个月


关于conditional ad：
我想没有学过实变函数的同学们一般都是conditional ad
会要求你学完实变函数或者实分析才会变成正式ad
如果能够在国内修掉那肯定最好 如果不行的话 可以去美国之后再学
好像不会要求所有人都必须学课程 会有一个考试 如果通过考试就不用学了
不过考试好像很难的样子～～

地理位置：
到波士顿1-2小时 应该还算不错 相比于一些位置偏远的学校来说 波士顿地区也有一些金融类的公司 当然没有纽约和芝加哥那么多


师资力量：
数院的各位老师：
http://www.wpi.edu/academics/math/focus-areas.html
主要是这四位老师：
http://www.wpi.edu/academics/facultydir/1mb.html
http://www.wpi.edu/academics/facultydir/mb1.html
http://www.wpi.edu/academics/facultydir/ss7.html
http://www.wpi.edu/academics/math/dv.html
13届的学姐update 相比与12届 13届的师资力量有所提升 从老师的背景不难看出 老师还是挺有货的
13届的学姐反馈 老师们教授的课程还是非常有深度的 想要学真材实料的小伙伴可以考虑



课程设置：
5门核心课程+2门数院选修课程+2门其他学院选修课程+1一个project


核心课程的介绍：
一般建议 统计+计算机 选课组合
或者 统计+金融类
MA 571. FINANCIAL MATHEMATICS I
This course provides an introduction to many of the central concepts in mathematical finance. The focus of the course is on arbitrage-based pricing of derivative securities. Topics include stochastic calculus, securities markets, arbitrage-based pricing of options and their uses for hedging and risk management, forward and futures contracts, European options, American options, exotic options, binomial stock price models, the Black-Scholes- Merton partial differential equation, risk-neutral option pricing, the fundamental theorems of asset pricing, sensitivity measures (?Greeks?), and Merton?s credit risk model. (Prerequisite: MA 540, which can be taken concurrently.)

MA 572. FINANCIAL MATHEMATICS II
The course is devoted to the mathematics of fixed income securities and to the financial instruments and methods used to manage interest rate risk. The first topics covered are the term-structure of interest rates, bonds, futures, interest rate swaps and their uses as investment or hedging tools and in asset-liability management. The second part of the course is devoted to dynamic term-structure models, including risk-neutral interest rate trees, the Heath-Jarrow-Morton model, Libor market models, and forward measures. Applications of these models are also covered, including the pricing of non-linear interest rate derivatives such as caps, floors, collars, swaptions and the dynamic hedging of interest rate risk. The course concludes with the coverage of mortgage-backed and asset backed securities. (Prerequisite: MA 571.)

MA 573. COMPUTATIONAL METHODS OF FINANCIAL MATHEMATICS
Most realistic quantitative finance models are too complex to allow explicit analytic solutions and are solved by numerical computational methods. The first part of the course covers the application of finite difference methods to the partial differential equations and interest rate models arising in finance. Topics included are explicit, implicit and Crank-Nicholson finite difference schemes for fixed and free boundary value problems, their convergence and stability. The second part of the course covers Monte Carlo simulation methods, including random number generation, variance reduction techniques and the use of low discrepancy sequences. (Prerequisites: MA 571 and programming skills at the level of MA 579, which can be taken concurrently.)

MA 574. PORTFOLIO VALUATION AND RISK MANAGEMENT
Balancing financial risks vs returns by the use of asset diversification is one of the fundamental tasks of quantitative financial management. This course is devoted to the use of mathematical optimization and statistics to allocate assets, to construct and manage portfolios and to measure and manage the resulting risks. The fist part of the course covers Markowitz?s mean-variance optimization and efficient frontiers, Sharpe?s single index and capital asset pricing models, arbitrage pricing theory, structural and statistical multi-factor models, risk allocation and risk budgeting. The second part of the course is devoted to the intertwining of optimization and statistical methodologies in modern portfolio management, including resampled efficiency, robust and Bayesian statistical methods, the Black-Litterman model and robust portfolio optimization.

MA 575. MARKET AND CREDIT RISK MODELS AND MANAGEMENT
The objective of the course is to familiarize students with the most important quantitative models and methods used to measure and manage financial risk, with special emphasis on market and credit risk. The course starts with the introduction of metrics of risk such as volatility, value-at-risk and expected shortfall and with the fundamental quantitative techniques used in financial risk evaluation and management. The next section is devoted to market risk including volatility modeling, time series, non-normal heavy tailed phenomena and multivariate notions of co-dependence such as copulas, correlations and tail-dependence. The final section concentrates on credit risk including structural and dynamic models and default contagion and applies the mathematical tools to the valuation of default contingent claims including credit default swaps, structured credit portfolios and collateralized debt obligations. (Prerequisite: knowledge of MA 540 assumed but can be taken concurrently.)

前面两门课程说的主要是一些金融数学的原理  前面两门课有很多定理和证明
后面三门是这些原理的实务应用  后面三门课还是会有很多实践的机会的

生源情况：
班级人数在30人左右吧
中国学生占了主导，大部分来自985 211，虽然没有最top的学校

pandaben

还没消息怎么办！

oldoldjiang

顶一个

lkq1234

update了课程设置 其他情况会慢慢更新上去的

marui112233

多谢分享

lkq1234

update了相关费用+conditional ad

珞湖

顶顶顶顶顶顶顶顶

joestemp

kkkkkkkkkkkkkkkkkkkkkk

lkq1234

update 师资力量+地理位置

蓝色的影子

感谢楼主分享