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The Courant Institute - New York University > Courant Institute
Class of 2014 Resume Book Mathematics in Finance M.S. Program Courant Institute of Mathematical Sciences New York University April 13, 2015 For the latest version, please go to http://math.nyu.edu/financial_mathematics Job placement contact: Michelle Shin, (212) 998-3009 [email protected] New York University A private university in the public service U Courant Institute of Mathematical Sciences Mathematics in Finance MS Program 251 Mercer Street New York, NY 10012-1185 Phone: (212) 998-3104; Fax: (212) 995-4195 Dear Colleague, Attached are the resumes of third semester students in the Courant Institute's Mathematics in Finance Master's Program. These are full-time students, who completed summer internships in the finance industry and graduated from our Master’s program in December 2014. We believe ours is the most elite, the most capable, and the best trained group of students of any program. This year, we admitted less than 7% of those who applied. Their resumes describe their distinguished backgrounds. For the past five years we have a placement record close to 100% both for summer internships and full-time positions. Our students enter into front office roles such as trading or risk management, on the buy and the sell side. Their computing and hands on practical experience make them useful and productive from day one. Our curriculum is dynamic and challenging. For example, the first semester investments class does not end with CAPM and APT, but is a serious data driven class that, for example, examines the statistical principles and practical pitfalls of covariance matrix estimation. During the second semester electives include a class on modern algorithmic trading strategies and one on energy and mortgage backed securities. Instructors are high level industry professionals and faculty from the Courant Institute, the top ranked department worldwide in applied mathematics. You can find more information about the curriculum and faculty at the end of this document, or at http://math.nyu.edu/financial_mathematics/. Sincerely yours, Peter Carr, Executive Director Jonathan Goodman, Chair Petter Kolm, Director Ziwei (Sylvia) Deng 1 River Court, Apt 606 ▪ Jersey City, NJ 07310 ▪ 347-282-3560 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) ● Finance: Portfolio Theory, CAPM, option pricing, Black-Scholes model, MBS ● Mathematics: Stochastic calculus, Brownian motion, Ito’s lemma, Monte Carlo simulation ● Future Courses: Time series analysis and statistical arbitrage, Bayesian statistics in finance UNIVERSITY OF TORONTO Toronto, Canada BSc (Honors) in Mathematics and Statistics, Minor in Economics (September 2009 – June 2013) ● Cumulative GPA: 3.92/4.0, Math GPA: 4.0/4.0; Dean’s List ● Honors: Coxeter Scholarship; C.L. Burton Scholarships; Graduated with High Distinction EXPERIENCE ATHENA CAPITAL RESEARCH New York, NY Summer Intern, Quantitative Research (May 2014 – August 2014) ● Investigated rolling intraday correlations of price moves using high-frequency data in Python Pandas and identified signals for trading strategy making ● Designed regression models to conduct PnL performance explanation using R and Python and discovered stylized factors that were significant to PnL changes ● Created automated programs in Python to generate PnL report of strategy performance CHINA CONSTRUCTION BANK Guangzhou, China Summer Intern, Investment Banking Department (July 2012 – August 2012) ● Established an innovative Gold/Foreign Exchange-linked structured product ● Collected and analyzed the gold price/exchange rate within recent 2 years ● Built up Yield Calculation Model and Risk Exposure Model of the structured product ROYAL BANK OF CANADA (RBC) Toronto, Canada Investment Advisor Assistant, Wealth Management Division (November 2011 – March 2012) ● Conducted 80-cold calls per day, introduced portfolio construction and investment reports service to high-net-worth clients ● Helped solve clients’ issues, promoted RBC wealth management products and services PROJECTS NEW YORK UNIVERSITY New York, NY Mortgage-Backed Securities Models (February 2014 – March 2014) ● Built MBS Pass-through model, solved for option adjusted spread (OAS) in Excel ● Created sequential structure with 4 tranches, and PAC structure with cash flows under different PSA in Excel Options Pricing and Order Book Trading Simulation Models (September 2013 – November 2013) ● Built Monte Carlo based simulation model for pricing European and Asian options in both Java and VBA ● Implemented exchange side of order book that supported different types of orders in Java UNIVERSITY OF TORONTO Toronto, Canada Stochastic Optimal Control in Pairs Trading (October 2012 – April 2013) ● Constructed stochastic optimal control model for pairs trading and solved the optimization problems ● Simulated sample paths of trading speeds, inventories and running wealth and analyzed their patterns with the changes in different parameters of the pairs trading model in Matlab COMPUTER SKILLS/OTHER Programming – Python (with Pandas, Numpy, Rpy2, Matplotlib, Datetime), Java, LINUX, MySQL, Matlab, R, SAS, Mathematica Languages – Cantonese (Native), Mandarin (Native), English (Fluent) RUIKUN HONG 465 Washington Blvd, Apt #2607S, Jersey City, NJ, 07310 ▪ (917)593-4986 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY .. New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) Derivative Securities: forward, futures and option pricing, Black-Scholes model Stochastic Calculus: Ito’s lemma, reflection principle, Girsanov’s theorem Computing in Finance: OOP, data structure, design pattern, order book simulation Risk & Portfolio Management: linear regression, CAPM, mean-variance optimization Interest Rates: change-of-numeraire technique, Vasicek model, Hull-White model ECOLE CENTRALE PARIS Paris, France Diplôme d’ingénieur (expected – January 2015) Relevant coursework: measure theory, martingale, statistical hypothesis testing UNIVERSITY OF PARIS-SUD (Paris XI ) BS in Fundamental and Applied Mathematics (June 2012) Orsay, France EXPERIENCE Cohen & Steers, Summer Intern in Quantitative Strategies Team (June 2014 – August 2014) Applied principal component analysis with orthogonal and oblique rotation methods to …..identify the risk factors and the risk exposure of portfolio Estimated the marginal risk contribution of each asset in the portfolio Applied VAR model to estimate the tracking error of portfolio on weekly and monthly basis Built the Excel interface using VBA to visualize the tracking error analysis PROJECTS Portfolio Optimization With Fixed Transaction Cost (November 2013) Applied Lagrange relaxation method to estimate the lower bound of objective function Implemented subgradient method in Python and optimized a non-convex problem Presented the project as a finalist of the Prize for Excellence at Morgan Stanley Stock Option Pricing with Monte Carlo Simulation(October 2013 – December 2013) Priced European and Asian options using Monte Carlo simulation with antithetic stock paths Implemented the simulation with middleware and multithreading approach separately Using GPU for Financial Analysis and Modeling (September 2012- June 2013) The GPU architecture and CUDA programming model Tested functions related to linear algebra in the CUBLAS, and LAPACKPP .library Implemented the K-means algorithm with CUDA and achieved the classification based on ......eigenvalues of the correlation matrices with S&P 100 COMPUTER SKILLS/OTHER Programming languages: Java, Python, R Languages: Chinese (native), French (fluent), English (fluent) Interests: basketball, piano, poker SHUO LI 40 Newport Parkway, Apt 2610 ▪ Jersey City, NJ 07310 ▪ (609) 423-5125 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – December 2014) Programming: Java programming for finance application including trading, research, hedging, and portfolio management Derivatives: Futures, forwards, options, interest rate swaps PRINCETON UNIVERSITY B.A. in Economics with Finance Certificate (2006-2010) Princeton, NJ EXPERIENCE JPMorgan Chase & Co. Summer Associate – Risk and Modeling Analytics (summer 2014) Developed non-linear models to capture quartile characteristics of individual fico scores to enhance default models’ predictions Used R to back-test fico score models from aggregating individual forecasts and confirmed its performance under stress scenarios such as financial crisis, in comparison with common industry practice of assuming no change on individual scores Applied SQL package in R for faster vectorized computation in large data set Extensively used ggplot2 package to enhance visual clearance of graphical presentations Compared different variable selection procedures and validated their stabilities under big but noisy data BOM Enterprise Sports Trader/Analyst (2010-2013) New York, NY Freehold, NJ Assisted in the management of a $5+ million fund and monitored the portfolio to minimize risk exposure and maximize potential gain Projected security movements and set price alerts in order to adjust holding positions during the trading period Created comprehensive investment strategies based on event simulations dependent on market pricing, agency rating, league, team and individual player’s historical performances Utilized multi-threading technique to increase data collection and post calculation speed Updated models and optimized trading algorithms using Python and VBA to enhance trading efficiency Executed trades daily, based on internal model estimation and real time volatilities COMPUTER SKILLS/OTHER Programming languages: R, JAVA, Python, MATLAB , VBA Other Software: Stata, Excel Languages: Mandarin (Native), English (Fluent) Lin Shi 444 Washington Blvd, Apt 4314 ▪ Jersey City, NJ 07310 ▪ (917) 708-0200 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) • Finance: Black-Scholes, Monte Carlo simulations, VaR, CAPM, portfolio optimization • Math: Linear regression and inference, Brownian motion • Computing in Java: object-oriented design, data structure NANJING UNIVERSITY BS in Physics and BEcon in International Finance (July 2011) Nanjing, China EXPERIENCE SOCIÉTÉ GÉNÉRALE CIB Hong Kong, HK Summer Intern, Global Markets (May 2014 – present) • FX Derivatives Trading: priced CNH options using Local Volatility model, implemented a specific interpolation method in both VBA and C# to build the CNH volatility surface; • Cross Asset Solutions: studied and understood various structured products, analyzed investment solution for inflation; provided a framework for hedging tail risk; • Equity Index Trading: back tested the profitability of the HSI and HSCEI trading strategy • CVA Trading: assisted traders in daily risk management tasks by building tools to automate routine tasks BANK OF CHINA Beijing, China Analyst, Global Market Division (Aug 2011 – Jan 2013) • Researched FX options pricing models and made localized modification for CNY options pricing methods • Monitored FX updates and conducted fundamental and technical analysis on FX markets • Prepared marketing materials and presented to corporate clients to promote FX products; assessed clients’ risk tolerance CHINA INTERNANTIONAL FUND MANAGEMENT CO.,LTD Beijing, China Intern, Sales Department (Jan 2009 – Feb 2009) • Implemented sales skills, identified potential clients, promoted stocks of China’s Growth Enterprise Markets (GEM), resulting in 40 new account openings PROJECTS RISK & PORTFOLIO MANAGEMENT IN MATLAB • Analyzed movements in the market variables using PCA; Conducted mean-variance optimization to construct optimal long-short equity portfolio MONTE CARLO SIMULATION • Priced European options and Asian options in JAVA by simulating continuous time process in a multi-threaded environment COMPUTER SKILLS/OTHER Programming Languages& Other Software: Python, JAVA, C#, MATLAB, VBA, SQL, MS Office Languages: Mandarin (native), English (fluent) HUACHEN SONG 465 Washington Blvd, Apt 2607S▪ Jersey City, NJ 07310 ▪ (917) 573-6472 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected – January 2015) Finance: Black-Scholes model, Greeks, interest-rate models, FX models, local volatility model, stochastic volatility model, VaR, Copula model, digital options, variance swaps Mathematics: stochastic calculus, backward and forward Kolmogorov equations, optimal control, jump diffusion processes, Dupire’s formula, linear regression Programming: object-oriented design, design patterns, finite difference method TSINGHUA UNIVERSITY Beijing, China BS in Mathematical Sciences (August 2009 - July 2013) Honors: Zhenggeru scholarship for academic excellence EXPERIENCE LINCOLN FINANCIAL GROUP Philadelphia, PA Quantitative Strategist Intern, Equity Risk Management Department (June-August, 2014) Constructed IR curve in C++, calculated convexity adjustments for futures in Hull-White model, implemented 4 different interpolations and n-dimensional Newton-Raphson method under polymorphism and template design, to provide discount factor for the pricing engine Acquired historical market data from Bloomberg in VBA, processed and loaded data into MySQL database, implemented similar automatic daily procedure in Perl for back testing Completed the Hedge Trading System design, implemented data transmission among MySQL database, spreadsheet, memory and XML file in C#, to provide the traders with an Excel plugin using C++ runtime library as the pricing engine for options, futures and swaps Performed C# code refactoring, implemented delegate and interface to generalize it, utilized data structure, range processing and LINQ to reduce runtime from 4 minutes to 2 minutes ZHONGSHAN SECURITIES Beijing, China Intern, Sales Department (July-August, 2012) Collaborated in a three-person team to analyze financial statements of four companies per day, presented report on company performance to entire sales department PROJECTS Option Pricing with Monte Carlo Simulation (October 2013) New York, NY Implemented Monte Carlo in Java to price arithmetic Asian option Interest Rate and Foreign Exchange Modeling (March-May 2014) New York, NY Implemented yield curve construction using CD, futures and interest rate swaps, computed the partial PV01s for interest rate swaps to provide hedging strategies Valuated the Libor in arrears swap and CMS considering convexity adjustment Calibrated the SABR model for FX options to construct the volatility curve, utilized eventweighting scheme to take weekend effects into consideration COMPUTER SKILLS/OTHER Programming languages: C++, Java, SQL, C#, Perl, XML, LINQ Other Software: Microsoft Word, Excel, PowerPoint, R, MATLAB, VBA, Python, Linux Languages: English (Fluent), Mandarin (Native) ZIQING (MICHAEL) TANG 255 Warren St., Apt. 806 • Jersey City, NJ 07302 • (201) 682-1469 • [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences Master of Science in Mathematics in Finance Dec 2014 Math & Finance: Itō calculus, Black-Scholes applications, quantitative trading strategies, portfolio optimization Computing: test-driven software development, distributed computing, multithreading Future coursework: Advanced Econometric Modeling and Big Data, Time Series Analysis and Statistical Arbitrage UNIVERSITY OF TORONTO Toronto, Canada B.A.Sc. in Engineering Science with Honors: Major in Engineering Mathematics, Statistics and Finance May 2013 Project: Optimal execution model (Almgren-Chriss), finite difference method for Black-Scholes PDE Relevant coursework: Financial Optimization Models, Financial Trading Strategies, System Software EXPERIENCE LINCOLN FINANCIAL GROUP Philadelphia, PA Summer Intern – Trading Strategy Jun 2014 – Aug 2014 Developed back-testing algorithms for hedging strategies and systematic trading signals to improve current hedging performance for Lincoln’s variable annuity (VA) guarantees Researched and replicated a market risk indicator that incorporates volatility information from equity, currency and credit markets, helping make better trading decisions on timing Performed ad-hoc tasks including automating the process of generating daily market dashboard from Bloomberg, vetting fund performance reports and existing fund mapping analysis in R SIGNAL TECHNOLOGIES, LLC New York, NY Spring Intern – Algorithmic Trading Jan 2014 – May 2014 Developed and optimized the back-testing framework of the firm’s proprietary algorithmic trading system in Python Back tested the trading strategy with two years of high frequency data to find the appropriate parameters for generating trading signals HYDRO ONE NETWORKS Toronto, Canada Student Intern – Asset Analytics Sept 2011 – Aug 2012 Developed tools and processes for rationalizing asset databases, supporting a corporate-wide asset analytics project that aims to achieve cost-effective maintenance practices Identified gaps in business process for updating database and implemented remedial actions, ensuring accuracy and completeness of corporate information PROJECT NEW YORK UNIVERSITY Option pricing in Java: Priced European and Asian options using Monte Carlo simulation with multithreading Algorithmic trading: Built market impact model with high frequency trades and quotes data Corporate bond trading strategy (in progress): Construct a dataset of relevant trading data for liquid U.S. corporate bonds, analyze and back test traditional bond trading strategies using empirical statistics and optimization techniques ADDITIONAL Programming/Software: C/C++, Java, MATLAB, Python, MS Excel (VBA), Bloomberg, Morningstar Direct, Capital IQ Languages: English (Fluent), Mandarin (Native) Certification: 2015 Level II Candidate in the CFA Program Investing: Canadian equity portfolio (+18.08%, Aug 2012 – May 2013) LAI WEI 280 Marin Blvd., Unit 12N ▪ Jersey City, NJ 07302 ▪ (929) 271-9389 ▪ [email protected] EDUCATION NEW YORK UNIVERSITY New York, NY The Courant Institute of Mathematical Sciences MS in Mathematics in Finance (expected - January 2015) Portfolio & Risk: statistical (PCA), explicit (Fama-French) & implicit (Barra) factor models, VaR, CVaR Derivatives: Black-Scholes model, energy derivatives, options pricing, Monte Carlo simulation, Greeks UNIVERSITY OF MICHIGAN Ann Arbor, MI MS in Electrical Engineering (April 2013) , GPA: 3.97/4.00 Fellowship: University of Michigan Departmental Fellowship (full tuition waiver and monthly stipend) BS in Electrical Engineering (January 2011), GPA: 3.85/4.00 Award: Summa Cum Laude (graduated with the highest honor) EXPERIENCE NOMURA HOLDINGS Hong Kong Quant Investment Strategies Summer Intern (June 2014 – August 2014) Designed a fund of 33 Taiwan funds for ING Group based on Sharpe ratio, Calmar ratio, correlation with risk parity portfolio, volatility control and market volatility/momentum-based risk filters in Matlab Augmented funds with shorter history using their corresponding USD funds as proxies after FX hedging Constructed a multi-asset portfolio of 15 ETFs by performing constrained principal component analysis; assigned weights based on factor exposure to the principal components and ranking of past dividend paid Built a data acquisition framework to get data from Oracle Database and Bloomberg by Python and SQL Replicated MSCI price and total return indices in Python with constituents data extracted from database Designed a VIX trading signal involving Economic Policy Uncertainty Index, TED spread, PMI, and etc. FOUNDER SECURITIES Beijing, China Quantitative Strategy Summer Intern (July 2013 – August 2013) Implemented a strategy using idiosyncratic volatility derived from the Fama-French three-factor model Backtested 8 years of data from the China Stock Market; on average, the portfolio of stocks with the lowest idiosyncratic volatility outperformed that with the highest by 13% annually Programmed in Matlab to evaluate monthly idiosyncratic volatility to guide the rebalancing of portfolios Monitored portfolio risk by calculating 1-month 99% VaR through historical simulation of 4-year data CREDIT SUISSE FOUNDER SECURITIES (JOINT VENTURE) Beijing, China Corporate Finance Summer Analyst (May 2013 – June 2013) Analyzed price trends and production data for different kinds of cargo ships to guide the issuance of stock for China Shipbuilding Industry Corporation PROJECTS Trading and Pricing Simulation Framework in Java and Matlab (2013 - 2014) Established Monte Carlo simulations to price European and Asian options with specified stopping criteria Implemented order book programs for stock exchange dealing with FOK, IOC and ordinary limit orders Priced a spread option between PJM peak power and Henry Hub natural gas contracts in Matlab Portfolio Management in Matlab (Fall 2013) Constructed optimal long-short equity portfolios by mean-variance optimization and CAPM COMPUTER SKILLS Matlab, Java, Python, SQL, Bloomberg, FactSet, Excel, VBA, Linux The Mathematics in Finance Masters Program Courant Institute, New York University Academic Year 2013-2014 The curriculum has four main components: 1. Financial Theory and Econometrics. These courses form the theoretical core of the program, covering topics ranging from equilibrium theory to Black-Scholes to Heath-JarrowMorton. 2. Practical Financial Applications. These classes are taught by industry specialists from prominent New York financial firms. They emphasize the practical aspects of financial mathematics, drawing on the instructor’s experience and expertise. 3. Mathematical Tools. This component provides appropriate mathematical background in areas like stochastic calculus and partial differential equations. 4. Computational Skills. These classes provide students with a broad range of software skills, and facility with computational methods such as optimization, Monte Carlo simulation, and the numerical solution of partial differential equations. First Semester Practical Financial Applications Financial Theory and Econometrics Derivative Securities ___ Risk & Portfolio Mgmt. with Econometrics Second Semester Third Semester Advanced Risk Management ___ Interest Rate and FX Models ___ Securitized Products and Energy Derivatives Fin. Eng. Models for Corp. Finance ___ Active Portfolio Management ___ Project and Presentation ___ Algorithmic Trading & Quant. Strategies ___ Time Series Analysis & Stat. Arbitrage Continuous Time Finance Mathematical Tools Stochastic Calculus Credit Markets and Models ___ Regulation & Regulatory Risk Models PDE for Finance Computational Skills Computing in Finance Scientific Computing for Finance Computational Methods for Finance ___ Advanced Econometric Modeling and Big Data Practical Training. In addition to coursework, the program emphasizes practical experience. All students do Masters Projects, mentored by finance professionals. Most full-time students do internships during the summer between their second and third semesters. See the program web page http://math.nyu.edu/financial_mathematics for additional information. MATHEMATICS IN FINANCE MS COURSES, 2014-2015 PRACTICAL FINANCIAL APPLICATIONS: MATH-GA 2752.001 ACTIVE PORTFOLIO MANAGEMENT Spring term: R. Lindsey Prerequisites: Risk & Portfolio Management with Econometrics, Computing in Finance. The first part of the course will cover the theoretical aspects of portfolio construction and optimization. The focus will be on advanced techniques in portfolio construction, addressing the extensions to traditional mean-variance optimization including robust optimization, dynamical programming and Bayesian choice. The second part of the course will focus on the econometric issues associated with portfolio optimization. Issues such as estimation of returns, covariance structure, predictability, and the necessary econometric techniques to succeed in portfolio management will be covered. Readings will be drawn from the literature and extensive class notes. MATH-GA 2753.001 ADVANCED RISK MANAGEMENT Spring term: K. Abbott Prerequisites: Derivative Securities, Computing in Finance or equivalent programming. The importance of financial risk management has been increasingly recognized over the last several years. This course gives a broad overview of the field, from the perspective of both a risk management department and of a trading desk manager, with an emphasis on the role of financial mathematics and modeling in quantifying risk. The course will discuss how key players such as regulators, risk managers, and senior managers interact with trading. Specific techniques for measuring and managing the risk of trading and investment positions will be discussed for positions in equities, credit, interest rates, foreign exchange, commodities, vanilla options, and exotic options. Students will be trained in developing risk sensitivity reports and using them to explain income, design static and dynamic hedges, and measure value-at-risk and stress tests. Students will create Monte Carlo simulations to determine hedge effectiveness. Extensive use will be made of examples drawn from real trading experience, with a particular emphasis on lessons to be learned from trading disasters. MATH-GA 2757.001 REGULATION AND REGULATORY RISK MODELS Fall term: K. Abbott and L. Andersen Prerequisites: Risk Management, Derivative Securities (or equivalent familiarity with market and credit risk models). The course is divided into two parts. The first addresses the institutional structure surrounding capital markets regulation. It will cover Basel (1, MRA, 2, 2.5, 3), Dodd-Frank, CCAR and model review. The second part covers the actual models used for the calculation of regulatory capital. These models include the Gaussian copula used for market risk, specific risk models, the Incremental Risk Calculation (single factor Vasicek), the Internal Models Method for credit, and the Comprehensive Risk Measure. MATH-GA 2796.001 SECURITIZED PRODUCTS AND ENERGY DERIVATIVES Spring term: G. Swindle and L. Tatevossian Prerequisites: basic bond mathematics and bond risk measures (duration and convexity); Derivative Securities, Stochastic Calculus. The first part of the course will cover the fundamentals and building blocks of understanding how mortgage-backed securities are priced and analyzed. The focus will be on prepayment and interest rate risks, benefits and risks associated with mortgage-backed structured bonds and mortgage derivatives. Credit risks of various types of mortgages will also be discussed. The second part of the course will focus on energy commodities and derivatives, from their basic fundamentals and valuation, to practical issues in managing structured energy portfolios. We develop a risk neutral valuation framework starting from basic GBM and extend this to more sophisticated multifactor models. These approaches are then used for the valuation of common, yet challenging, structures. Particular emphasis is placed on the potential pitfalls of modeling methods and the practical aspects of implementation in production trading platforms. We survey market mechanics and valuation of inventory options and delivery risk in the emissions markets. MATH-GA 2797.001 CREDIT MARKETS AND MODELS Fall term: V. Finkelstein Prerequisites: Computing for Finance, or equivalent programming skills; Derivative Securities, or equivalent familiarity with financial models; familiarity with analytical methods applied to Interest Rate derivatives. This course addresses a number of practical issues concerned with modeling, pricing and risk management of a range of fixed-income securities and structured products exposed to default risk. Emphasis is on developing intuition and practical skills in analyzing pricing and hedging problems. In particular, significant attention is devoted to credit derivatives. We begin with discussing default mechanism and its mathematical representation. Then we proceed to building risky discount curves from market prices and applying this analytics to pricing corporate bonds, asset swaps, and credit default swaps. Risk management of credit books will be addressed as well. We will next examine pricing and hedging of options on assets exposed to default risk. After that, we will discuss structural (Merton-style) models that connect corporate debt and equity through the firm’s total asset value. Applications of this approach include the estimation of default probability and credit spread from equity prices and effective hedging of credit curve exposures. A final segment of the course will focus on credit structured products. We start with cross-currency swaps with a credit overlay. We will next analyze models for pricing portfolio transactions using Merton-style approach. We also will discuss portfolio loss model based on a transition matrix approach. These models will then be applied to the pricing of collateralized debt obligation tranches and pricing counterparty credit risk taking wrong-way exposure into account. MATH-GA 2798.001 INTEREST RATE AND FX MODELS Spring term: L. Andersen and A. Gunstensen Prerequisites: Derivative Securities, Stochastic Calculus, and Computing in Finance (or equivalent familiarity with financial models, stochastic methods, and computing skills). The course is divided into two parts. The first addresses the fixed-income models most frequently used in the finance industry, and their applications to the pricing and hedging of interest-based derivatives. The second part covers the foreign exchange derivatives markets, with a focus on vanilla options and first-generation (flow) exotics. Throughout both parts, the emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of widely-used derivative instruments. FINANCIAL THEORY AND ECONOMETRICS: MATH-GA 2707.001 TIME SERIES ANALYSIS AND STATISTICAL ARBITRAGE Fall term: F. Asl and R. Reider Prerequisites: Derivative Securities, Scientific Computing, and familiarity with basic probability. The term "statistical arbitrage" covers any trading strategy that uses statistical tools and time series analysis to identify approximate arbitrage opportunities while evaluating the risks inherent in the trades (considering the transaction costs and other practical aspects). This course starts with a review of Time Series models and addresses econometric aspects of financial markets such as volatility and correlation models. We will review several stochastic volatility models and their estimation and calibration techniques as well as their applications in volatility based trading strategies. We will then focus on statistical arbitrage trading strategies based on cointegration, and review pairs trading strategies. We will present several key concepts of market microstructure, including models of market impact, which will be discussed in the context of developing strategies for optimal execution. We will also present practical constraints in trading strategies and further practical issues in simulation techniques. Finally, we will review several algorithmic trading strategies frequently used by practitioners. MATH-GA 2708.001 ALGORITHMIC TRADING AND QUANTITATIVE STRATEGIES Spring term: P. Kolm and L. Maclin Prerequisites: Computing in Finance, and Capital Markets and Portfolio Theory, or equivalent. In this course we develop a quantitative investment and trading framework. In the first part of the course, we study the mechanics of trading in the financial markets, some typical trading strategies, and how to work with and model high frequency data. Then we turn to transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies. In the last part of the course, we focus on simulation techniques, back-testing strategies, and performance measurement. We use advanced econometric tools and model risk mitigation techniques throughout the course. Handouts and/or references will be provided on each topic. MATH-GA 2751.001 RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS Fall term: P. Kolm. Spring term: M. Avellaneda Prerequisites: univariate statistics, multivariate calculus, linear algebra, and basic computing (e.g. familiarity with Matlab or co-registration in Computing in Finance). A comprehensive introduction to the theory and practice of portfolio management, the central component of which is risk management. Econometric techniques are surveyed and applied to these disciplines. Topics covered include: factor and principal-component models, CAPM, dynamic asset pricing models, Black-Litterman, forecasting techniques and pitfalls, volatility modeling, regimeswitching models, and many facets of risk management, both theory and practice. MATH-GA 2755.001 PROJECT AND PRESENTATION Fall term and spring term: P. Kolm Students in the Mathematics in Finance program conduct research projects individually or in small groups under the supervision of finance professionals. The course culminates in oral and written presentations of the research results. MATH-GA 2791.001 DERIVATIVE SECURITIES Fall term: M. Avellanda. Spring term: B. Flesaker An introduction to arbitrage-based pricing of derivative securities. Topics include: arbitrage; risk-neutral valuation; the log-normal hypothesis; binomial trees; the Black-Scholes formula and applications; the Black-Scholes partial differential equation; American options; one-factor interest rate models; swaps, caps, floors, swaptions, and other interest-based derivatives; credit risk and credit derivatives. MATH-GA 2792.001 CONTINUOUS TIME FINANCE Fall term: P. Carr and A. Javaheri. Spring term: B. Dupire and F. Mercurio Prerequisites: Derivative Securities and Stochastic Calculus, or equivalent. A second course in arbitrage-based pricing of derivative securities. The Black-Scholes model and its generalizations: equivalent martingale measures; the martingale representation theorem; the market price of risk; applications including change of numeraire and the analysis of quantos. Interest rate models: the Heath-Jarrow-Morton approach and its relation to shortrate models; applications including mortgage-backed securities. The volatility smile/skew and approaches to accounting for it: underlyings with jumps, local volatility models, and stochastic volatility models. MATHEMATICAL TOOLS: MATH-GA 2706.001 PDE FOR FINANCE Spring term: R. Kohn Prerequisite: Stochastic Calculus or equivalent. An introduction to those aspects of partial differential equations and optimal control most relevant to finance. Linear parabolic PDE and their relations with stochastic differential equations: the forward and backward Kolmogorov equation, exit times, fundamental solutions, boundary value problems, maximum principle. Deterministic and stochastic optimal control: dynamic programming, HamiltonJacobi-Bellman equation, verification arguments, optimal stopping. Applications to finance, including portfolio optimization and option pricing -- are distributed throughout the course. MATH-GA 2902.001 STOCHASTIC CALCULUS Fall term: J. Goodman. Spring term: A. Kuptsov Prerequisite: Basic Probability or equivalent. Discrete dynamical models: Markov chains, one-dimensional and multidimensional trees, forward and backward difference equations, transition probabilities and conditional expectations. Continuous processes in continuous time: Brownian motion, Ito integral and Ito’s lemma, forward and backward partial differential equations for transition probabilities and conditional expectations, meaning and solution of Ito differential equations. Changes of measure on paths: Feynman-Kac formula, CameronMartin formula and Girsanov’s theorem. The relation between continuous and discrete models: convergence theorems and discrete approximations. COMPUTATIONAL SKILLS: MATH-GA 2041.001 COMPUTING IN FINANCE Fall term: E. Fishler and L. Maclin This course will introduce students to the software development process, including applications in financial asset trading, research, hedging, portfolio management, and risk management. Students will use the Java programming language to develop object-oriented software, and will focus on the most broadly important elements of programming - superior design, effective problem solving, and the proper use of data structures and algorithms. Students will work with market and historical data to run simulations and test strategies. The course is designed to give students a feel for the practical considerations of software development and deployment. Several key technologies and recent innovations in financial computing will be presented and discussed. MATH-GA 2044.001 SCIENTIFIC COMPUTING FOR FINANCE Spring term: H. Cheng and Y. Li Prerequisites: Risk and Portfolio Management with Econometrics, Derivative Securities, Computing in Finance. This is a version of the course Scientific Computing (MATH-GA 2043.001) designed for applications in quantitative finance. It covers software and algorithmic tools necessary to practical numerical calculation for modern quantitative finance. Specific material includes IEEE arithmetic, sources of error in scientific computing, numerical linear algebra (emphasizing PCA/SVD) and conditioning), interpolation and curve building with application to bootstrapping, optimization methods, Monte Carlo methods, and solution of differential equations. MATH-GA 2045.001 COMPUTATIONAL METHODS FOR FINANCE Fall term: A. Hirsa Prerequisites: Scientific Computing or Numerical Methods II, Continuous Time Finance, or permission of instructor. Computational techniques for solving mathematical problems arising in finance. Dynamic programming for decision problems involving Markov chains and stochastic games. Numerical solution of parabolic partial differential equations for option valuation and their relation to tree methods. Stochastic simulation, Monte Carlo, and path generation for stochastic differential equations, including variance reduction techniques, low discrepancy sequences, and sensitivity analysis. MATH-GA 2046.001 ADVANCED EONOMETRIC MODELING AND BIG DATA Fall term: G. Ritter Prerequisites: Derivative Securities, Risk & Portfolio Management with Econometrics, and Computing in Finance (or equivalent programming experience). A rigorous background in Bayesian statistics geared towards applications in finance, including decision theory and the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. A detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). Inference for classical time-series models, state estimation and parameter learning in Hidden Markov Models (HMMs) including the Kalman filter, the Baum-Welch algorithm and more generally, Bayesian networks and belief propagation. Solution techniques including Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field. Real world examples drawn from finance to include stochastic volatility models, portfolio optimization with transaction costs, risk models, and multivariate forecasting Computational Skills Computing in Finance Scientific Computing Computational Methods for Finance ___ Advanced Econometric Modeling and Big Data Practical Training. In addition to coursework, the program emphasizes practical experience. All students do Masters Projects, mentored by finance professionals. Most full-time students do internships during the summer between their second and third semesters. See the program web page http://math.nyu.edu/financial_mathematics for additional information. MATHEMATICS IN FINANCE MS COURSES, 2014-2015 PRACTICAL FINANCIAL APPLICATIONS: MATH-GA 2752.001 ACTIVE PORTFOLIO MANAGEMENT Spring term: R. Lindsey Prerequisites: Risk & Portfolio Management with Econometrics, Computing in Finance. The first part of the course will cover the theoretical aspects of portfolio construction and optimization. The focus will be on advanced techniques in portfolio construction, addressing the extensions to traditional mean-variance optimization including robust optimization, dynamical programming and Bayesian choice. The second part of the course will focus on the econometric issues associated with portfolio optimization. Issues such as estimation of returns, covariance structure, predictability, and the necessary econometric techniques to succeed in portfolio management will be covered. Readings will be drawn from the literature and extensive class notes. MATH-GA 2753.001 ADVANCED RISK MANAGEMENT Spring term: K. Abbott Prerequisites: Derivative Securities, Computing in Finance or equivalent programming. The importance of financial risk management has been increasingly recognized over the last several years. This course gives a broad overview of the field, from the perspective of both a risk management department and of a trading desk manager, with an emphasis on the role of financial mathematics and modeling in quantifying risk. The course will discuss how key players such as regulators, risk managers, and senior managers interact with trading. Specific techniques for measuring and managing the risk of trading and investment positions will be discussed for positions in equities, credit, interest rates, foreign exchange, commodities, vanilla options, and exotic options. Students will be trained in developing risk sensitivity reports and using them to explain income, design static and dynamic hedges, and measure value-at-risk and stress tests. Students will create Monte Carlo simulations to determine hedge effectiveness. Extensive use will be made of examples drawn from real trading experience, with a particular emphasis on lessons to be learned from trading disasters. MATH-GA 2757.001 REGULATION AND REGULATORY RISK MODELS Fall term: K. Abbott and L. Andersen Prerequisites: Risk Management, Derivative Securities (or equivalent familiarity with market and credit risk models). The course is divided into two parts. The first addresses the institutional structure surrounding capital markets regulation. It will cover Basel (1, MRA, 2, 2.5, 3), Dodd-Frank, CCAR and model review. The second part covers the actual models used for the calculation of regulatory capital. These models include the Gaussian copula used for market risk, specific risk models, the Incremental Risk Calculation (single factor Vasicek), the Internal Models Method for credit, and the Comprehensive Risk Measure. MATH-GA 2796.001 MORTGAGE-BACKED SECURITIES AND ENERGY DERIVATIVES Spring term: G. Swindle and L. Tatevossian Prerequisites: basic bond mathematics and bond risk measures (duration and convexity); Derivative Securities, Stochastic Calculus. The first part of the course will cover the fundamentals and building blocks of understanding how mortgage-backed securities are priced and analyzed. The focus will be on prepayment and interest rate risks, benefits and risks associated with mortgage-backed structured bonds and mortgage derivatives. Credit risks of various types of mortgages will also be discussed. The second part of the course will focus on energy commodities and derivatives, from their basic fundamentals and valuation, to practical issues in managing structured energy portfolios. We develop a risk neutral valuation framework starting from basic GBM and extend this to more sophisticated multifactor models. These approaches are then used for the valuation of common, yet challenging, structures. Particular emphasis is placed on the potential pitfalls of modeling methods and the practical aspects of implementation in production trading platforms. We survey market mechanics and valuation of inventory options and delivery risk in the emissions markets. MATH-GA 2797.001 CREDIT MARKETS AND MODELS Fall term: V. Finkelstein Prerequisites: Computing for Finance, or equivalent programming skills; Derivative Securities, or equivalent familiarity with financial models; familiarity with analytical methods applied to Interest Rate derivatives. This course addresses a number of practical issues concerned with modeling, pricing and risk management of a range of fixed-income securities and structured products exposed to default risk. Emphasis is on developing intuition and practical skills in analyzing pricing and hedging problems. In particular, significant attention is devoted to credit derivatives. We begin with discussing default mechanism and its mathematical representation. Then we proceed to building risky discount curves from market prices and applying this analytics to pricing corporate bonds, asset swaps, and credit default swaps. Risk management of credit books will be addressed as well. We will next examine pricing and hedging of options on assets exposed to default risk. After that, we will discuss structural (Merton-style) models that connect corporate debt and equity through the firm’s total asset value. Applications of this approach include the estimation of default probability and credit spread from equity prices and effective hedging of credit curve exposures. A final segment of the course will focus on credit structured products. We start with cross-currency swaps with a credit overlay. We will next analyze models for pricing portfolio transactions using Merton-style approach. We also will discuss portfolio loss model based on a transition matrix approach. These models will then be applied to the pricing of collateralized debt obligation tranches and pricing counterparty credit risk taking wrong-way exposure into account. MATH-GA 2798.001 INTEREST RATE AND FX MODELS Spring term: L. Andersen and A. Gunstensen Prerequisites: Derivative Securities, Stochastic Calculus, and Computing in Finance (or equivalent familiarity with financial models, stochastic methods, and computing skills). The course is divided into two parts. The first addresses the fixed-income models most frequently used in the finance industry, and their applications to the pricing and hedging of interest-based derivatives. The second part covers the foreign exchange derivatives markets, with a focus on vanilla options and first-generation (flow) exotics. Throughout both parts, the emphasis is on practical aspects of modeling, and the significance of the models for the valuation and risk management of widely-used derivative instruments. FINANCIAL THEORY AND ECONOMETRICS: MATH-GA 2707.001 TIME SERIES ANALYSIS AND STATISTICAL ARBITRAGE Fall term: F. Asl and R. Reider Prerequisites: Derivative Securities, Scientific Computing, and familiarity with basic probability. The term "statistical arbitrage" covers any trading strategy that uses statistical tools and time series analysis to identify approximate arbitrage opportunities while evaluating the risks inherent in the trades (considering the transaction costs and other practical aspects). This course starts with a review of Time Series models and addresses econometric aspects of financial markets such as volatility and correlation models. We will review several stochastic volatility models and their estimation and calibration techniques as well as their applications in volatility based trading strategies. We will then focus on statistical arbitrage trading strategies based on cointegration, and review pairs trading strategies. We will present several key concepts of market microstructure, including models of market impact, which will be discussed in the context of developing strategies for optimal execution. We will also present practical constraints in trading strategies and further practical issues in simulation techniques. Finally, we will review several algorithmic trading strategies frequently used by practitioners. MATH-GA 2708.001 ALGORITHMIC TRADING AND QUANTITATIVE STRATEGIES Spring term: P. Kolm and L. Maclin Prerequisites: Computing in Finance, and Capital Markets and Portfolio Theory, or equivalent. In this course we develop a quantitative investment and trading framework. In the first part of the course, we study the mechanics of trading in the financial markets, some typical trading strategies, and how to work with and model high frequency data. Then we turn to transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies. In the last part of the course, we focus on simulation techniques, back-testing strategies, and performance measurement. We use advanced econometric tools and model risk mitigation techniques throughout the course. Handouts and/or references will be provided on each topic. MATH-GA 2751.001 RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS Fall term: P. Kolm. Spring term: M. Avellaneda Prerequisites: univariate statistics, multivariate calculus, linear algebra, and basic computing (e.g. familiarity with Matlab or co-registration in Computing in Finance). A comprehensive introduction to the theory and practice of portfolio management, the central component of which is risk management. Econometric techniques are surveyed and applied to these disciplines. Topics covered include: factor and principal-component models, CAPM, dynamic asset pricing models, Black-Litterman, forecasting techniques and pitfalls, volatility modeling, regimeswitching models, and many facets of risk management, both theory and practice. MATH-GA 2755.001 PROJECT AND PRESENTATION Fall term and spring term: P. Kolm Students in the Mathematics in Finance program conduct research projects individually or in small groups under the supervision of finance professionals. The course culminates in oral and written presentations of the research results. MATH-GA 2791.001 DERIVATIVE SECURITIES Fall term: M. Avellanda. Spring term: B. Flesaker An introduction to arbitrage-based pricing of derivative securities. Topics include: arbitrage; risk-neutral valuation; the log-normal hypothesis; binomial trees; the Black-Scholes formula and applications; the Black-Scholes partial differential equation; American options; one-factor interest rate models; swaps, caps, floors, swaptions, and other interest-based derivatives; credit risk and credit derivatives. MATH-GA 2792.001 CONTINUOUS TIME FINANCE Fall term: P. Carr and A. Javaheri. Spring term: B. Dupire and F. Mercurio Prerequisites: Derivative Securities and Stochastic Calculus, or equivalent. A second course in arbitrage-based pricing of derivative securities. The Black-Scholes model and its generalizations: equivalent martingale measures; the martingale representation theorem; the market price of risk; applications including change of numeraire and the analysis of quantos. Interest rate models: the Heath-Jarrow-Morton approach and its relation to shortrate models; applications including mortgage-backed securities. The volatility smile/skew and approaches to accounting for it: underlyings with jumps, local volatility models, and stochastic volatility models. MATHEMATICAL TOOLS: MATH-GA 2706.001 PDE FOR FINANCE Spring term: R. Kohn Prerequisite: Stochastic Calculus or equivalent. An introduction to those aspects of partial differential equations and optimal control most relevant to finance. Linear parabolic PDE and their relations with stochastic differential equations: the forward and backward Kolmogorov equation, exit times, fundamental solutions, boundary value problems, maximum principle. Deterministic and stochastic optimal control: dynamic programming, HamiltonJacobi-Bellman equation, verification arguments, optimal stopping. Applications to finance, including portfolio optimization and option pricing -- are distributed throughout the course. MATH-GA 2902.001 STOCHASTIC CALCULUS Fall term: J. Goodman. Spring term: A. Kuptsov Prerequisite: Basic Probability or equivalent. Discrete dynamical models: Markov chains, one-dimensional and multidimensional trees, forward and backward difference equations, transition probabilities and conditional expectations. Continuous processes in continuous time: Brownian motion, Ito integral and Ito’s lemma, forward and backward partial differential equations for transition probabilities and conditional expectations, meaning and solution of Ito differential equations. Changes of measure on paths: Feynman-Kac formula, CameronMartin formula and Girsanov’s theorem. The relation between continuous and discrete models: convergence theorems and discrete approximations. COMPUTATIONAL SKILLS: MATH-GA 2041.001 COMPUTING IN FINANCE Fall term: E. Fishler and L. Maclin This course will introduce students to the software development process, including applications in financial asset trading, research, hedging, portfolio management, and risk management. Students will use the Java programming language to develop object-oriented software, and will focus on the most broadly important elements of programming - superior design, effective problem solving, and the proper use of data structures and algorithms. Students will work with market and historical data to run simulations and test strategies. The course is designed to give students a feel for the practical considerations of software development and deployment. Several key technologies and recent innovations in financial computing will be presented and discussed. MATH-GA 2043.001 SCIENTIFIC COMPUTING Fall term: A. Rangan. Spring term: Y. Chen Prerequisites: multivariable calculus, linear algebra; programming experience strongly recommended but not required. A practical introduction to scientific computing covering theory and basic algorithms together with use of visualization tools and principles behind reliable, efficient, and accurate software. Students will program in C/C++ and use Matlab for visualizing and quick prototyping. Specific topics include IEEE arithmetic, conditioning and error analysis, classical numerical analysis (finite difference and integration formulas, etc.), numerical linear algebra, optimization and nonlinear equations, ordinary differential equations, and (very) basic Monte Carlo. MATH-GA 2045.001 COMPUTATIONAL METHODS FOR FINANCE Fall term: A. Hirsa Prerequisites: Scientific Computing or Numerical Methods II, Continuous Time Finance, or permission of instructor. Computational techniques for solving mathematical problems arising in finance. Dynamic programming for decision problems involving Markov chains and stochastic games. Numerical solution of parabolic partial differential equations for option valuation and their relation to tree methods. Stochastic simulation, Monte Carlo, and path generation for stochastic differential equations, including variance reduction techniques, low discrepancy sequences, and sensitivity analysis. MATH-GA 2046.001 ADVANCED EONOMETRIC MODELING AND BIG DATA Fall term: G. Ritter Prerequisites: Derivative Securities, Risk & Portfolio Management with Econometrics, and Computing in Finance (or equivalent programming experience). A rigorous background in Bayesian statistics geared towards applications in finance, including decision theory and the Bayesian approach to modeling, inference, point estimation, and forecasting, sufficient statistics, exponential families and conjugate priors, and the posterior predictive density. A detailed treatment of multivariate regression including Bayesian regression, variable selection techniques, multilevel/hierarchical regression models, and generalized linear models (GLMs). Inference for classical time-series models, state estimation and parameter learning in Hidden Markov Models (HMMs) including the Kalman filter, the Baum-Welch algorithm and more generally, Bayesian networks and belief propagation. Solution techniques including Markov Chain Monte Carlo methods, Gibbs Sampling, the EM algorithm, and variational mean field. Real world examples drawn from finance to include stochastic volatility models, portfolio optimization with transaction costs, risk models, and multivariate forecasting