M.Phil.-Ph.D. Programme Area IV: Financial Engineering

SEG 5550 Computational Intelligence in Financial Information Systems
SEG 5570 Numerical Methods in Finance
SEG 5590 Financial Decision Models
SEG 5620 Data Warehousing for Financial Engineering
SEG 5670 Advanced Models in Financial Engineering

SEG 5550 Computational Intelligence in Financial Information Systems

Characteristics of financial data, patterns, and models, time-series representation and predication. Limitations of classical systems identification for predication problems. Nonlinear system modeling and learning using neural networks, multiple models, and chaotic pattern detection, Heuristic approaches of AI, genetic programming, and data mining in an integrated knowledge-based system for financial engineering applications.

SEG 5570 Numerical Methods in Finance

This course emphasizes the use of numerical methods for solving financial problems. The numerical methods include: binomial trees, Monte Carlo simulation, stochastic programming, linear/quadratic control models and semidefinite programming techniques. Those techniques will be applied, among other things, to: option pricing, index tracking, portfolio optimization, interest rate models, and asset/liability management.

SEG 5590 Financial Decision Models

Utility theory. Mean-variance model. Capital asset pricing. Asset dynamics, Ito processes. Option pricing, Black-Scholes formula. Term structure, interest-rate derivatives. Introduction to stochastic optimal control model and Hamilton-Jacobi-Bellman equation.

SEG 5620 Data Warehousing for Financial Engineering

This course addresses the data and decision aspects of financial information systems. The data aspect includes collection, cleansing, storage, and retrieval of quantitative and qualitative financial data. The decision aspect include on-line analytical processing on financial data and data mining for nontrivial data pattern and knowledge.

SEG 5670 Advanced Models in Financial Engineering

This course covers various applications of engineering technicalities in financial modeling. Emphasis will be on two main topics: investment portfolio optimization and financial derivative pricing. We introduce dynamic programming approach, martingale and PDE numerical solutions, Monte Carlo simulation methods for solving these two problems.