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MS in Quantitative Finance Curriculum
The Master of Science in Quantitative Finance consists of a 12-month full-time course of study, taught entirely in English, that commences with a Summer term at NYU Stern in New York City followed by Fall and Spring terms at NYU Shanghai.
The three-semester curriculum is 36 credits, including a capstone project that culminates the program and connects students with real-world practice. During the capstone, students work in small teams to apply the analytical techniques they’ve learned in class to solve a case situation presented by a corporate client.
In the classroom, leading faculty from both NYU Shanghai and NYU Stern help students to delve into complex material and attain mastery of principal concepts and methodologies. Integrated throughout are topically relevant discussions, exercises and simulations that serve to further illuminate course content.
The following is a representative sample curriculum. In a given year, individual courses could vary.
SUMMER 15 credits
Business Communication (1.5 credits)
Persuasive communication is a vital component to many aspects of business life. This course introduces the basics of communication strategy and persuasion: audience analysis, communicator credibility, and message construction and delivery. Written and oral presentation assignments derive from cases that focus on communication strategy. Students receive feedback to improve presentation effectiveness. Additional coaching is available for students who want to work on professional written communication.
Foundations of Finance (3 credits)
This is a quantitative course introducing the fundamental principles of asset valuation within the framework of modern portfolio theory. The key analytical concepts are present value, option value, risk/diversification and arbitrage. These tools are used to value stocks, bonds, options, and other derivatives, with applications to the structure of financial markets, portfolio selection, and risk management.
Statistics and Data Analysis (3 credits)
This course is designed to achieve an understanding of fundamental notions of data presentation and data analysis and to use statistical thinking in the context of business problems. The course deals with modern methods of data exploration (designed to reveal unusual or problematic aspects of databases), the uses and abuses of the basic techniques of inference, and the use of regression as a tool for management and for financial analysis.
Stochastic Modeling and Simulation (3 credits)
Stochastic modeling and simulation plays an important role in making decisions related to the overall health of the firm. In this course we will develop both spreadsheet models and discrete event simulations to help firms predict the range of likely future scenarios that they may face and also to analyze the effects of decisions that they make. Data analysis on simulation outputs will also be taught. Applications covered in the course include the analysis of several investment opportunities, project management, inventory theory and the analysis of queueing models.
Corporate Finance (3 credits)
This course helps students develop an analytical framework for understanding how organizations make investment and financing decisions. Students also learn the theory and practice of various valuation techniques. There is an emphasis on understanding the theory and its applications to the real world as well as appreciating the limitations of the tools in practical settings. Specific topics include capital budgeting, investment decision rules, discounted cash flow valuation, real options, cost of capital, capital structure, dividend policy, and valuation methods such as WACC and APV.
Emerging Markets Finance (1.5 credits)
This course is designed from the perspective of an investment manager specializing in emerging and frontier markets. Students will be responsible for developing a methodical investment process for optimizing the performance of an investment portfolio, as is done at major investment firms, mutual funds, pensions, endowment or sovereign funds. Investment opportunities in emerging financial markets around the world are examined in the context of country and regional dynamics and the drivers of economic growth and corporate profits. Challenges considered include political risk, currency risk, monetary policy, asymmetric information, speculative pressure, and market manipulation. Liquidity limitations, legal constraints, and varying accounting rules and standards also will be examined. Investment and alpha generating opportunities in emerging markets will be contrasted to those available in developed markets, with a focus on valuations, cyclicality, market efficiency and the role of institutional investors and ETFs. This course will only look at equities.
FALL 12 credits
Debt Instruments & Markets (3 credits)
Covers the valuation of fixed income securities and investment strategies utilizing them. Topics include the mathematics of bond valuation, immunization, history of interest rate structures, varieties of debt instruments, default, and country risk considerations. The role of financial futures and options on bond portfolio strategies is analyzed, as well as more traditional approaches to debt portfolio strategies.
Futures & Options (3 credits)
Covers derivative securities and markets. The primary focus is on financial futures and options, but there is also reference to the extensive markets in commodity market instruments. Topics include market institutions and trading practices; valuation models; hedging and risk management techniques; and the application of contingent claims analysis to contracts with option-type characteristics. The material is inherently more quantitative than in some other courses.
Fundamentals of FinTech (3 credits)
This class explores how FinTech changes the practice of risk management in financial firms. Risk management requires understanding, measuring, and managing market risk, credit risk, liquidity risk, and operational risk. The class presents the technology behind enterprise risk systems and shows how to manage risk using quantitative models. We consider how recent FinTech innovations such as Blockchains, mobile technologies, etc., can change the way these risk systems operate, and create a new demand for talents in risk departments. We also study the specific risk management and regulatory challenges faced by FinTech firms. The class has two main objectives. The first objective is to introduce the principles of risk management that anyone working for a financial firm needs to understand. The second objective is to discuss specific opportunities and challenges created by the use of new technologies in finance. Financial technology has gone through three major stages. In 1960s, back office paper based processes migrated to mainframe computers, using standard CUSIP’s and equity clearing houses and depositories. The second stage used PCs, communications networks to address the front office, FIX standards brought online banking, trading and electronic markets. The third, and the subject of our class, is “fin-tech”, where innovative use of technology disrupts existing financial processes and businesses.
Chinese Financial Markets (3 credits)
This course introduces the institutions, instruments, and empirical regularities of China financial markets and the role these markets play in the broader Chinese economy. The goal of the course is to provide students with a comprehensive understanding of Chinese financial markets. It focuses on current issues and debates about Chinese financial markets, including the Chinese stock markets and bond markets, mutual fund and hedge fund industry, Chinese derivative markets, the Chinese banking system and other important topics. This course will not only cover fundamental information and knowledge about China financial markets, but also introduce frontier and concurrent research and applications.
SPRING 9 credits
Capstone Project (3 credits)
The Capstone Project is a for-credit experiential learning course that integrates and weaves together concepts learned from the other constituent courses that comprise the curriculum and links them to practical applications. In small groups, students will work together to solve cases presented by companies.
Volatility and Credit Risk (3 credits)
This course deals with the ways in which risks are quantified and managed. It first introduces how to measure and forecast financial volatility, including ARCH/GARCH Models and their extensions, high frequency stochastic volatility models and implied volatilities from options. These tools will be used to measure risk and analyze alternative approaches to calculating Value at Risk. Then the course turns to introduce commonly used models of credit risk and credit related instruments. Credit risk is the possibility that a counterparty defaults on a payment. Models of default risk of a single counterparty are studied, and then extended to the case of portfolios of credit-sensitive assets.
Portfolio Management (3 credits)
Builds on the conceptual foundations of the portfolio material introduced in the Foundations of Finance Course. Focuses on methods of constructing and evaluating portfolios in a variety of settings. Topics include complex portfolio objectives, alternative implementation strategies, measurement of portfolio performance, the role of computers and asset allocation schemes in risk management, and the macromarket impacts of portfolio strategies.