Pre-Program Courses

This is a 30-hour foundation course that equips students with the mathematical background necessary to understand the courses in the MFE Program. The course will be available online for students unable to attend in person.

The course is recommended for those with an undergraduate degree and/or those with advanced degrees who need a refresher course in mathematics. The main challenge of the course will not be the math, but the mental framework needed to think effectively in financial terms.

Class details

• Instructor: Dr. Johan Walden
• Dates: December 20, 2018 - February 7, 2019
• Fees for public: $1,895; Fees for admitted students: $1,595

Prerequisites

• Solid understanding of calculus, one dimensional and multi-dimensional
• Good knowledge of ODEs
• Exposure to PDEs
• Solid knowledge of linear algebra, including eigenvalues, elementary optimization, and linear systems

Recommended Reading

• 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

This course is designed as a first introduction to object oriented programming in C++ for financial engineers, quantitative analysts, accountants, and other finance professionals. This course is not intended for information technology specialists, computer scientists, or professional programmers in the finance industry. 

The course focuses on programming skills required for pricing and risk managing financial instruments in equities, fixed income, and credit. This course will be available online for students unable to attend in person. 

Class Details 

• Instructor: Dave Klein
• Dates: January 15, 2019 -March 5, 2019
• Fees for public: $1,895; Fees for admitted students: $1,595

Programming Environment

A C++ Programming environment is required for the course. The instructor recommends Microsoft Visual C++ 2008 Express Edition. The instructor will be using this environment for his in-class examples.

Any C++ environment should be sufficient for the course but if you have questions, contact mfe@haas.berkeley.edu.

If you are attending the in-class lectures, you need to bring a laptop with the C++ environment installed on it. This is very important since the second half of all lectures will be hands-on practice.

Statistics for Financial Engineers is a 30-hour course that gives students the statistics and probability training necessary to understand the courses in the program. The course is recommended for those who need a refresher course in statistics. The course will be available online for students unable to attend in person.

The primary objectives are to prepare students for the statistics demands of the MFE program and to give finance professionals the necessary statistical tools for analyzing and modeling the behavior of financial data. This course will build on the introductory statistics topics covered in the Math Foundations for Financial Engineering class.

The Statistics for Financial Engineers is a VEE Approved Course. 

Class details

• Instructor: Dr. Martin Lettau
• Dates: January 9, 2019 - March 13, 2019
• Fees for public: $1,895; Fees for admitted students: $1,595