Math Foundations for Financial Engineers
Please note that the Math Foundations for Financial Engineers Course will be available online for students unable to attend in person.
1/2/2008
Due to unforeseen circumstances, we have had to make a last-minute change in the schedule for the MFE preprogram courses. Please review the new schedule carefully as changes have been made.
The Master's in Financial Engineering Program (MFE) at the Haas School of Business is offering a 30-hour foundation course that equips students with the mathematical background necessary in understanding the courses throughout the MFE Program. The course is composed of the areas of statistics/probability and (partial) differential equations used in contemporary finance practice. For truly advanced students the course may also serve as a refresher course.
The course is recommended for those with an undergraduate degree and who need a refresher course in mathematics. For pre-readings, we recommend that you read the books listed below. The main challenge of the course will not be the math, but the mental framework needed to think effectively in financial terms.
The course will be taught by Dr. Domingo Tavella
Domingo Tavella, Principal of Octanti Associates, Inc., Ph.D. (engineering), Stanford University. Computational methods in financial pricing, stochastic simulation in finance and insurance, financial software development strategies and methods, risk management strategies in finance and insurance, hybrid insurance structures.
Please note that Dr. Tavella teaches quantitative courses in the MFE Program and hence is uniquely qualified to teach a targeted course in financial mathematics. The course will focus on preparing you for the rigorous math component of the MFE Program. Enrollment is limited.
Successful students will earn a certificate of completion from the Center of Executive Development (CED), Haas School of Business.
Course Description
Topics covered will include:
1. Statistics, regressions, distributions, expectations,
moments, and related concepts.
2. Linear programming and related issues.
3. Utility function concepts and applications.
Other topics like Monte Carlo, non linear optimization,
and other numerical techniques will be discussed in
an MFE Program course (Stochastic Calculus).
This course is unique in that it unites a number of fields that are the essence of strength of financial engineering methods, tailored for use in the MFE program.
Objectives
If you are an MFE student:
To prepare you for the highly quantitative courses you will be facing.
These courses require working knowledge of the topics in this class.
If you are not an MFE student:
To facilitate your access to more advanced FE and finance texts and to facilitate your readings of materials published in the more applied end of the professional literature.
To give you simple quantitative tools for elementary quantitative finance.
What this class is not:
A rigorous math course for mathematicians.
A math course to access advanced finance texts, heavy into probability and stochastic processes.
A class for advanced numerical solutions of pricing and risk management problems (this is covered in the MFE program.)
A stochastic calculus class (this is covered in the MFE program)
Who Should Attend
Individuals interested in applying to the Haas Master's in Financial Engineering Program; those pursuing any quantitative analysis in the business world; those interested in actuarial science, or for those interested in seeing how mathematical theory can be applied in "real life."
Prerequisites
1. Solid understanding of calculus,
one dimensional and multi-dimensional.
2. Good knowledge of ODEs.
3. Exposure to PDEs.
4. Solid knowledge of linear algebra, including eigenvalues, elementary
optimization, and linear systems.
Recommended Readings
Numerical Recipes in C by Press et al. (Cambridge University Press.)
Introduction to Calculus and Analysis, Vol. I and II by Courant and
John (John Wiley and Sons.)
Introductory Statistics for Business and Economics by Wonnacott and
Wonnacott (John Wiley and Sons.)
The Money Market by Marcia Stigum (McGraw-Hill
Trade) ISBN 1556231229
Options Markets by Mark Rubinstein (Prentice Hall)
ISBN 0136382053
Dates and Times:
MATHEMATICS FOUNDATION FOR FINANCIAL ENGINEERING COURSE
Date |
Time |
| 1/15/08 | 7:00 pm – 10 pm |
| 1/22/08 | 7:00 pm – 10 pm |
| 1/29/08 | 7:00 pm – 10 pm |
| 1/30/08 | 7:00 pm – 10 pm |
| 2/5/08 | 7:00 pm – 10 pm |
| 2/12/08 | 7:00 pm – 10 pm |
| 2/19/08 | 7:00 pm – 10 pm |
| 2/26/08 | 7:00 pm – 10 pm |
| 3/4/08 | 7:00 pm – 10 pm |
| 3/11/08 | 7:00 pm – 10 pm |
We will be sending you the location of the class via email for the in class option a few days prior to the first day of the course. For on-line option we will email you the log in, password and the web link a few days prior to the first day of the course. If you do not receive the notice, please contact the MFE office by calling us at 510-642-4417 or emailing us at mfe@haas.berkeley.edu
Course Fee and Registration
The course fee for the 2008 program is $1,590 ($1,290 for those admitted to the MFE program).
