Learn the key mathematical, statistical and econometric foundations needed for quantitative management of financial investments. Study classical methods of portfolio construction based on volatility as a risk measure. Learn modern theory of portfolio optimization, examine how to minimize risk, discover how to balance alpha generation versus downside risk and study the latest risk budgeting techniques. Complement your foundational knowledge with training in open source R programming language for quantitative finance modeling and analysis.
What the Program covers: • Mathematics of fixed income, interest rates and terms structure • Introduction to forwards, futures and options pricing and hedging use • Linear regression factor models and their uses in finance • Introduction to statistical analysis of financial data with R • Advanced R modeling tools for financial time series and portfolios • Classic mean-variance risk portfolio optimization and risk management • Post-modern tail-risk based portfolio optimization and risk management.
A Computational Finance Certificate will be awarded to individuals who successfully complete the following three online four-credit courses from the MS-CF&RM curriculum for a total of 12 credits:
- Autumn: AMATH 541 Investment Science
- Winter: AMATH 542 Financial Data Modeling and Analysis in R
- Spring: AMATH 543 Portfolio Optimization and Asset Management