College: Graduate School of Science and Engineering

This major provides a comprehensive understanding of the principles and practices of financial engineering, focusing on the application of mathematical and computational techniques to solve financial problems. Students explore key areas such as quantitative finance, risk management, derivatives pricing, and algorithmic trading. The program emphasizes analytical thinking, technical skills, and the use of financial models to enhance investment strategies and financial risk management. Graduates are prepared for careers in investment banking, hedge funds, asset management, and financial consulting.

Learning Objectives:

• Understand the fundamentals of financial engineering and quantitative finance.
• Develop skills in financial modeling, risk assessment, and portfolio optimization.
• Learn techniques for derivatives pricing and financial risk management.
• Explore the role of algorithmic trading and FinTech in modern finance.
• Understand the principles of financial markets and instruments.
• Analyze challenges and opportunities in the financial engineering industry.
• Develop critical thinking and problem-solving skills for financial projects.

Main Curriculum:

1. Introduction to Financial Engineering
   • An overview of the field, its history, and its importance in financial markets.
2. Quantitative Finance
   • Study of mathematical and statistical methods used in finance.
   • Techniques for developing financial models and analyzing market data.
3. Risk Management
   • Principles of identifying, measuring, and managing financial risks.
   • Techniques for using risk models and hedging strategies.
4. Derivatives Pricing
   • Fundamentals of options, futures, and other derivative instruments.
   • Techniques for pricing derivatives using models like Black-Scholes and Monte Carlo simulation.
5. Portfolio Optimization
   • Study of portfolio theory, asset allocation, and performance measurement.
   • Techniques for optimizing investment portfolios using quantitative methods.
6. Algorithmic Trading
   • Explore algorithmic trading and high-frequency trading strategies.
   • Techniques for developing and implementing trading algorithms.
7. Financial Technology (FinTech)
   • Analysis of innovations such as blockchain, cryptocurrencies, and robo-advisors.
   • Techniques for integrating FinTech solutions into financial engineering practices.
8. Financial Markets and Instruments
   • Study of equity markets, fixed income, and foreign exchange.
   • Techniques for analyzing and trading financial instruments.
9. Emerging Trends in Financial Engineering
   • Explore new developments such as machine learning, big data, and regulatory changes.
   • Techniques for adapting to new trends and technologies in the financial industry.
10. Capstone Project in Financial Engineering
    • A practical project applying acquired skills in financial modeling, risk management, or algorithmic trading.
    • Techniques for delivering a comprehensive financial engineering solution.

Assessment Methods:

• Financial modeling projects and quantitative analysis.
• Written assignments on derivatives pricing, risk management, and portfolio optimization.
• Group projects in algorithmic trading and FinTech applications.
• Participation in internships or fieldwork with financial institutions or consulting firms.

Recommended Textbooks:

• "Options, Futures, and Other Derivatives" by John C. Hull.
• "Financial Engineering and Computation" by Yuh-Dauh Lyuu.
• "Quantitative Finance for Dummies" by Steve Bell.
• "Algorithmic Trading: Winning Strategies and Their Rationale" by Ernest P. Chan.

Prerequisites:

Basic knowledge of mathematics, statistics, and finance is recommended. Suitable for students in finance, economics, mathematics, and related fields.

Duration of the Major:

Typically 4 years, including coursework, projects, and internships.

Certification:

Graduates may earn a degree in financial engineering or a related field and may pursue additional certifications (e.g., CFA, FRM).

Target Audience:

Aspiring financial engineers, quantitative analysts, risk managers, and investment professionals seeking to excel in applying mathematical and computational techniques to financial problems. This major equips students with the technical, analytical, and problem-solving skills needed to excel in financial engineering, driving innovation in financial modeling, risk management, and investment strategies.