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Operations Research, 3rd ed., Wayne L. Winston, Duxdury Press, and course handouts.

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    * Portfolio Selection Models
    * Asset Allocation Models
    * Index Construction Models for Equity and Bond Portfolios
    * Immunization Models to Manage Interest-Rate Risk
    * Cash Matching Models for Asset-Liability Management
    * Models to Structure Collateralized Mortgage Obligations
    * Firm Valuation Models
    * Valuation Bound Models on Financial Options
    * Dynamic Hedging Models for Risk Management

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Management of Financial Institutions [Risk Management] (MGT 6090)

This course provides an introduction to the various risks faced by financial institutions and a detailed analysis of the tools used to manage these risks.

The prerequisite for this course is MGT 6060, Financial Management, or MS QCF standing and the MGT 6078 Finance and Investments course . The course is at the level of the text Management of Financial Institutions by A. Saunders.

The specific course topics are the following.

    * Introduction (depository institutions)
    * Unique characteristics of financial institutions
    * Management of interest rate risk
    * Mortgage backed securities
    * Option adjusted spread analysis
    * Management of credit risk
    * Management of off-balance-sheet risk.
    * Management of foreign exchange risk.
    * Management of liquidity risk.
    * Deposit insurance.
    * Security underwriting.
    * Role of investment banks in treasury and municipal markets

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Second Category Elective Courses
Empirical Finance         MGT 7061
Statistical Techniques of Financial Data Analysis         ISYE/MATH 6783
The Practice of Quantitative and Computational Finance         ISYE/MATH/MGT 6785


Empirical Finance (MGT 7061)

The material and level of this course will be similar to that of the book Campbell, J., Lo, A. and MacKinlay, C. (1997) The Econometrics of Financial Markets. Princeton University Press, Princeton, N.J.

The topics of the course will be as follows:

    * Overview of Econometrics
    * Testing of Models Related to the Following Topics and Areas
    * Capital Asset Pricing Model
    * Arbitrage Pricing
    * Conditional Asset Pricing
    * Market Efficiency
    * Information and Volatility Issues
    * Option Pricing
    * The Course also covers some topics involving
    * Time Series Analysis and Prediction
    * Market Microstructure Issues
    * Event Studies
    * Investment Performance Evaluation

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Statistical Techniques of Financial Data Analysis (ISYE/MATH 6783)

Fundamentals of statistical inference are presented and developed for models used in the modern analysis of financial data. Techniques are motivated by examples and developed in the context of applications.

The prerequisites for the course are MATH 3215 (or the equivalent), some knowledge of programming, and MS QCF standing or some previous exposure to the topics of stocks, bonds and options.

The specific course topics are the following.

The following probability topics are covered in the models that are presented:

    * Distributions such as the normal (Gaussian), lognormal, geometric, binomial, Poisson, Student's t, F, chi-square, gamma, and Pareto
    * Characteristic functions, sums of independent random variables, a-stable random variables
    * Limit Theorems for sums
    * order statistics
    * Limit Theorems for extremes
    * Elementary stochastic processes such as Markov chains
    * Dynamic linear models
    * Time series models

The following topics in statistical inference are covered in the models that are presented:

    * Likelihood functions
    * Estimation
    * Testing Hypotheses via Neyman-Pearson tests, likelihood ratio tests, and Wald tests
    * Tests of fit
    * Markov chain and time series inference
    * Regression
    * Principal components analysis
    * Non-parametric analyses

Applications to financial data are made throughout and include the topics such as the following:

    * Testing hypotheses of independence, normality, homoscedascticity, and symmetry for returns, and the Bachelier and Mandelbrot models
    * Efficient frontier in portfolio analysis under short selling and riskless borrowing and lending, optimal portfolio under single index and multi-index models, principal components analysis, stability tests of betas from auxiliary data
    * simulation and Monte-Carlo, estimation and assessment of accuracy of path integrals arising in option pricing
    * Hill's estimator of the Pareto index, application to solvency analysis and ruin probabilities, connections with a-stability
    * Analysis of ar, ma, arma, arima, arch, garch, and stochastic volatility time series models applied to exchange rates, indexes, interest rates, and returns.

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The Practice of Quantitative and Computational Finance (ISYE/MATH/MGT 6785)

This course is jointly listed with the College of Management, the School of Mathematics and the School of Industrial and Systems Engineering. The course will consist of case studies, visiting lecturers from financial institutions and student group projects of an advanced nature - all centered around quantitative and computational finance. The group projects deal with applicable problems in areas such as portfolio management and optimization, pricing of derivatives, and data analysis and testing of models. The groups will be required to formulate and analyze the project problem, and implement and present their solutions to the problems. The prerequisite for the course is MS QCF major, or consent of the instructor. Normally the course is taken during the student's third semester in the QCF program.

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Additional QCF Elective Courses

For the Third Category Elective Courses Requirement there are many possible Elective Choices. Here is one of the courses directly related to quantitative and computational finance.
Advanced Topics in QCF

ISYE/MATH/MGT 6793

This course is jointly listed with the College of Management, the School of Mathematics and the School of Industrial and Systems Engineering. The course will deal with advanced research material in quantitative and computational finance. The prerequisite for the course is graduate standing, and consent of the instructor. Normally the course is taken during the student's third semester in the QCF program. The course will also be suitable for students pursuing Ph.D. work in areas related to quantitative and computational finance.

8DP 发表于 2009-3-9 12:39 PM

4. 就业

Some Firms That Use QCF

Information on current hiring can be obtained directly from the internet websites of firms and agencies that use professionals in quantitative and computational finance. A sample of such firms and agencies is included in the following links. These links include

    * Energy Firms
    * Financial Data and Software, Research and Consulting Firms
          o Financial Data and Information
          o Financial Software - Major Companies
          o Financial Software - Others
          o Financial Research
          o Financial Research and Consulting
    * Investment Firms and Banks
          o Leading Investment Firms and Banks
          o Other Leading Investment Firms and Banks
    * Management Firms and Consultants, Money Managers and Pension Fund Managers
          o Consulting Firms
          o Leading Money Managers
          o State Retirement Systems
    * Insurance Companies
    * Exchanges
    * Federal Agencies
    * Other

In many cases, the firms and agencies include solicitation for employment openings at their websites either directly or indirectly. Employment related to the MS QCF program is sometimes listed under specific job titles, such as 'analysts', 'financial analysts', 'financial engineers', etc.; sometimes under specific 'areas' within finance, such as 'analytics & programming', etc.; and other times listed in a general solicitation accompanying the description of the firm's activities. These lists are lengthy, but by no means complete; the lists are included also to give a sense of the large number of investment firms, and large number of fund managers, and the large number of other institutions that use professionals in quantitative and computational finance.

8DP 发表于 2009-3-9 12:40 PM

5. 入学要求　

The MS QCF Program
Prerequisites, Application, and Admission

Prerequisites

   1. Applicants should have received a four year Bachelor's degree from a recognized institution and graduated in the upper half of their class.
   2. As part of the application, the candidate will supply
          * one copy of the official transcripts of Bachelor's study and all other previous academic study;
          * GRE test scores (Verbal, Quantitative, Analytic) for Mathematics and ISyE, or GMAT test scores (Total, Verbal, Quantitative) for Management;
          * three letters of recommendation (submitted electronically); and
          * TOEFL score (for international candidates whose first language is not English and who have not studied in the US for at least one year).
   3. Applicants should have a working knowledge of calculus. This includes differential and integral calculus of one variable, multivariate calculus, fundamentals of linear algebra and linear systems of equations, and differential equations. This normally requires 4 semesters in a Bachelor's program. Applicants should also have taken calculus-based probability and statistics in 1 or 2 semester courses.
   4. Applicants should have basic knowledge of a programming language such as C, C++, JAVA or FORTRAN.
   5. The MS bInterestratefixedmortgage Fi Tag Favorite South Park Interest Rate Fixed Mortgage 排名12：Georgia Institute of Technology QCF(页 1) - 学习交流 Fixed - 国外金融教育项目 - 风险视界-风险管理与金融工程专业交流平台 - Powered by Discuz! Archiveru Fixed Plan dInterestratefixedmortgage Fi Tag Favorite South Park Interest Rate Fixed Mortgage 排名12：Georgia Institute of Technology QCF(页 1) - 学习交流 Fixed - 国外金融教育项目 - 风险视界-风险管理与金融工程专业交流平台 - Powered by Discuz! Archiverj s Fapturbo Interest Rate Fixed Mortgage Rate Interest Rate Fixed Mortgage