wustl的那个program是一个非常全面的program，所以基本以后你想做equity research corporate finance investment banking risk management等等各个方向都可以。就是因为是一个全面的msf，里面包含不少一般mfe的课程。以下这几门课基本就是FE的必修课：
FIN 539 Mathematical Finance This course focuses on continuous-time derivative pricing and optimal security trading. Students will learn how to derive partial differential equations and pricing formulas for various derivative securities, including options with stochastic volatility, options with jump diffusion, and American-style options. Students will also learn how to solve optimal portfolio selection problems with or without portfolio constraints through both the Hamilton-Jacob-Bellman equation approach and the martingale approach.
FIN 538 Stochastic Foundations for Finance The primary focus is on stochastic processes and stochastic calculus theory. Topics to be covered include: general probability theory; Brownian motion and diffusion processes; martingales; stochastic calculus including Ito's lemma; and jump processes. Applications of these tools will appear in follow-on courses.
537 Advanced Derivative Securities This course focuses on implementation of models for pricing and hedging derivative securities in the equity, currency, and fixed-income markets. Students will learn to write programs in a programming environment such as MATLAB to implement the Black-Scholes model, binomial models, Monte-Carlo methods and finite-difference methods. The derivatives studied will include exotic equity and currency derivatives and caps, floors and swaptions. The goals of the course are to learn more about the various instruments that are traded, the various assumptions and methods that may be chosen in modeling them, and the importance of the assumptions in determining the prices and hedges that are chosen. The course will be especially useful to students pursuing careers in sales and trading who will interact with research departments and students pursuing careers in asset management. Prerequisites: FIN 524 and 524B. 3 Credits.
FIN 552 Fixed Income Derivatives This course builds on the materials developed in Fin 537, Advanced Derivative Securities. Here we will cover market-model pricing of LIBOR caps and floors, swap market model pricing of swaptions, Hull-White and Heath-Jarrow-and-Morton models, and the LIBOR market model for pricing swap derivatives via Monte Carlo techniques. We will also consider how to use these models to price various types of exotic interest rate derivatives commonly seen in practice.
FIN 550 Numerical Methods & Optimization in Finance This course develops numerical methods and optimization techniques to solve financial problems. The course covers a variety of numerical methods and optimization techniques for both linear and non-linear problems. Among the optimization methods covered include: linear and non-linear optimization, integer programming, stochastic programming, dynamic optimization, and robust optimization. The numerical methods will primarily concentrate on finite difference schemes for partial differential equations as frequently encountered in financial applications.
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发表于 2008-10-12 16:17:00
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