FRE Course Listings

The following is a list of every available FRE (graduate) and FIN (undergraduate) course. In planning your future selections, note that most courses are offered every semester*, but some are Fall-only and others are Spring-only. This page has been reorganized to reflect this, which will help you plan your schedules better. Please select the course name and title for additional information about the courses we offer.

You can also download sample syllabi, which can be found below each course name and title.

*Check the course schedule in Albert to verify which courses are being offered in the semester you are registering for.

FRE Bootcamp I FRE-GY 5010

This summer bootcamp online experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.

FRE Bootcamp II FRE-GY 5020

This summer bootcamp online experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.

FRE Bootcamp III -- From Brain Teasers to Black-scholes FRE-GY 5030

This summer bootcamp experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the department. Corequisites: FRE-GY 5040

FRE Bootcamp IV - Econometrics and Machine Learning With Python FRE-GY 5040

This summer bootcamp experience for the incoming MS Financial Engineering cohort prepares students for coursework in Financial Engineering and for summer internship interviews.
Prerequisite: Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the department. Corequisites: FRE-GY 5030

Download the FRE Pre-Program Bootcamp Curricula

Bloomberg Certification FRE-GY 5500

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 Assessment FRE-GY 5990

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 7021 (taken two times for a total of 3 credits) or FRE-GY 7043 or two special topics courses of 1.5 credits each, with a capstone papers submitted to the faculty.

⤓ FRE-GY5990 syllabus (Agnes Tourin)

3 Credits Financial Economics FRE-GY 6023

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

⤓ FRE-GY6023 syllabus (Barry Blecherman)

⤓ FRE-GY6023 syllabus (Unurjargal Nyambuu)

1.5 Credits Money, Banking and Financial Markets FRE-GY 6031

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

⤓ FRE-GY6031 syllabus (David C. Shimko)

1.5 Credits Insurance Finance and Actuarial Science FRE-GY 6051

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.

⤓ FRE-GY6051 syllabus (Brian R. Lessing)

3 Credits Introduction to Derivative Securities FRE-GY 6073

This course explains in detail various models and methods for pricing and hedging derivatives including: European, American, exotic options, swaps, and convertible bonds. Presentation is done using equity, interest rate, and volatility derivative products. A short introduction to computational methods necessary for pricing derivatives is provided.
Prerequisites: Matriculation into MS Financial Engineering or permission of the department.

⤓ FRE-GY6073 syllabus (Ron Slivka)

⤓ FRE-GY6073 syllabus (Leon Tatevossian)

3 Credits Quantitative Methods in Finance FRE-GY 6083

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

⤓ FRE-GY6083 Section I syllabus (Mirela Ivan)

⤓ FRE-GY6083 syllabus (Agnes Tourin)

⤓ FRE-GY6083 syllabus (Daniel H Totouom-Tangho)

3 Credits Valuation for Financial Engineering FRE-GY 6103

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

⤓ FRE-GY6103 syllabus (David C. Shimko)

⤓ FRE-GY6103 syllabus (Brian R. Lessing)

⤓ FRE-GY6103 syllabus (Dan Gode)

1.5 Credits Investment Banking and Brokerage FRE-GY 6111

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

3 Credits Financial Risk Management FRE-GY 6123

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

⤓ FRE-GY6123 syllabus (James Adams)

⤓ FRE-GY6123 syllabus (Dan Rodriguez)

⤓ FRE-GY6123 syllabus (Jon Hill & Leon Tatevossian)

1.5 Credits Static and Dynamic Hedging FRE-GY 6141

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

⤓ FRE-GY6123 syllabus (Leon Tatevossian & Chris Perez)

3 Credits Foundations of Financial Technology FRE-GY 6153

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

⤓ FRE-GY6153 syllabus (Roy S. Freedman)

1.5 Credits Advanced Topics in Financial Technology FRE-GY 6191

This course complements the Foundations of Financial Technology by treating in-depth advanced topics in this rapidly changing field. Students prepare and present case studies applying the concepts covered in class.
Prerequisites: FRE-GY 6153.

⤓ FRE-GY6191: Visualization Lab syllabus (Francisco Rubio)

3 Credits Options Pricing & Stochastic Calculus FRE-GY 6233

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

⤓ FRE-GY6233 syllabus (Agnes Tourin)

⤓ FRE-GY6233 syllabus (Keith Lewis)

1.5 Credits Numerical & Simulation Techniques in Finance FRE-GY 6251

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

⤓ FRE-GY6251 syllabus (Edward Weinberger)

1.5 Credits Financial Risk Management and Optimization FRE-GY 6331

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.

⤓ FRE-GY6331 syllabus (Daniel H. Totouom-Tangho)

1.5 Credits Econometrics and Time Series Analysis FRE-GY 6351

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

⤓ FRE-GY6351 syllabus (David Rios)

1.5 Credits Corporate and Financial Strategy FRE-GY 6361

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.

⤓ FRE-GY6361 syllabus

1.5 Credits Mergers & Acquisitions FRE-GY 6391

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

⤓ FRE-GY6391 syllabus (Thomas Philips and George Varughese)

⤓ FRE-GY6391 syllabus (Vikram Kuriyan and George Varughese)

1.5 Credits Fixed Income Securities and Interest Rate Derivatives FRE-GY 6411

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

⤓ FRE-GY6411 syllabus (Sassan Alizadeh)

⤓ FRE-GY6411 syllabus (Steve Mandel)

1.5 Credits Credit Risk & Financial Risk Management FRE-GY 6491

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

⤓ FRE-GY6491 syllabus (Frederic Siboulet)

1.5 Credits Asset-backed Securities and Securitization FRE-GY 6571

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

⤓ FRE-GY6571 syllabus (Steve Mandel)

1.5 Credits Global Finance FRE-GY 6671

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

⤓ FRE-GY6671 syllabus (Unurjargal Nyambuu)

1.5 Credits Quantitative Portfolio Management FRE-GY 6711

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

⤓ FRE-GY6711 syllabus (Papa Momar Ndiaye)

3 Credits Advanced Investment Theory and Applications FRE-GY 6713

This course covers a wide range theoretical and practical issues that arise in the management of equity and fixed income portfolios, including the classical (Markowitz) foundations of mean-variance optimization, the use of constraints, risk budgeting, robust (outlier-resistant) optimization, tail risk aware optimization, the estimation of expected returns, and the measurement and monitoring of portfolio performance using ideas from statistical process control. It will also require the use of Bloomberg's PORT optimization tool to optimize, as well as to simulate the risk and return of, large portfolios.
Prerequisite: FRE-GY 6083, FRE-GY 6103 and Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department.

⤓ FRE-GY6713 syllabus (Papa Momar Ndiaye)

⤓ FRE-GY6713 syllabus (Thomas Philips)

3 Credits Financial Engineering (research Course) FRE-GY 6803

This course is a research/case effort and can be handled in different ways at the discretion of the faculty supervisor. The course may involve a series of cases that are dissected and analyzed. It may involve teaming students with industry personnel for proprietary or non-proprietary research projects. Or it may involve thesis-type research. Generally, students work under faculty supervision, but the course is intended to be largely self-directed within 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 chosen project.

1.5 Credits Computational Finance Laboratory FRE-GY 6831

The course introduces programming applications in financial modelling. Topics include variables, data types, input/output, plotting, selection statements, loop statements, functions, and classes, and implementation for Black-Scholes option pricing partial differential equation, Monte Carlo simulation, numerical methods for solving partial differential equations, and option pricing by Fourier transform.

⤓ FRE-GY6831 syllabus (Edward Weinberger)

1.5 Credits Financial Software Engineering Laboratory FRE-GY 6861

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

⤓ FRE-GY6861 syllabus (Serge Feldman)

1.5 Credits R in Finance FRE-GY 6871

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

⤓ FRE-GY6871: R in Finance syllabus (Jerzy Pawlowski)

⤓ FRE-GY6871: R Advanced Tools for Data Science syllabus (Jason Yarmish)

3 Credits Financial Computing FRE-GY 6883

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-GY6883 syllabus (Song Tang)

1.5 Credits Selected Topics in Financial Engineering FRE-GY 6901

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.

⤓ FRE-GY6901: Fixed Income Algorithmic Trading syllabus (Sudeep K. Lahiri)

1.5 Credits Financial Regulation FRE-GY 6911

The course provides an overview of the legal and institutional framework of regulations for capital markets, with a strong emphasis on the United States with some discussion of the financial regulation of banks, insurance firms and financial services in general. In addition, attention is given to regulation in global and emerging markets. The goal is to develop a practical understanding for application in business decision making. The course explores the interplay of regulation (both intended and unintended effects), risk management and the evolution of global modern banking. In light of current market developments, the course develops a critical perspective and discusses potential approaches to the structure of financial regulation.
Prerequisite: None. Co-requisite: None. Notes: None.

1.5 Credits Selected Topics in Financial Engineering FRE-GY 6921

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.

⤓ FRE-GY6921: Alternative Investments syllabus (Kosrow Dehnad)

1.5 Credits Selected Topics in Financial Engineering FRE-GY 6931

Prerequisite: Graduate Standing

⤓ FRE-GY6931: Cryptocurrencies syllabus (Agnes Tourin)

⤓ FRE-GY6931: Blockchain & Cryptocurrency (Richard Radnay)

1.5 Credits Sp Tpc in Applied Credit Derivatives & Securitization FRE-GY 6941

1.5 Credits Selected Topics in Financial Engineering FRE-GY 6951

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.

⤓ FRE-GY6951: GPU syllabus (Louis Scott)

⤓ FRE-GY6951: Sustainable Investments syllabus (Bruno Kamdem)

1.5 Credits Special Topics in Financial Engineering FRE-GY 6971

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

⤓ FRE-GY6971: Fixed Income Quantitative Trading syllabus (Edith Mandel)

1.5 Credits Special Topics in Financial Engineering FRE-GY 6981

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

⤓ FRE-GY6981: Fintech: Blockchain and Crypto syllabus (Frederic Siboulet)

1.5 Credits Special Topics in Financial Engineering FRE-GY 6991

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 and Graduate Standing

⤓ FRE-GY6991: Advanced Topics in Portfolio Management syllabus

3 Credits Financial Accounting and Analysis FRE-GY 7003

This course provides a solid understanding of the creation and interpretation of modern financial statements. Topics include the reasons for financial statements, U.S. accounting principles and how they differ abroad, quality of financial information, financial ratios and their uses, cash-flow analysis, measurement of corporate performance. The course will also cover various methods of forecasting statements and a discussion of valuation.
Prerequisite: Graduate Standing or permission of FRE department.

⤓ FRE-GY7003 syllabus (Ingrid Marshall)

1.5 Credits Financial Engineering Capstone: Internship FRE-GY 7021

In this course, the Career Development Office helps the student 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 after the student has successfully completed two Semesters and earned at least 18 credits. Prerequisites vary depending on the student's track, the nature of the internship and Graduate Standing.

⤓ FRE-GY7021 syllabus (Agnes Tourin)

3 Credits Financial Engineering Capstone: Project FRE-GY 7043

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 after the student has successfully completed two Semesters and has earned at least 18 credits. Prerequisites vary depending on the student's track, the nature of the project to be undertaken, and Graduate Standing.

⤓ FRE-GY7043 syllabus (Agnes Tourin)

⤓ FRE-GY7043 syllabus (Ron Slivka)

1.5 Credits Statistical Arbitrage FRE-GY 7121

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

⤓ FRE-GY7121 syllabus (Daniel H Totouom-Tangho)

1.5 Credits Algorithmic Portfolio Management FRE-GY 7241

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

⤓ FRE-GY7241 syllabus (Jerzy Pawlowski)

1.5 Credits Algorithmic Trading & High-frequency Finance FRE-GY 7251

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 Graduate Standing

⤓ FRE-GY7251 syllabus (Roy S. Freedman)

⤓ FRE-GY7251 syllabus (Alec Schmidt)

3 Credits Data Science for Financial Engineering FRE-GY 7703

This is an on-line quantitative course especially geared toward Master of Science in Financial Engineering students. The course covers the statistical tools needed to model and estimate the joint dynamics of markets.
Included are:
- topics in multivariate statistics that are relevant for risk management and portfolio management
- machine learning models as generalizations of linear factor models, omnipresent across finance
- the connection between the estimation/calibration of machine learning models and classical and Bayesian econometrics
- backtesting and model/estimation risk in the context of decision theory
- distributional stress-testing for risk management and portfolio/business construction for portfolio management. The final exam may be administered on-line or in-person.
Prerequisite: Matriculation into MS Financial Engineering or permission of FRE department

3 Credits Machine Learning in Financial Engineering FRE-GY 7773

This course covers the theory of Machine Learning and its fundamental applications in the field of Financial Engineering. Supervised, unsupervised, and reinforcement learning paradigms are discussed.
Prerequisites: Matriculation into MS Financial Engineering or permission of the FRE department

⤓ FRE-GY7773 syllabus (Ken Perry)

⤓ FRE-GY7773 syllabus (Rajesh Tembarai Krishnamachari)

⤓ FRE-GY7773 syllabus (Sebastien Donadio)

⤓ FRE-GY7773 syllabus (Sandeep Jain)

⤓ FRE-GY7773 syllabus (Derek Snow)

⤓ FRE-GY7773 syllabus (Amine Mohamed Aboussalah)

1.5 Credits Topics in Finance and Financial Markets I FRE-GY 7801

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

⤓ FRE-GY7801: Model Risk Management – A Case Study Based Approach syllabus (Naresh Malhotra)

1.5 Credits Topics in Finance and Financial Markets 2 FRE-GY 7811

The course analyzes and discusses current topics of particular importance in finance and risk engineering. Selected topics are emphasized and provide focus for further study. Examples can include Behavioral Finance, Personal Finance, Investment Theories and Alternative Finance, Corporate and Financial Responsibility, Financial Ethics, Hedge Funds Investment Strategies and their Management and macro hedge funds management, among others.
Prerequisites: Graduate standing and instructor's permission.

⤓ FRE-GY7811: Practical Introduction to Quantitative Equity Trading syllabus (Enest Baver)

⤓ FRE-GY7811: Value Investing, a Modern Approach syllabus (Kosrow Dehnad)

1.5 Credits Topics in Risk Finance I FRE-GY 7821

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-GY 7831

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.

⤓ FRE-GY7831: Financial Analytics & Big Data syllabus (Song Tang)

1.5 Credits Topics in Risk Finance II FRE-GY 7841

Current and selected topics of particular importance in Actuarial Science and in the insurance- finance convergence are analyzed and discussed. Course topics may include Risk Engineering and the Insurance Business, Principles of Insurance Management in a Dynamic and Global Setting, Finance-insurance convergence.
Prerequisite: Advanced standing and instructor's permission.

⤓ FRE-GY7841: Risk Preference and Portfolio Selection syllabus (Ken Winston)

⤓ FRE-GY7841: Hedge Fund Strategies syllabus (James Conklin)

1.5 Credits Topics in Financial and Risk Engineering 2 FRE-GY 7851

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.

⤓ FRE-GY7851: Interest Rates Derivatives and Risk Management syllabus (Frederic Siboulet)

⤓ FRE-GY7851: Interest Rate Derivatives syllabus (Yanwen Shang)

⤓ FRE-GY7851: Real Estate Risk syllabus (Arka Bandyopadhyay)

1.5 Credits Topics in Financial Information Services and Technology FRE-GY 7871

Current topics of particular importance in financial information services and technology are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include, natural language processing, sentiment analysis, alternative data, advanced deep learning techniques, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY7871: Advanced Topics in Deep Learning (Ken Perry)

3 Credits Spec Topcs in Fin Engineering FRE-GY 9733

Current topics of particular importance in financial engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include machine learning with big data, fixed income securities, quantitative investing strategies, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY9733: Big Data in Financial Engineering syllabus (Tyler Ward and Ken Zhang)

3 Credits Spec Topcs in Risk Management FRE-GY 9743

Current topics of particular importance in risk management are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include climate change risk, event driven finance, mathematics of machine learning, Markov chains, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY9743: Markov Processes in Finance syllabus (Kevin Atteson)

⤓ FRE-GY9743: Mathematics for Machine Learning syllabus (Kevin Atteson)

⤓ FRE-GY9743: Climate Change Risk syllabus (Naresh Malhotra)

3 Credits MS Thesis in Finance & Risk Engineering FRE-GY 9973

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.

The following courses are only available during the Fall semesters. 

 

1.5 Credits Market Risk Management and Regulation FRE-GY 6731

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.

⤓ FRE-GY6731 syllabus (Victor Makarov)

1.5 Credits Financial Software Laboratory FRE-GY 6811

This course teaches students to use financial software tools commonly employed in industry. Examples include: @Risk, Yieldbook, Excel, R, and C++.
Prerequisites: Graduate Standing

⤓ FRE-GY6811 C++ Financial Software Laboratory syllabus (Jason Yarmish)

⤓ FRE-GY6811 syllabus (Sateesh Mane)

⤓ FRE-GY6981: Derivatives Structuring and Financing (Kosrow Dehnad)

1.5 Credits Special Topics in Financial Engineering FRE-GY 6991

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 and Graduate Standing

⤓ FRE-GY6991: Asset Allocation, A Strategic & Tactical Approach syllabus (Kosrow Dehnad & Khosrow Mehrzad)

1.5 Credits News Analytics & Strategies FRE-GY 7261

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

⤓ FRE-GY7261 syllabus (Kosrow Dehnad)

⤓ FRE-GY7261 syllabus (Roy S. Freedman)

1.5 Credits Topics in Risk Finance II FRE-GY 7841

Current and selected topics of particular importance in Actuarial Science and in the insurance- finance convergence are analyzed and discussed. Course topics may include Risk Engineering and the Insurance Business, Principles of Insurance Management in a Dynamic and Global Setting, Finance-insurance convergence.
Prerequisite: Advanced standing and instructor's permission.

⤓ FRE-GY7841: Quantitative Risk and Portfolio Management syllabus (Ken Winston)

1.5 Credits Topics in Financial and Risk Engineering 2 FRE-GY 7851

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.

⤓ FRE-GY7851: Model Risk Management and Governance syllabus (Jon R. Hill)

1.5 Credits Topics in Financial Information Services and Technology FRE-GY 7871

Current topics of particular importance in financial information services and technology are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include, natural language processing, sentiment analysis, alternative data, advanced deep learning techniques, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY7871: NLP and the Investment Process syllabus (Dan Rodriguez)

3 Credits Special Topics in Asset Pricing FRE-GY 9713

Current topics of particular importance in asset pricing are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include, financial modeling, financial statement analysis, portfolio optimization with dynamic programming, market microstructure, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY9713: Financial Statements: Modeling and Analytics syllabus (Dan Gode)

⤓ FRE-GY9713: Active Portfolio Management syllabus (Gordon Ritter and Jerome Benveniste)

3 Credits Spec Topcs in Fin Engineering FRE-GY 9733

Current topics of particular importance in financial engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include machine learning with big data, fixed income securities, quantitative investing strategies, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY9733: Derivatives Structuring and Financing syllabus (Kosrow Dehnad)

1.5 Credits Financial Econometrics FRE-GY 6091

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.

⤓ FRE-GY6091 syllabus (David Rios)

1.5 Credits Clearing and Settlement and Operational Risk FRE-GY 6131

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

⤓ FRE-GY6131 syllabus (Roy S. Freedman)

3 Credits Corporate Valuation: From Startups to Giants FRE-GY 6273

This course provides students with the analytical skills needed to value firms ranging from early-stage startups to mature giants. Students will build and present a valuation model for a mature company of their choice, and will also present their valuation of a startup to its venture backers and its management team. Additionally, students will learn to value non-business related assets, such as vintage wines and residential real estate, by applying big-data techniques and robust econometric models to non-economic data.
Prerequisites: FRE-GY 6103 and FRE-GY 6003

⤓ FRE-GY6273 syllabus (Thomas Philips)

1.5 Credits Forensic Financial Technology and Regulatory Systems FRE-GY 7211

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

⤓ FRE-GY7211 syllabus (Roy S. Freedman)

1.5 Credits Topics in Finance and Financial Markets I FRE-GY 7801

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

⤓ FRE-GY7801: Real-Time Trading Risk Management syllabus (Naresh Malhotra)

1.5 Credits Topics in Financial and Risk Engineering I FRE-GY 7831

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.

⤓ FRE-GY7831: Modern Equity Trading Strategies syllabus (Alec Schmidt)

1.5 Credits Topics in Financial Information Services and Technology FRE-GY 7871

Current topics of particular importance in financial information services and technology are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include, natural language processing, sentiment analysis, alternative data, advanced deep learning techniques, and others.
Prerequisites: Graduate Standing and instructor's permission.

⤓ FRE-GY7871: Advanced Machine Learning in Finance syllabus (Tore Opsahl)

3 Credits Economic Foundations of Finance FIN-UY 2003

This course focuses on the fundamental economic concepts underpinning modern financial theory. Material includes consumer behavior; utility theory; analysis of production and costs; competitive markets; monopolistic and monopsonistic markets; time value of money; game theoretic analysis of oligopoly; asymmetric information in markets; externalities; market efficiency and more. The calculus is used to develop these concepts.
Prerequisites: MA-UY 1124 or MA-UY 1154 or MA-UY 1424 and Sophomore Standing or higher. This course fulfills 3 credits of Tandon HuSS elective requirements.

⤓ FIN-UY2003 syllabus (Unurjargal Nyambuu)

⤓ FIN-UY2003 syllabus (Barry Blecherman)

3 Credits Creating and Understanding Financial Statements FIN-UY 2103

This course provides a solid understanding of the creation and interpretation of modern financial statements. Topics include the compelling reasons for financial statements, Sarbanes-Oxley, U.S. accounting principles and how they differ abroad, quality of financial information, financial ratios and their uses, cash-flow analysis, measurement of corporate performance, credit analysis and introduction to managing financial risk.
Prerequisites: MA-UY 1124 or MA-UY 1154 or MA-UY 1424 and Sophomore Standing or higher. Anti-requisite: MG-UY 2204, ACCT-UB 1, ACCT-UB 3 or ACCT-UB 4.

⤓ FIN-UY2003 syllabus (Ingrid Marshall)

3 Credits Corporate Finance and Financial Markets FIN-UY 2203

This course covers the fundamentals of corporate finance, valuation, risk, capital budgeting and market efficiency. Students who complete this class acquire a solid foundation needed for intermediate and advanced topics in finance. This class is a prerequisite for all FIN classes at the 3000 level.
Prerequisites: MA-UY 2054 or MA-UY 2212 (or MA-UY 2224) or MA-UY 2233 or MA-UY 3014 or MA-UY 3514, 8 credits of calculus, and Sophomore Standing or higher.

⤓ FIN-UY2203 syllabus (Bruno Kamdem)

⤓ FIN-UY2203 syllabus (Unurjargal Nyambuu)

3 Credits Financial Management and Risk Engineering FIN-UY 3213

The course introduces the elements and techniques of risk engineering spanning the following: Probabilities and their distributions and data analysis and statistics as well as Monte Carlo simulation. Throughout, these techniques are demonstrated through special problems and cases providing the necessary tools and concepts for dealing with major problems in risk engineering, decision-making under uncertainty, and financial management and pricing. The course is based on multiple sessions in a Financial Laboratory environment, using computational-risk software, statistical and financial econometric software, and simulation programs and software.
Prerequisite: FIN-UY 2203. Co-Registration Requirements: FIN-UY 2003, FIN-UY 2103.

3 Credits Derivatives and the Options Market FIN-UY 3233

This course builds on mathematical models of bond and stock prices and covers two major areas of mathematical finance with significant impact on operating-model financial markets, namely, Black-Scholes arbitrage pricing of options, and other derivative securities and interest rates together with their term structure. The course makes significant use of probability and calculus, covering the material in a mathematically rigorous and complete manner.
Prerequisite: FIN-UY 2203. Co-Registration Requirements: FIN-UY 2003, FIN-UY 2103.

⤓ FIN-UY3233 syllabus (Leon Tatevossian)

3 Credits Entrepreneurship and Financial Management FIN-UY 3403

This course introduces the finance of entrepreneurship and venture capital. It considers the perspectives of the start-up firm and the venture capitalist and develops a framework for understanding the laws, contracts and issues involved in reaching mutually profitable contracts.
Prerequisites: FIN 2203.

⤓ FIN-UY3403 syllabus (Leon Tatevossian)

3 Credits Financial Risk Modeling & Analytics FIN-UY 3503

This course focuses on how to optimize business strategies, qualitatively and quantitatively with respect to financial risk. Financial risk can be thought of in two pieces: Operational Risk is cost-side risk and Sales Risk is revenue-side risk. The course is organized around the principle that risk analysis consists, in part, of data collection and the building of mathematical models to describe the risk of failures in human resources, processes and technology. Beginning with a foundation for financial risk modeling and a focus on the modeling process, the course discusses probabilistic tools for risk modeling and statistical methods to calibrate models of risk. The quantitative assessment of risk uses the tools of probability, statistics and actuarial science.
Prerequisite: FIN 2203. Co-Registration Requirements: FIN 2003, FIN 2103.

⤓ FIN-UY3503 syllabus (Arka Bandyopadhyay)

3 Credits Special Topics in Finance and Risk Engineering FIN-UY 4903

The course considers unique topics of interest in Finance and Risk Engineering. It may feature a detailed look at a single topic or a series of focused topical presentations.
Prerequisite: FIN 2003, FIN 2103, and FIN 2203, or Permission of Department or Instructor.

⤓ FIN-UY4903 Invest Banking/Private Equity syllabus (Ashish Kohli)

⤓ FIN-UY4903: Financial Risk Pricing and Risk Management syllabus (Mirela Ivan)

⤓ FIN-UY4903: Blockchain and Cryptocurrency (Ann Malavet)

⤓ FIN-UY4903: Machine Learning in Financial Engineering (Derek Snow)

⤓ FIN-UY4903: Climate Risk (Maercus Cree)