Course Descriptions

Prerequisites: 16:958:563. Conditional expectation and martingales, return and yield curve, portfolio theory, derivatives, risk neutral measure and complete market in discrete models, forward-futures spread, Brownian motion and stochastic calculus, Girsanov’s theorem, the Black-Scholes-Merton model, Greeks, implied volatility, financial risks, value at risk, back test and stress test, estimation of volatilities and correlations, principle component analysis and factor models, credit risk, estimation of default rate, copulas, interest rate derivatives, short rate models, more if time permit.

Contacts

General & Admission Inquiries:
fsrm@stat.rutgers.edu

Program Co-Directors & Academic Advisors:
Dr. Cun-Hui Zhang & Dr. Sijian Wang
fsrm_msds_director@stat.rutgers.edu

Corporate Relations:
Mohannad Aama
mohannad.aama@rutgers.edu