Masters of Engineering in MIE Certificate Program in Financial ...

Masters of Engineering in MIECertificate Program in FinancialEngineeringMarch 2, QFRM 2012Roy H. KwonUniversity of Toronto

Masters of Engineering at MIEThe Master of Engineering programprepares graduate engineers for advancedprofessional practice, by completinggraduate-level coursework and an optionalproject.

Program Requirementsn The M.Eng. program requires successfulcompletion of ten half-courses, or sevenhalf-courses and an M.Eng. project.n For a program of ten courses, six must betaken from MIE.n For a program of seven courses plus aproject, four courses must be taken fromMIE

7 Courses plus M.Eng. projectn The remaining courses (four or three,respectively) can be taken from any otherdepartment in the Faculty of AppliedScience and Engineering (including theELITE courses), the Department ofComputer Science (CSC), and the RotmanSchool of Management (RSM1300-level,RSM2000-level and up).

Other graduate degreeprogramsn MASc & Ph.D: research oriented, fullyfunded by sponsoring professor or agency,thesis is the main focal point and must bedefended, academic oriented research

New Concentration in FinancialEngineeringn Motivationn There is a significant interest in a graduatedegree in quantitative finance schools(e.g. Columbia, Princeton, Michigan, NYU,CMU, many others)n Financial modeling is a key applied areaof Operations Research / IndustrialEngineering, and an active research areawithin MIE and elsewhere in the Faculty.

Certificate in FinancialEngineering within an M.ENG.n Tentative Start Fall 2012n Specialization in quantitative financen Major themes: (1) portfolio construction (2)derivatives pricing (3) risk managementn Techniques covered: optimization (e.g.linear, dynamic, quadratic, stochasticprogramming), stochastic processes,statistics

F.E. Certificate Requirementsn Must adhere to rules of the generalM.ENG. requirementsn The following core courses are required:MIE1605H:Stochastic ProcessesAPS1002H:Financial EngineeringMIE16XXH:Financial Engineering IIMGT2308H:Financial Risk ManagementPlus a 3-credit M.ENG. Project (industryrelated)

MIE 1605 Stochastic Processesn A course on the fundamentals ofstochastic processes and their applicationto mathematical models in operationalresearch. Topics discussed will include areview of probability theory, Poissonprocesses, renewal processes, Markovchains and other advanced processes.Applications in finance, inventory, queuing,reliability, repair and maintenance, etc.

APS 1002H FinancialEngineeringn Modern introduction to investment sciencen Topics (text: Investment Science byLuenberger)n Interest Rate Theoryn Fixed Income Securities, Term Structure of InterestRates, Bond Portfolio Optimizationn Modern Portfolio Theory (mean-variance optimization, 2and 1 Fund Theorems, CAPM, Factor Models, APT)n Derivative securities (forwards, futures, options)

MIE 16XX Financial EngineeringIIn New Coursen First half: Optimization in finance (linear, ,stochastic programming : financial models,theory, and algorithms)n Second half: Stochastic calculus(arithmetic and geometric Brownianmotion, Ito’s lemma, Black-Scholes world,contingent claims pricing, lattice andmonte-carlo techniques)

MGT2308H Financial RiskManagementn This course covers ways in which financialinstitutions, corporations, and fundmanagers can quantify and manage risks.It covers the calculation and use of valueat risk, ways of forecasting volatilities andcorrelations, the quantification of creditrisk, and credit derivatives.

Electives (choose 3-4)nnnnnnnnnnnnECO2411H: Financial EconometricsSTA2503H: Applied Probability for Mathematical FinanceMIE562H: SchedulingMIE566H: Decision AnalysisMIE1606H: Queuing TheoryMIE1620H: Linear Programming and Network FlowsMIE1603H: Integer ProgrammingMIE1607H: Stochastic Modeling and OptimizationMIE1613H: Discrete Event SimulationMIE1615H: Stochastic Dynamic ProgrammingMIE1619H: Constraint Programming and Local SearchMIE1621H: Non-Linear Optimization

New elective (Dr. Oleksandr Romanko,Algorithmics-IBM)n Course title: Computational simulation andoptimization in finance and risk managementn Course description:nnnnThe goal of this course is to familiarize students with computationalquantitative techniques that are used in finance and risk management.Simulation and optimization are among the most important quantitativetools, which allow to model and optimize financial portfolios taking intoaccount uncertainty in future asset values.A number of financial and risk management applications are described indetail. Matlab is used for illustrating the computations as well as fordeveloping a software package during the course project.Practical aspects of risk modeling, which are used by industry practitioners,are emphasized.

3-Term Project Coursen Project that will consolidate the tools andskills learnedn Two types of projects:n Industry related or academic

Other related Masters programat U of Tn MMF: Masters in Mathematical Financen MFin: Rotmann Both expense and admission is directed ata narrow segment of potential studentsn M.ENG. Certificate in FE will be moreaccessible, more engineering based, andmuch less expensive.