2016-2018 Undergraduate and Graduate Bulletin (with addenda) 
    
    Jan 28, 2020  
2016-2018 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

Course Descriptions


A Brief Guide to Course Descriptions

Each program described in this catalog contains detailed descriptions of the courses offered within the program.

The first line gives the official course number for which students must register and the official course title. The letters indicate the discipline of the course and the first number of the official course numbers indicates the level of the course. The levels are as follows:

  • 1XXX - Freshman Level
  • 2XXX - Sophomore Level
  • 3XXX - Junior Level
  • 4XXX - Senior Level
  • 5XXX to 9XXX - Graduate level

Typically the last number of the course number indicates the number of credits. The breakdown of periods of the course is also listed.

When selecting a course for registration, the section of the course may include the following notations:

  • “LEC” - lecture section
  • “RCT” or “RC” - recitation section
  • “LAB” or “LB” - lab section

Additionally, any other letter or digit listed in the section will further identify the section and being liked to another section of the class with the same letter and/or digit combination. Further information on sections is available from academic advisers during registration periods.

The paragraph description briefly indicates the contents and coverage of the course. A detailed course syllabus may be available by request from the office of the offering department.

“Prerequisites” are courses (or their equivalents) that must be completed before registering for the described course. “Co-requisites” are courses taken concurrently with the described course.

The notation “Also listed…” indicates that the course is also given under the number shown. This means that two or more departments or programs sponsor the described course and that students may register under either number, usually the one representing the student’s major program. Classes are jointly delivered.

 

Finance and Risk Engineering

Undergraduates in Graduate FRE Courses

The Department of Finance and Risk Engineering does not permit undergraduates to take courses with the prefix “FRE”; these are graduate courses reserved for graduate students. Exceptions are made only for sub-matriculated undergraduates; undergraduates who have applied to and been accepted to the MS FE program at NYU-Poly in their Senior year of undergraduate studies. No other exceptions are made.

  
  •  

    FRE-GY 6091 Financial Econometrics

    1.5 Credits
    Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data.

    Prerequisite(s): FRE-GY 6083  and a working knowledge of statistics. Matriculation into MS Financial Engineering or permission of the department.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6103 Valuation for Financial Engineering

    3 Credits
    This course introduces financial engineers to robust risk-based valuation methods in discrete and continuous time.  This includes four major applications:  cash flows, traded derivative contracts, nontraded and embedded derivatives, and corporate assets & liabilities.
    - “Cash flows” refers to risk-free and risky payments or expenditures.
    - “Traded derivatives” include a high level treatment of forward contracts and the most commonly traded option contracts.
    - “Nontraded and embedded derivatives” refer to contingent cash flows created in the normal processes of contracting and asset management
    - “Corporate assets” refer to claims to cash flows owned and managed by corporations
    - “Corporate liabilities” refers to corporate-issued securities or other payment obligations incurred by corporations.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6111 Investment Banking and Brokerage

    1.5 Credits
    This course introduces an overview of Wall Street, the back office and general brokerage operations, investment banking and capital markets. The course covers subjects essential to understanding how products, once created, are distributed and sold. The course relies heavily on The Wall Street Journal, Financial Times and other trade publications. Topics include a brief history of Wall Street, an understanding of the major securities laws and how they have changed over time, basics of equity and debt securities, creation of debt and equity securities, and pricing and sale of debt and equity securities. The course seeks to understand how and where opportunities for creating new securities arise.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6123 Financial Risk Management and Asset Pricing

    3 Credits
    This course introduces the techniques and problems of Financial Risk Management and Asset Pricing. It emphasizes risk finance and attitudes; Value at Risk; risk measurement principles; valuation and expected utility and their relevance in the valuation and the pricing of financial investments; insurance; management of derivatives; and risk management. Throughout, risk-management application problems are explored. The course introduces and focuses on the fundamental principles of the Arrow-Debreu state preference theory used to price derivatives and other assets in complete markets. Risk neutral-Binomial models in option pricing; essential elements of Ito calculus; and the Black-Scholes model for pricing options are introduced and applied to practical financial decision making and risk management problems.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6131 Clearing and Settlement and Operational Risk

    1.5 Credits
    This course focuses on issues involved in processing financial transactions-from order execution to final settlement of transactions-and operational risk in general. The course examines the procedures and market conventions for processing, verifying, and confirming completed transactions; resolving conflicts; decisions involved in developing clearing operations or purchasing clearing services; the role played by clearing houses; and numerous issues associated with cross-border transactions. The course also examines the effects of transaction processing, liquidity management, organizational structure, and personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.

    Prerequisite(s): FRE-GY 6153  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6141 Static and Dynamic Hedging

    1.5 Credits
    The course discusses advanced topics in hedging exposures, with emphasis  on adaptation of the mathematics to the real world. Examines applications in quantitative finance. Methods in the hedging of cash flows and liabilities for corporations and for option traders are covered. A synthesis is made of both theory and historical hedges traded.

    Prerequisite(s): Graduate Financial Risk Engineering students only.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6143 Life Insurance and Related Financial Products

    1.5 Credits
    This course begins with an introduction to the Mathematics of Life Insurance. Basic topics covered are survival distributions, time-of-death as a continuous random variable, life tables and their interpretation. Insurance applications include estate planning, tax ramifications and other specific issues related to the multiple uses of life insurance. Characteristics of life annuities are exhibited; the equivalence principle is introduced and used to evaluate future benefits. Prospective future loss on a contract already in force is investigated. An emphasis lies on the integration of life contingencies into a full risk-theory framework and the use of modern probabilistic and financial methods that are based on financial pricing.

    Prerequisite(s): FRE-GY 6051  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6153 Foundations of Financial Technology

    3 Credits
    Financial Institutions spend billions per year to exploit the latest development in information technology. This course introduces a framework with which to understand and leverage information technology. The technology components covered include telecommunications, groupware, imaging and document processing, artificial intelligence, networks, protocols, risk, and object-oriented analysis and design. The course also covers the entire technological-planning process specifically for financial institutions.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6163 Life Contingencies II

    3 Credits
    The course investigates annuity and insurance contracts involving two lives. Subsequently, a more realistic model is introduced in which several causes of decrement are possible. An overview of risk-theory application to insurance is given. Also covered are an extension of the individual model to incorporate operational constraints such as acquisitions and administrative expenses, accounting requirements and the effects of contract termination.

    Prerequisite(s): FRE-GY 6143  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6171 Management of Financial Institutions

    1.5 Credits
    This course focuses on managing institutions from a financial-management perspective. By analyzing the factors that define the dynamics of the rapidly changing financial services industry, the course explores the normative consequences of financial management decision-making to create shareholder value.

    Prerequisite(s): FRE-GY 6031  and FRE-GY 6023  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6191 Advanced Topics in Financial Technology

    1.5 Credits
    This course complements the Foundations of Financial Technology by treating in-depth advanced topics in this rapidly changing field. Students prepare and present case studies applying the concepts covered in class.

    Prerequisite(s): FRE-GY 6153   and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6211 Financial Market Regulation

    1.5 Credits
    This course considers the role and forms of regulation in the U.S. financial markets, the role of the Securities and Exchange Commission (SEC), the Commodity Futures Trading Commission (CFTC), the Federal Reserve, the Office of the Controller of the Currency (OCC), and self-regulating organizations (SROs) such as the National Association of Securities Dealers and the National Futures Association. Also examined are the roles of the state insurance commissions and the STATE OR FEDERAL Department of Labor.

    Prerequisite(s): FRE-GY 6031  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6223 Actuarial Models

    3 Credits
    Many problems in actuarial science involve building a mathematical model to forecast or predict future insurance losses and revenues. Historical data guide the actuary in selecting the model and in calibrating its unknown parameters. The course introduces discrete and continuous actuarial models such as loss, frequency and severity models and their specific characteristics. It then studies aggregate loss models in which individual risks are pooled into a manageable aggregate risk. Finally, financial tools are used to market price theses losses and allow a securitization of insurance firms’ portfolios.

    Prerequisite(s): FRE-GY 6051  Insurance Finance and Actuarial Science, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6231 Stochastic Calculus in Finance

    1.5 Credits
    This course provides the mathematical foundations of option pricing and credit risk models. The techniques covered include filtrations, arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential calculus, change of probability measure, martingales, Stochastic Differential Equations and the connection with Partial Differential Equations. Some financial applications to European options and bonds will be presented.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department and FRE-GY 6083 

    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6233 Options Pricing & Stochastic Calculus

    3 Credits
    This course provides the mathematical foundations of Option Pricing models. The techniques covered include arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential Calculus, change of probability measure, martingales, Stochastic Differential Equations and Partial Differential Equations. Some of the pricing models considered are the European, Barrier, Asian and American options. These problems are either solved analytically by the martingale approach or numerically, by applying approximation and simulation methods. Since the same techniques allow the treatment of more complex financial products, examples of credit derivatives will be also presented. This course is a requirement in the Computational Finance Track.

    Prerequisite(s):  
    Weekly Lecture Hours: 3
  
  •  

    FRE-GY 6243 Credibility and Loss

    3 Credits
    This course deals with actuarial models and the estimation of their parameters. Statistical parameter estimation techniques and Bayesian methods are used to study and interpret survival models. Quantitative methods for model selection and model testing are introduced. The basics of credibility theory provide the mathematical tools for an insurer’s prospective experience rating on a risk or a group of risks (e.g., to justify policy prices). Finally, model simulation techniques are treated in theory and practice.

    Prerequisite(s): FRE-GY 6223  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6251 Numerical and Simulation Techniques in Finance

    1.5 Credits
    Advanced numerical techniques for the solution of ordinary, partial and stochastic differential equations are presented. These techniques are analyzed mathematically and use computer aided software that allows for the solution and the handling of such problems. In addition, the course introduces techniques for Monte Carlo simulation techniques and their use to deal with theoretically complex financial products in a tractable and practical manner. Both self-writing of software as well as using outstanding computer programs routinely employed in financial and insurance industries will be used.

    Prerequisite(s): FRE-GY 6083  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6273 Advanced Valuation Theory

    3 Credits
    This course provides students with corporate finance theory and analytical skills essential to financial decision-making.  It helps students develop a framework that is useful for understanding a broad range of major corporate financial policies and equips students with tools and techniques useful for evaluating firms and assessing a business’s investment and financial policies.  Topics will include: discount cash flow models, financial statement analysis, valuations, capital budgeting analysis, capital structure, cost of capital, dividend policies, initial public offerings, and corporate governance. 
     

    Prerequisite(s):   and  .
  
  •  

    FRE-GY 6291 Applied Derivative Contracts

    1.5 Credits
    This course provides an introduction to derivative contracts with a special emphasis on current practical applications in use today by financial institutions for investing, hedging, trading and issuing. The characteristics and features of futures, forwards, swaps, options and structured notes are all covered with a special emphasis on useful applications. For each of the four primary derivative contracts, we review in these lectures the appropriate definitions, terminology, market mechanics and theoretical fair value pricing.

    Prerequisite(s): FRE-GY 6003 , FRE-GY 6023  , FRE-GY 6103  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6303 Dynamic Assets and Option Pricing


    This course provides the foundations of option pricing models. The problems are either solved analytically by the martingale and Partial Differential equation approaches,  or numerically, by applying approximation and simulation methods.  The applications to both European and American options, exotic options, and bonds  will be presented. Since the same techniques allow the treatment of more complex financial products, application to fixed income derivatives such as interest rate caps will also be presented. This course is a requirement in the Computational Finance Track and is a track elective in the Risk Finance Track.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department & FRE-GY 6083  .
  
  •  

    FRE-GY 6311 Dynamic Assets and Option Pricing

    1.5 Credits
    The course focuses on inter-temporal assets pricing, both in discrete and continuous time. The course distinguishes between problems in complete and incomplete markets of both theoretical and practical interest, all of which requires an appreciation of financial economic theories and computational techniques. Problems and cases are presented that span Fixed Income (Bonds), Stocks and Derivatives (Options of various sorts), and Implied Risk Neutral Pricing. Reference text: Applied Stochastic Models and Control for Finance and Insurance by C.S. Tapiero (Kluwer, 1998).

    Prerequisite(s): FRE-GY 6083  and FRE-GY 6123  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6311 Dynamic Assets and Options Pricing

    1.5 Credits
    The course focuses on inter-temporal assets pricing in discrete and continuous time. The course explores problems in complete and incomplete markets of both theoretical and practical interest that require an appreciation of financial economic theories and computational techniques. Financial-engineering techniques are introduced including Martingales, stochastic calculus and jump processes; these are applied to engineering problems in finance. Problems and cases are presented that span Stocks and Derivatives (options of various sorts), Bonds and Implied Risk-Neutral Pricing.

    Prerequisite(s): FRE-GY 6083  and FRE-GY 6123  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6321 Casualty I

    1.5 Credits
    This course broadens perspectives on the business environment in which actuaries work and analyzes insurance-pricing cycles and regulatory developments. Rating and solvency issues are covered, as well as the rating of individual risks and the concept of loss reserve. The course also touches on issues behind daily events and the impact of current developments in the actuarial sciences on the actuarial function.

    Prerequisite(s): FRE-GY 6051  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6331 Financial Risk Management & Optimization

    1.5 Credits
    This course provides solutions to the inter-temporal problems in financial management including management of portfolios, credit risks and market making. Dynamic and stochastic dynamic programming techniques as well as optimal control and stochastic control principles of optimality are presented, and their financial contexts emphasized. Both theoretical and practical facets of inter-temporal management of financial risks and risk pricing are also stressed. The course uses financial and optimization software to solve problems practically.

    Prerequisite(s): FRE-GY 6083 FRE-GY 6091  and FRE-GY 6123  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6341 Casualty II

    1.5 Credits
    This course continues FRE-GY 6321 . It covers operational issues of Property and Casualty insurance. Specialized Lines of Business are treated. An introduction to Classification Analysis is given.

    Prerequisite(s): FRE-GY 6321  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6351 Econometrics and Time Series Analysis

    1.5 Credits
    Financial econometrics has matured into a necessary and essential part of financial engineering that provides opportunities to deal with real and practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intraday trading data that requires particular models and techniques; memory-based and fractal stochastic processes to study complex markets behaviors and copulas applied routinely to model- and estimate-dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from both theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.

    Prerequisite(s): FRE-GY 6083  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6361 Corporate and Financial Strategy

    1.5 Credits
    This is an introduction to financial strategy for MS Financial Engineering students. The course focuses on the role of financial engineers and financial officers in developing and sustaining competitive advantage through the use of financial engineering analyses.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6023  and FRE-GY 6103  .
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6371 Contract Economics

    1.5 Credits
    This course covers advanced material in applied economics for students of financial engineering. The topics discussed include the development of contractual relationships between parties with dissimilar interests. These include risks of moral hazard and the design of incentives, adverse selection and market signaling, auction theory and the winner’s curse, and distributed and integrative negotiation. Students who complete this course successfully obtain an appreciation for the theoretical and practical challenges in completing contracts that provide satisfactory economic incentives to each party and satisfy the other party’s belief that the required terms will be met.

    Prerequisite(s): FRE-GY 6023  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6391 Mergers & Acquisitions

    1.5 Credits
    This course examines the theories and empirical evidence related to mergers and acquisitions and other corporate transactions and reorganizations. The course looks at friendly mergers, hostile takeovers (including takeover and anti-takeover tactics), leveraged buyouts and bankruptcy. Throughout, the course examines the motives behind these transactions and reorganizations.

    Prerequisite(s): FRE-GY 6103  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6411 Fixed Income Securities and Interest Rate Derivatives

    1.5 Credits
    This course examines the body of analytical tools and measures that constitute modern fixed-income markets. The valuation of interest-rate sensitive cash flows is the unifying theme. Major topics include theories of term structure, institutional aspects of fixed-income markets and analytical techniques for managing interest-rate risk. Bond refunding, defeasance, corporate bonds, forwards, futures, options and interest-rate swaps are discussed. The course gives an overview of the major classes of fixed-income securities and the markets in which they trade. Among the major classes of fixed-income instruments discussed are Treasury and agency securities, mortgage-backed securities (including CMOs and Strips), asset-backed securities, municipals, floating and inverse floating rate securities.

    Prerequisite(s): FRE-GY 6023 , FRE-GY 6083  and FRE-GY 6103  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6431 Electronic Market Design

    1.5 Credits
    This course covers the design and analysis of electronic marketplaces. This exciting new research area incorporates ideas from economics (in particular game theory and mechanism design), AI and theoretical computer science. Electronic markets have many interesting applications, from the obvious, such as automated negotiation for e-commerce, to non-obvious applications such as resource allocation in grid-computing settings. The course focuses on computational and game theoretic questions related to electronic markets and looks at what it means to design electronic markets with good properties. Topics include Introduction to game theory and mechanism design; winner determination in combinatorial auctions; bidding languages; approximate single-shot auctions; iterative auctions; preference elicitation and communication complexity; mechanisms for selling digital goods; false-name bids; reputation mechanisms; computationally-limited agents; trading agents; and privacy and auctions.

    Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6451 Behavioral Finance

    1.5 Credits
    This course discusses investors’ systematic deviations from the level of financial rationality assumed by modern financial theory. Such biased behavior can lead to market inefficiencies, market opportunities and market failure. After a brief introduction to the topic and its research history, the course focuses on the limits to arbitrage created by decision bias, the equity premium puzzle, market over-reaction and under-reaction. The course seeks to understand how and where opportunities for and threats to wealth accumulation exist as a result of the mismatch between investor behavior and the assumptions about investment behavior inherent in financial theory.

    Prerequisite(s): FRE-GY 6023  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6471 Applied Financial Econometrics

    1.5 Credits
    This course builds on the concepts covered in FRE-GY 6091  and addresses the design, estimation and application of both univariate and multivariate time-series models that are used widely in finance and risk engineering. Financial econometric techniques such as ARCH-GARCH methods and the use of numerical techniques and simulation.

    Prerequisite(s): FRE-GY 6083  and FRE-GY 6091  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6491 Credit Risk & Financial Risk Management

    1.5 Credits
    This course provides a deep understanding of credit instruments from a qualitative and quantitative point of view. Students learn how to price credit derivatives and hedge credit risk. Both the structural and intensity models approaches are presented. Applications to a number of structured products are considered.

    Prerequisite(s): FRE-GY 6411  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6511 Derivatives Algorithms

    1.5 Credits
    This course focuses on the algorithms behind derivatives valuation and applications. The focus is on the principles and practice of financial engineering and risk management and on developing intuition: understanding the reasons for the existence of the product, simulating possible paths and possible parameter values as an exploratory process, approximating complex derivatives as a combination of simpler ones, and attempting to replicate the payout. The goal is to prepare students to be able to evaluate an arbitrary derivative given only its term sheet. To that end, the course requires a project almost every week. Projects can be done in any programming language (Excel, Mathematica, R, Python, etc.), but the final result must be stand-alone tables and graphs. The primary prerequisite is familiarity with standard option pricing and Greeks. A portion of the final exam may involve a live computation project.

    Prerequisite(s): FRE-GY 6123  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6551 Accounting for Financial Products

    1.5 Credits
    This course addresses accounting issues pertaining to innovative financial products, risk management strategies, tax-driven strategies and other manifestations of financial engineering, particularly those in which derivative financial instruments play an important role. Accounting and tax rules are reviewed and applied.

    Prerequisite(s): FRE-GY 6003  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6571 Asset-Backed Securities and Securitization

    1.5 Credits
    This course examines essential contributions in this field and provides a comprehensive coverage of financial securitization and their application to major asset-backed securities, structuring issues and relative value analysis. Topics include the expanding frontiers of asset securitization; introduction to ABS accounting; trends in the structuring of ABSs; and prepayment nomenclature in the ABS market.

    Prerequisite(s):  , FRE-GY 6511  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6591 Real Estate Finance and Mortgage-Backed Securities

    1.5 Credits
    This course takes the student from a general introduction to real estate finance and applied mortgage-backed securities (MBS) to a detailed treatment of issues that make real estate and these instruments some of the most complex. Students learn the fundamentals of yield curves, mortgage-cash flows, prepayments and analysis. The course covers pass-throughs, CMOs, mortgage derivatives and ARMs. Asset/Liability management of MBS will be discussed. Students build a price-yield calculator for MBS pass-throughs (using a spreadsheet) and complete a course project.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6571  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6611 Credit Derivatives

    1.5 Credits
    This course introduces credit derivatives and Collateralized Debt Obligations (CDO’s). The course reviews the most important credit instruments and their marketing, starting with risky bonds and credit default swaps, through basket swaps, structured products and CDO’s. Each instrument is defined and explained, including its markets, modeling, pricing and risk management. Class work is illustrated with theoretical homework and practical Excel projects.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6511  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6631 Applied Derivatives and Real Options Finance

    1.5 Credits
    This course focuses on financial-engineering applications using derivatives, alone and in combination with other financial instruments. In addition to studying complex financial- engineering structures, students consider applications of real options to the many industrial and assets management problems dealt with by business firms. Examples of applications include case problems in real options as well as issues in tax arbitrage, the construction of equity collars on restricted stock, the alteration of the investment characteristics of large portfolios, and the creation of synthetic financial instruments.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6511  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6651 Term Structure Modeling and Advanced Interest Rate Derivatives

    1.5 Credits
    This course covers term-structure models, the term structure of volatility, interest-rate processes with time-dependent volatility and mean reversion, a closer look at path-dependent securities, including sinking fund bonds and options with look-back features, multifactor models and multinomial methods of discrete numerical implementations. Course readings are drawn from current literature.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6511 . Students are expected to know numerical analysis, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6671 Global Finance

    1.5 Credits
    The level of economic and financial globalization combined with the growth of the multinational firms and virtual firms with no boundaries may have altered the future of finance and its risk engineering. The purpose of this course is to focus attention on the essential elements that both large financial firms and institutions are confronting worldwide, the challenges of national and international financial investments, currencies speculations and investments, regulation as well as managing risks in a strategic and macroeconomic environment. In such an environment, financial markets are multi-polar, geographically distributed with national entities pursuing their own economic and political agenda.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6511  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
  •  

    FRE-GY 6691 Intermediate Credit Derivatives Valuation and Applications

    1.5 Credits
    Credit derivatives have emerged as an area of significant interest in global derivatives and risk- management practice. These instruments have the potential to revolutionize the management of credit risk in banking and capital markets. This course introduces the full range of products available in today’s marketplace, the economic value of credit derivatives, valuation techniques and guidelines on using them to manage and control risk.

    Prerequisite(s): FRE-GY 6411  and FRE-GY 6511  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6711 Quantitative Portfolio Management

    1.5 Credits
    This course focuses on the quantitative foundations of portfolio management . It teaches the fundamental mathematical models such as the Markowitz,  CAPM, and  the Merton investment-consumption models, and discusses the issues related to the implementation of these models in practice to different types of portfolios. Finally, it also introduces some common portfolio construction and rebalancing techniques.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6083  
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6713 Advanced Investment Theory and Applications

    3 Credits
    This course covers a wide range theoretical and practical issues that arise in the management of equity and fixed income portfolios, including the classical (Markowitz) foundations of mean-variance optimization, the use of constraints, risk budgeting, robust (outlier-resistant) optimization, tail risk aware optimization, the estimation of expected returns, and the measurement and monitoring of portfolio performance using ideas from statistical process control. It will also require the use of Bloomberg’s PORT optimization tool to optimize, as well as to simulate the risk and return of, large portfolios.

    Prerequisite(s): FRE-GY 6083 , FRE-GY 6103  and Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department.
    Weekly Lecture Hours: 3
  
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    FRE-GY 6731 Market Risk Management and Regulation

    1.5 Credits
    This course covers quantitative methods of measurement and management of market risk as well as regulatory aspects of market risk management including both the current framework of Basel 2, 2.5, and 3 and the future methodology of FRTB. As the final project students produce a fully developed risk management system that includes risk calculations (sensitivities, VaR, Stressed VaR, Stress Analysis) on individual position and portfolio levels.

    Corequisite(s): FRE-GY 6711  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6751 Credit Risk Measurement and Management

    1.5 Credits
    This course deals with issues in credit-risk measurement, credit-risk management and related areas in which credit considerations are important. These issues arise in credit-rating activity, credit extension by banks and other financial services and in derivative markets where counter-party risk is perceived to be an important management issue.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department Corequisite(s): FRE 6711.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6771 Financial Optimization Techniques

    1.5 Credits
    The course introduces optimization concepts intended for coping with financial stochastic processes. The course involves both numerical analysis with commercial solvers and analytical approaches for gaining insights into underlying problems. The course covers three major optimization areas: convex optimization, non-convex optimization and stochastic programming. Conceptual frameworks and techniques are taught through applications and problems in financial engineering and management.

    Prerequisite(s): FRE-GY 6311  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6791 Operational Risk Measurement and Management

    1.5 Credits
    The operational difficulties faced by financial institutions have created a need for tools to measure and manage operational risk. An accurate appreciation of risks, exposures and controls is critical to managing risk effectively in today’s dynamic global business environment. This course examines the effects of transaction processing, liquidity management, organizational structure, personnel and compliance on the nature of operational risk. Qualitative and quantitative measures of operational risk are discussed.

    Prerequisite(s): FRE 6711.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6803 Financial Engineering (Research Course)

    3 Credits


    This course is a research/case effort and can be handled in different ways at the discretion of the faculty supervisor. The course may involve a series of cases that are dissected and analyzed. It may involve teaming students with industry personnel for proprietary or non-proprietary research projects. Or it may involve thesis-type research. Generally, students work under faculty supervision, but the course is intended to be largely self-directed within guidelines established by the supervising faculty member. A significant written research component is required.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department

    This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the chosen project.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

  
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    FRE-GY 6811 Financial Software Laboratory

    1.5 Credits
    This course teaches students to use financial software tools commonly employed in industry. Examples include: @Risk, Yieldbook, Excel, R, and C++.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6821 Financial Econometric Laboratory

    1.5 Credits
    This course teaches students to use Eviews and Stata.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6831 Computational Finance Laboratory

    1.5 Credits
    This course teaches students to use MATLAB and GAMS.

    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6861 Financial Software Engineering Laboratory

    1.5 Credits
    This financial lab requires students to publicly participate in a large software project. This participation could take the form of innovation, such as contributing to an open-source financial software project with the contributions being accepted and committed to the main branch, or invention, such as publishing a stand-alone library or package for a programming language commonly used in financial applications, or pure entrepreneurship, such as the development or updating of a brand-new industrial strength financial software application. As the students work on their project, this course will focus on important software engineering considerations specifically as they apply to the real-time world of financial projects, such as formalized procedures for revision control and bug tracking and other proven methods of software management in a fast-paced financial and business environment.

    Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6871 R in Finance

    1.5 Credits
    This course introduces the free programming language R and its many applications to finance including risk management, portfolio construction, strategy development and testing, and trading and execution. Topics covered include financial time series analysis, advanced risk tools, applied econometrics, portfolio management, and derivatives valuation. Students will be required to write some code in R every week.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123  and FRE-GY 6083 
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6883 Financial Computing

    3 Credits
    This course covers programming applications to financial engineering, including C++ and Java and the various common development environments for them. Topics include structured and object-oriented programming in C++ with applications to binomial options pricing, multi-threaded programming in Java with applets and graphical interfaces with applications to risk measurement tools, data-based manipulation and programming in SQL and standard database access libraries with applications to historical financial data series retrieval and management, and other advanced programming concepts important for financial engineering such as numerical techniques, trading systems, and large-scale software design.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6901 Selected Topics in Financial Engineering: QUANTITATIVE FINANCE & BIG DATA ANALYTICS (TOPFER CHAIR LECTURE SERIES)

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.

    Prerequisite(s): Advanced standing and instructor’s permission.
     
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6911 Financial Regulation

    1.5 Credits
    The course provides an overview of the legal and institutional framework of regulations for capital markets, with a strong emphasis on the United States with some discussion of the financial regulation of banks, insurance firms and financial services in general. In addition, attention is given to regulation in global and emerging markets. The goal is to develop a practical understanding for application in business decision making. The course explores the interplay of regulation (both intended and unintended effects), risk management and the evolution of global modern banking. In light of current market developments, the course develops a critical perspective and discusses potential approaches to the structure of financial regulation.

    Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 6921 Selected Topics in Financial Engineering, FINANCIAL MARKETS: COMMODITY FINANCIAL MARKET

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.

    Prerequisite(s): Advanced standing and instructor’s permission.
    Weekly Lecture Hours: 1.5
  
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    FRE-GY 6921-6991 Selected Topics in Financial Engineering

    1.5 Credits


    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.

    Prerequisite(s): Advanced standing and instructor’s permission.

    Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

  
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    FRE-GY 6931 Selected Topics in Financial Engineering: FINANCIAL COMPLIANCE & BANK REGULATIONS

    1.5 Credits
    Prerequisite(s): Graduate Standing.
    Weekly Lecture Hours: 1.5
  
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    FRE-GY 6971 Selected Topics in Financial Engineering: FINANCIAL ANALYTICS

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics will be emphasized and provide focus for further study. Examples might include urban finance engineering, environmental finance, infrastructure and projects finance, real estate finance, insurance finance and derivatives, macro hedge funds management, among others.

    Prerequisite(s): Advanced standing and instructor’s permission and Graduate Standing.
     
    Weekly Lecture Hours: 1.5
  
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    FRE-GY 6991 Selected Topics in Financial Engineering: FIN ADVISING & INVEST MGMNT

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include infrastructure and projects finance, international and global finance, economics and finance in developing countries, global finance in a global world, international investment strategies, finance and taxes, among others.

    Prerequisite(s): Advanced standing and instructor’s permission and Graduate Standing.
    Weekly Lecture Hours: 1.5
  
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    FRE-GY 7021 Financial Engineering Capstone: Internship

    1.5 Credits


    In this course, the Career Services Office helps the student to secure an internship. Students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A paper based on the internship work is required.

     

     

     

     

     

     

    Prerequisite(s): This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the internship and Graduate Standing.

     

     

     

  
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    FRE-GY 7023 Financial Engineering Capstone: Internship

    3 Credits


    In this course, the Career Services Office helps the student to secure an internship. Students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A paper based on the internship work is required.

    Prerequisite(s): This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the internship. Graduate standing required.

     
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

  
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    FRE-GY 7043 Financial Engineering Capstone: Project

    3 Credits
    In this project course, students work with faculty on proprietary or non-proprietary research projects. Generally, students work under faculty supervision. However, the course is intended to be largely self-directed within the guidelines established by the supervising faculty member. A significant written research component is required.

    Prerequisite(s): This course should be taken after the student has successfully completed two Semesters and has earned at least 18 credits. Prerequisites vary depending on the student’s track, the nature of the project to be undertaken, and Graduate Standing.
  
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    FRE-GY 7103 Macroeconomics

    3 Credits
    Macroeconomics deals with the performance, structure and behavior of a national or regional economy as a whole. This course provides the basic tools for analyzing macroeconomic phenomena. Economic models are developed that explain the relationship between factors such as national income, output, consumption, unemployment, inflation, savings, investment, international trade and international finance. Applications investigate the causes and consequences of short-run fluctuations in national income and attempts at predicting long-run economic growth.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7121 Statistical Arbitrage

    1.5 Credits
    Statistical arbitrage refers to strategies that combine many relatively independent positive expected value trades so that profit, while not guaranteed, becomes very likely. This course prepares students to research and practice in this area by providing the tools and techniques to generate and evaluate individual trading strategies, combine them into a coherent portfolio, manage the resulting risks, and monitor for excess deviations from expected performance. It introduces theoretical concepts such as cointegration, risk capital allocation, proper backtesting, and factor analysis, as well as practical considerations such as data mining, automated systems, and trade execution. Programming languages such as R, Python, or C++ will be used to present applications to data at low, intermediate and high frequency.

    Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123  and FRE-GY 6083 
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7211 Forensic Financial Technology and Regulatory Systems

    1.5 Credits
    The goal of this course is to understand the technology behind financial forensics and regulatory systems. These include innovative database techniques (“dataveillance”), artificial intelligence, data mining, and non-parametric outlier methods used by the Securities Exchange Commission (SEC), the Financial Industry Regulatory Authority (FINRA), as well as the FBI, and other federal and state agencies. Student teams will prepare and present projects or case studies applying the concepts covered in class.

    Prerequisite(s): FRE-GY 6153   and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7221 Big Data in Finance

    1.5 Credits
    This is an advanced course on practical computer science and database topics most relevant to financial applications. As such it covers fundamental concepts such as financial database design, use, and maintenance, distributed financial computing and associated storage, grid and cloud computing, modeling unstructured financial data, and data mining for risk management.

    Prerequisite(s): FRE-GY 6153  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7241 Algorithmic Portfolio Management

    1.5 Credits
    This course focuses on portfolio construction and rebalancing strategies such as momentum, value, and size strategies, among others. The course emphasizes backtesting and risk factor analysis as well as optimization to reduce tracking error. It will also address how a quantitative investment approach can help both individual and institutional investors make sound long-term investment decisions.

    Prerequisite(s): FRE-GY 6123  and Graduate Standing
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7251 Algorithmic Trading & High-Frequency Finance

    1.5 Credits
    Algorithmic trading refers to the utilization of special computer programs in an order management system that restructure an order into a sequence of sub-orders based on the dimensions of submission time, price, size, and side. The goal of this course is to survey several algorithmic strategies used by financial institutions and to understand their implementation in the context of order management systems and standard financial protocols (such as FIX and FIXatdl). Student teams will prepare and present projects or case studies applying the concepts covered in class.

    Prerequisite(s): FRE-GY 6153  and FRE-GY 7221  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7261 News Analytics and Strategies

    1.5 Credits
    The fast-growing field of news analytics requires large databases, fast computation, and robust statistics. This course introduces the tools and techniques of analyzing news, how to quantify textual items based on, for example, positive or negative sentiment, relevance to each stock, and the amount of novelty in the content. Applications to trading strategies are discussed, including both absolute and relative return strategies, and risk management strategies. Students will be exposed to leading software in this cutting-edge space.

    Prerequisite(s): FRE-GY 6153  and FRE-GY 7221  and Graduate Standing.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7703 Data Science for Financial Engineering

    3 Credits


    This is an on-line quantitative course especially geared toward Master of Science in Financial Engineering students. The course covers the statistical tools needed to model and estimate the joint dynamics of markets.

    Included are:
    - topics in multivariate statistics that are relevant for risk management and portfolio management
    - machine learning models as generalizations of linear factor models, omnipresent across finance
    - the connection between the estimation/calibration of machine learning models and classical and Bayesian econometrics
    - backtesting and model/estimation risk in the context of decision theory
    - distributional stress-testing for risk management and portfolio/business construction for portfolio management. The final exam may be administered on-line or in-person.

    Prerequisite(s): Matriculation into MS Financial Engineering or permission of FRE department.
    Weekly Lecture Hours: 3

  
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    FRE-GY 7773 Machine Learning in Financial Engineering

    3 Credits
    This course covers the theory of Machine Learning and its fundamental applications in the field of Financial Engineering. Supervised, unsupervised, and reinforcement learning paradigms are discussed.

    Prerequisite(s): Matriculation into MS Financial Engineering or permission of the FRE department.
    Weekly Lecture Hours: 3
  
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    FRE-GY 7801 Topics in Finance and Financial Markets I

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide focus for further study. Examples might include Financial Economics, Macroeconomics and Finance, the Bond market, the securities markets, Derivatives markets, Contract Theory, Credit and Counterparty Risks, Banking Finance and others.

    Prerequisite(s): Graduate Standing and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7811 Quant Topics in Financial Markets II: Financial Risk Management

    1.5 Credits
    The course analyzes and discusses current topics of particular importance in finance and risk engineering. Selected topics are emphasized and provide focus for further study. Examples can include Behavioral Finance, Personal Finance, Investment Theories and Alternative Finance, Corporate and Financial Responsibility, Financial Ethics, Hedge Funds Investment Strategies and their Management and macro hedge funds management, among others.

    Prerequisite(s): matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7821 Topics in Risk Finance I

    1.5 Credits
    Current topics of particular importance in Actuarial Science are analyzed and discussed. Course topics may include for example: Pension Funds management, Actuarial Science and Social Security, Life Insurance, Insurance and Financial Products design and management.

    Prerequisite(s): Advanced standing and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7831 Topics in Financial and Risk Engineering I: FINANCIAL ANALYTICS & BIG DATA

    1.5 Credits
    Current and selected topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Topics include Credit Risk and Credit Derivatives, Quantitative Methods in Rare Events, Energy, Oil and Water Finance as well as advanced topics in financial econometrics and computational finance.

    Prerequisite(s): Graduate Standing and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7841 Topics in Risk Finance II

    1.5 Credits
    Current and selected topics of particular importance in Actuarial Science and in the insurance-finance convergence are analyzed and discussed. Course topics may include Risk Engineering and the Insurance Business, Principles of Insurance Management in a Dynamic and Global Setting, Finance-insurance convergence.

    Prerequisite(s): Advanced standing and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7851 Topics in Financial and Risk Engineering II

    1.5 Credits
    Current topics of particular importance in finance and risk engineering are analyzed and discussed. Selected topics are emphasized and provide a focus for further study. Examples can include urban finance engineering, environmental finance, infrastructure and projects finance, real-estate finance, insurance finance and derivatives, and macro hedge funds management.

    Prerequisite(s): Graduate Standing and instructor’s permission.
    Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    FRE-GY 7871 Topics in Financial Information Services and Technology: FINANCIAL DATA VISUALIZATION

    1.5 Credits
    Weekly Lecture Hours: 1.5
  
  •  

    FRE-GY 7891 Topics in Management of Financial Services: FINANCIAL COMPLIANCE & BANKING REGULATION

    1.5 Credits
    Weekly Lecture Hours: 1.5
  
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    FRE-GY 9973 MS Thesis in Finance & Risk Engineering

    3 Credits
    In this research course, students undertake proprietary or non-proprietary research and write a thesis-type research paper. Generally, students work under faculty supervision. However, the course is intended to be largely self-directed within guidelines established by the supervising faculty member.

    Prerequisite(s): Graduate Standing. This course should be taken during the student’s final semester. Prerequisites vary depending on the student’s track and the nature of the thesis project.
    Weekly Lecture Hours: 3 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0

General Engineering

  
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    EG-UY 1001 Engineering and Technology Forum

    1 Credits
    In this course, the notions of invention, innovation and entrepreneurship (i2e) are brought to the forefront of students’ educational experience in an effort to introduce undergraduates to elements of a research-intensive institution and encourage intellectual and scholarly interaction with their peers and faculty. This course includes presentations and discussions on emerging and exciting topics by leading engineers, scientists, inventors and entrepreneurs discussing case studies on innovations, inventions and entrepreneurship as well as relevant contemporary and emerging environmental-, economic-, global-, energy- and health-related topics. The course exposes students to an array of collegiate academic skills such as the elements of a research-intensive institute, information-technology resources and ethics in science and engineering, as well as discussions of student life-related topics and issues.

    Weekly Lecture Hours: 1 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
  
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    EG-UY 1003 Introduction to Engineering and Design

    3 Credits
    This course introduces selected aspects of the history, philosophy, methodology, tools and contemporary topics in engineering. Also included are basic engineering experimentation and data analysis, a team-design project and analysis and presentation of engineering data and designs.

    Weekly Lecture Hours: 1 | Weekly Lab Hours: 3 | Weekly Recitation Hours: 1.5
  
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    EX-UY 1 Examination Hour


  
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    EX-UY 2 Examination Hour


  
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    VIP-UY 300X Vertically Integrated Projects

    1-3 Credits
    The Vertically Integrated Projects I-IV courses are designed to allow select students to participate in ongoing research projects within student teams, under the direction of faculty from within Tandon, and other schools of NYU. These courses are open to students from the sophomore to senior years, and students must apply to engage in a specific project in a given semester. Decisions on acceptance will be made by the faculty advisors for the project, in consultation with the Director of the VIP Program.

    Prerequisite(s): Department Consent Required.

General Studies

  
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    GS-UY 101 Computer Skills for Engineers


    This course focuses on the basic functions and intricacies of AutoCAD, MATLAB and/or Python. Course requirements: weekly lab assignments, a midterm and final exam, and an individual project synthesizing the course content.

  
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    GS-UY 102 Pre-college Writing


    This course helps to prepare students for college-level writing. Class time includes reading and writing exercises, grammar quizzes and lessons and a close examination of student writing (workshops). Course requirements include daily participation, weekly quizzes/essays, daily homework assignments and multiple written assignments and revisions.

  
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    GS-UY 103 Pre-college Math


    This course helps to prepare students for math at NYU-Poly. The math course taken over the summer will be determined by the results of the Math Assessment. Course requirements: daily participation, weekly quizzes, daily homework assignments and a midterm and final exam.

  
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    GS-UY 106 Pre-college Physics


    This course introduces the foundational concepts and laws of physics and their connection to the engineering disciplines. The subject matter helps students apply scientific methods to physical problems and prepares them for university-level physics. Topics include vectors, kinematics, Newton’s Laws, work and energy, momentum and collision theory, rotational motion, and angular momentum. Course requirements: daily participation, weekly quizzes, daily homework and a midterm and final exam.


Higher Education Oppurtunity Program

  
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    HE-UY 1 Study Skills

    NC Credits
    This skills workshop prepares students for the academic and social challenges of college. Workshop topics include self-exploration and development of skills, such as taking notes, preparing for examinations and evaluating academic goals. This course is offered only in the fall semester.

    | Weekly Lab Hours: 1 | Weekly Recitation Hours: 0

History

  
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    HI-UY 2204/W Medieval Technology

    4 Credits
    This course considers medieval heritage, culture, society, technology and its impact and continuity in modern times. The course looks at the nuclear family as it originated in medieval times, and emphasizes concepts of modern law, religion, war, science, race and class.

    Prerequisite(s): Completion of first year writing requirements
    Note: Satisfies a humanities and social sciences elective.

  
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    HI-UY 2234 Introduction to the History of Western Technology

    4 Credits
    This course surveys generally the history of technology (from the early modern period to the present) and investigates how technology shapes society, and how society molds technology. Topics include ancient technologies, the printing press, the Industrial Revolution, the replacing of laborers with machines, electricity, transportation, Ford and the invention of the automobile, Taylorism and the organization of labor, technology during World War II (including radar, V1and V2 rockers and the Enigma machine) and the rise of the NASA space program.

    Prerequisite(s): Completion of first year writing requirements
    Note: Satisfies a humanities and social sciences elective.

  
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    HI-UY 2254/W From Heat Engines to Black Holes

    4 Credits
    What is the nature of heat? How does it relate to atoms, black holes, information and a demon in a box full of gas molecules? This course answers these questions by developing the history of thermodynamics. That history begins with early 18th-century caloric theories of heat, 19th-century analyses of steam engines, the kinetic theory of gases, the statistical approach to mechanics, atomic theories of matter, the concept of entropy, early 20th-century concepts of information and, finally, current applications to black holes (as well as Maxwell and his famous demon). The course considers theoretical descriptions of the phenomena and the technologies derived from them.

    Prerequisite(s): Completion of first year writing requirements
    Note: Satisfies a humanities and social sciences elective.

  
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    HI-UY 2264 The Ship

    4 Credits
    Ships, the largest human-made moving objects, have played a pivotal role in trade and warfare throughout history. This course covers the history, development and technology of ships from ancient times to the present. The course discusses aspects of the atmosphere and seas as they relate to ship design and use. Technological advances in hull design, materials, sails and power also will be discussed. The use of ships in trade, human transportation, warfare, fishing, piracy and global exploration are covered, along with the satellite industries of shipbuilding and port support. The course also looks at the manning of ships, the social and military organization, the life of mariners, the development of navigation and its technologies in an historical context, and submarine evolution and technologies.

    Prerequisite(s): Completion of first year writing requirements
    Note: Satisfies a humanities and social sciences elective.

  
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    HI-UY 2353 A History of NYC Transit and the Development of NYC

    3 Credits
    This course traces the technological history of public transportation in New York City and investigates its role in the development of the city, its economy and its social fabric. From the early days of horse-drawn public carriages to the modern subway system, the role of the public transit in the historical development patterns of New York City is treated. The course covers trolley systems, the age of the elevated railways and the subway system. Political, social and economic issues involved in the development of these critical infrastructures are discussed. Students develop independent project reports on aspects of the NYC public transit system, or on public-transit systems in other major world cities.

    Prerequisite(s): Junior Status or permission of instructor.
    Note: Satisfies a humanities and social sciences elective.

  
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    HI-UY 2364 History of Aviation and Aviation Technology

    4 Credits


    In little more than 100 years, aviation has passed from a ground-hugging flight of less than a minute to high-altitude, supersonic flights that cross continents and oceans. This course surveys the history of aviation and the technological innovations that led to this crucial modern technology. This course also discusses the physics of flight, how increased understanding of aerodynamic principles led to successive aircraft improvements, and the development of new materials and control systems. Although military research drove many technological innovations, this course focuses on the economics and development of commercial aviation, which has changed the world. The course also looks at ultramodern trends in aircraft design and control, including unmanned cruise missiles and aircraft, and new commercial-aircraft designs and production techniques.

    Prerequisite(s): Completion of first year writing requirements

     
    Note: Satisfies a humanities and social sciences elective.

 

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