Graduate Courses

For course details prior to the listed term, please visit the Office of the Registrar.

Spring 2024

Financial Econometrics
Subject associations
ORF 504 / FIN 504

Econometric and statistical methods as applied to finance. Topics include: Asset returns and efficient markets, linear time series and dynamics of returns, volatility models, multivariate time series, efficient portolios and CAPM, multifactor pricing models, portfolio allocation and risk assessment, intertemporal equilibrium models, present value models, simulation methods for financial derivatives, econometrics of continuous time finance.

Directed Research I
Subject associations
ORF 509

Under the direction of a faculty member, each student carries out research and presents the results. Directed Research is normally taken during the first year of study.

Instructors
Directed Research II
Subject associations
ORF 510

Under the direction of a faculty member, each student carries out research and presents the results. Directed Research II has to be taken before the General Exam.

Instructors
Asset Pricing II: Stochastic Calculus and Advanced Derivatives
Subject associations
ORF 515 / FIN 503

The course covers the pricing and hedging of advanced derivatives, including topics such as exotic options, greeks, interest rate and credit derivatives, as well as risk management. The course further covers basics of stochastic calculus necessary for finance. Designed for Masters students.

Instructors
Convex and Conic Optimization
Subject associations
ORF 523

A mathematical introduction to convex, conic, and nonlinear optimization. Topics include convex analysis, duality, theorems of alternatives and infeasibility certificates, semidefinite programming, polynomial optimization, sum of squares relaxation, robust optimization, computational complexity in numerical optimization, and convex relaxations in combinatorial optimization. Applications drawn from operations research, dynamical systems, statistics, and economics.

Instructors
Statistical Foundations of Data Science
Subject associations
ORF 525

A theoretical introduction to statistical machine learning for data science. It covers multiple regression, kernel learning, sparse regression, high dimensional statistics, sure independent screening, generalized linear models, covariance learning, factor models, principal component analysis, supervised and unsupervised learning, deep learning, and related topics such as community detection, item ranking, and matrix completion.These methods are illustrated using real world data sets and manipulation of the statistical software R.

Instructors
Stochastic Calculus
Subject associations
ORF 527

This course is an introduction to stochastic calculus for continuous processes. The main topics covered are: construction of Brownian motion, continuous time martingales, Ito integral, localization, Ito calculus, stochastic differential equations. Girsanov theorem, martingale representation, Feynman-Kac formula. If time permits, a brief introduction to stochastic control will be given.

Instructors
Stochastic Optimal Control
Subject associations
ORF 542

We start this lecture by introducing some classical stochastic control problems, including optimal portfolio allocation, Merton utility maximization problem, real option, and contract theory. This introduction motivates us to study, after a short recall on stochastic calculus, some ways to solve stochastic control problems as well as optimal stopping problem. This leads us on a journey through the dynamic programming principle, the Hamilton Jacobi Bellman (HJB) equations, the notion of viscosity solution, up to the theory of BSDEs.

Instructors
High Frequency Markets: Models and Data Analysis
Subject associations
ORF 545 / FIN 545

An introduction to the theory and practice of high frequency trading in modern electronic financial markets. We give an overview of the institutional landscape and basic empirical features of modern equity, futures, and fixed income markets. We discuss theoretical models for market making and price formation. Then we dig into detailed empirical aspects of market microstructure and how these can be used to construct effective trading strategies. Course work is a mixture of theoretical and data-driven problems. Programming environment is a mixture of the R statistical environment, with the Kdb database language.

Instructors
Robert Almgren
Topics in Probability: Probability in High Dimension
Subject associations
ORF 550 / APC 550

An introduction to nonasymptotic methods for the study of random structures in high dimension that arise in probability, statistics, computer science, and mathematics. Emphasis is on developing a common set of tools that has proved to be useful in different areas. Topics may include: concentration of measure; functional, transportation cost, martingale inequalities; isoperimetry; Markov semigroups, mixing times, random fields; hypercontractivity; thresholds and influences; Stein's method; suprema of random processes; Gaussian and Rademacher inequalities; generic chaining; entropy and combinatorial dimensions; selected applications.

Instructors