Master%20of%20Science%20in%20Financial%20Mathematics%20and%20Stastistics

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Master of Science inFinancial Mathematics and
Stastistics

• Orientation Session, Fall 2009

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Welcome!
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What Make this Program Distinguished?

• Derivative modeling
• Equity
• Fixed income
• Credit
• Inflation
• Hybrid and structured products
• Risk Management
• Financial economics

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Teaching Staff from UST

• Prof. Yue-Kuen Kwok, Financial Mathematics
• Prof. Qi-Man Shao, Probaility
• Prof. Bin-Yi Jing, Probability
• Prof. Kani Chen, Statistics
• Prof. Man-Yu Wong, Statistics
• Prof. Shi-Qing Ling, Statistics
• Prof. Mike So, Statistics
• Visiting Prof. Jerome Yan, Finance
• Dr. Mei-Choy Chiu
• Prof. Lixin Wu, Financial Mathematics

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Teaching Staff from Outside

• Dr. Chun-De Shum (former senior VP of JP Morgan),
  Quant Programmer
• Prof. Harry Zheng (Imperial College), Financial
  Mathematics
• Prof. M. Dai (NUS), Financial Mathematics
• Prof. M. Kijima (Kyoto Univ.), Financial
  Mathematics and Applied Economics
• Dr. S.Y. Leung (Citigroup)
• Dr. Bon Ho (Macquaire)
• Mr. Y.F. Lam (HSBC)
• Mr. G.X. Wu (Essense Security)

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Regulations for Course Taking

• Full-time students are advised to take no more
  than four courses per semester
• Part-time students should take nor more than two
  courses, or he/she should change to full-time
  mode (The change of mode can only be made once).

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Degree Requirement 30 credits and a B or better
GPA

• Category of courses
• 6 credits from the list of foundation courses
• 9 credits from the list of courses in financial
  mathematics
• 9 credits from the list of courses in statistics
• 6 credits as free electives
• A graduation GPA of B or above.
• For other information, please visit Program
  webpage.

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A Complete List of Courses

• Courses of the MSc Program
• Courses of Mathematics of Fall Semester

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Courses for Fall 2009

• MAFS 501 Stochastic Calculus (B.Y. Jing)
• MAFS 511 Advanced Data Analysis with Statistical
  Programming (M. So)
• MAFS 524 Software Development with C for
  Quantitative Finance (C.D. Shum)
• MAFS 601B Financial Derivatives and Martingale
  Pricing Theory (M.C. Chiu)

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Course of Spring 2010

• MAFS 513 Quantitative Analysis of Financial Time
  Series (SQ Ling)
• MAFS 522 Quantitative and Statistical Risk
  Analysis (Y.F. Lam, G. Wu and L. Wu)
• MAFS 601A Volatility Derivatives and Structured
  Products (Y.K. Kwok, B. Ho, J. Yen), or
• MATH 572 Interest Rate Models (L. Wu)
• MATH 685A Mathematical Models of Financial
  Economics (Y.K. Kwok)
• MATH 685B Volatility Smile Modeling (L. Wu)

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Courses for the 1st Summer Session of 2010

• MAFS 523 Advanced Credit Risk Models (H. Zheng)
• MAFS 525 Computational Methods for Pricing
  Structured Products (YK Kwok)

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Courses for the 2nd Summer Session of 2010

• MAFS 502 Advanced Probability and Statistics (MC
  Chiu)

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An Interdisciplinary Program

• Three corner stones

Probability Statistics Stoch. Analysis PDE Numer.
Anal.
Economics Finance Financial markets Business
C, Java, VBA, Pearl, R, database management
Financial Economics
Mathematics
IT skills
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Job RelatedIssues
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Types of Institutions

• Investment banks
• Hedge funds
• Asset management companies
• Securities firms
• Insurance companies
• Commercial banks

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Targeted Professions

• Derivatives traders
• Quantitative programmers
• Sales of financial instruments
• Software developers
• Quantitative analysts
• Quant for trading desks
• Quant for middle and back offices
• Risk analysts/managers
• Statistical analysts

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Where Our Students Work?

• Citigroup, Merrill Lynch, Societie General, DBS,
  Nomura, Macquarie, Credit Lyonnais Security Asia,
  Athbest Financial Groups, Hang Seng Bank, CITIC
  KA Wah Bank, Clayons
• Moody(??),??, ??, ??, ???, ??

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Job Information

• The contacts between the program and the industry
• Student Affair Office
• Internet job sites
• Jobs in Finance
• Financial Analysis Jobs
• Jobs Finance
• 51job
• chinahr ????!
• www.zhaopin.com
• www.chinabond.com.cn

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For Non-local Students

• Mainland students can stay in Hong Kong for up to
  a year after graduation.
• Internship for this one-year program is
  discouraged by both University and Immigration
  Department.

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About Internship

• Yet students under student visa can still apply
• Such internship is limited to a maximum of 20
  hours/week, and the interns have to take course
  with at least 9 credits

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Questions?

• Thank you for your attentions!

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Course Description

• MAFS 501 Stochastic Calculus
• Random walk models. Filtration. Martingales. 
  Brownian motions Diffusion processes. Forward and
  backward Kolmogorov equations. Ito's calculus.
  Stochastic differential equations.  Stochastic
  optimal control problems in finance.

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• MAFS 511 Advanced Data Analysis with Statistical
  Programming
• Data analysis and implementation of statistical
  tools in a statistical program, like SAS, R, or
  Minitab.  Topics reading and describing data,
  categorical data and longitudinal data,
  correlation and regression, nonparametric
  comparisons, ANOVA, multiple regression,
  multivariate data analysis.

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• MAFS 524 Software Development with C for
  Quantitative Finance
• This course introduces C with applications in
  derivative pricing.  Contents include abstract
  data types object creation, initialization, and
  toolkit for large-scale component programming
  reusable components for path-dependent options
  under the Monte Carlo framework. Background
  Prior programming experience

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• MAFS 601B Financial Derivatives and Martingale
  Pricing Theory
• Black-Scholes-Merton framework, dynamic hedging,
  replicating portfolio. Martingale theory of
  option pricing, risk neutral measure. Exotic
  options barrier options, lookback options and
  Asian options. Free boundary value pricing
  models American options, reset options.

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• MAFS 513 Quantitative Analysis of Financial Time
  Series
• Analysis of asset returns autocorrelation,
  predictability and prediction.  Volatility
  models GARCH-type models, long range
  dependence.  High frequency data analysis
  transactions data, duration.  Markov switching
  and threshold models.  Multivariate time series
  cointegration models and vector GARCH models.
  Background Entry PG level MATH

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• MAFS 521 Mathematical Models of Investment
• Utility theory, stochastic dominance.  Portfolio
  analysis mean-variance approach, one-fund and
  two-fund theorems.  Capital asset pricing
  models.  Arbitrage pricing theory. 
  Consumption-investment problems.

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• MAFS 522 Quantitative and Statistical Risk
  Analysis
• Various risk measures such as Value at Risk and
  Shortfall Risk.  Coherent risk measures.  Stress
  testing, model risk, spot and forward risk. 
  Portfolio risks.  Liabilities and reserves
  management.  Case studies of major financial
  losses.

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• MATH 571 Mathematical Models of Financial
  Derivatives
• Black-Scholes-Merton framework, dynamic hedging,
  replicating portfolio. Martingale theory of
  option pricing, risk neutral measure. Exotic
  options barrier options, lookback options and
  Asian options. Free boundary value pricing
  models American options, reset options.

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• MATH 572 Interest Rate Models
• Theory of interest rates, yield curves, short
  rates, forward rates. Short rate models Vasicek
  model and Cox-Ingersoll-Ross models. Term
  structure models Hull-White fitting procedure.
  Heath-Jarrow-Morton pricing framework. LIBOR and
  swap market models, Brace-Gatarek-Musiela
  approach. Affine models.

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• MATH 600 Volatility Smile Modeling
• The mechanism of volatility smile/skew. Pros and
  cons of local volatility diffusion model.
  Dynamics of jump and stochastic volatility. Levy
  framework. Affine models. Models of stochastic
  volatility Hestons model and SABR model.

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Courses for the 1st Summer Session of 2010

• MAFS 523 Advanced Credit Risk Models (H. Zheng)
• MAFS 525 Computational Methods for Pricing
  Structured Products (YK Kwok)

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Course Descriptions

• MAFS 523 Advanced Credit Risk Models
• Credit spreads and bond price-based pricing. 
  Credit spread models.  Recovery modeling. 
  Intensity based models.  Credit rating models. 
  Firm value and share price-based models.
  Industrial codes KMV and Credit Metrics. 
  Default correlation copula functions.

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• MAFS 525 Computational Methods for Pricing
  Structured Products
• Computational methods for pricing structured
  (equity, fixed-income and hybrid) financial
  derivatives products.  Lattice tree methods. 
  Finite difference schemes.  Forward shooting grid
  techniques.  Monte Carlo simulation.  Structured
  products analyzed include Convertible
  securities Equity-linked notes Quanto currency
  swaps Differential swaps Credit derivatives
  products Mortgage backed securities
  Collateralized debt obligations Volatility
  swaps. Background Entry PG level MATH

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Courses for the 2nd Summer Session of 2010

• MAFS 502 Advanced Probability and Statistics (MC
  Chiu)
• Probability spaces, measurable functions and
  distributions, conditional probability,
  conditional expectations, asymptotic theorems,
  stopping times, martingales, Markov chains,
  Brownian motion, sampling distributions,
  sufficiency, statistical decision theory,
  statistical inference, unbiased estimation,
  method of maximum likelihood. Background Entry
  PG level MATH