加州大學伯克利分校金融工程碩士培養(yǎng)方案

UniversityofCaliforniaatBerkeley-

MScFinancialEngineering

Berkeley,CA,UnitedStates

ProgramContacts:

(Dr.LindaKreitzman)

UpdatedOct

TheSummary:

OnApril14,1998,thefinancefacultyatUCBerkeley’sHaasSchoolofBusiness,undertheguidanceofProfessorEmeritusDavidPyle,presentedtheschoolwithaproposalfortheMaster'sinFinancialEngineeringProgram,thefirsteverprogramofitskindofferedatabusinessschool.Dr.PyleandtheFinancegroupwantedtoofferaprograminfinancialeconomicsthatwould:

1.offerpragmaticandtimelyengineeringsolutionsto

sophisticatedissuesinfinancialmarketsandmanagement.

2.meetthepractitionerneedsforcareer-longlearningandstrengthenthepracticeofriskmanagementandquantitativefinance.

3.provideeducationinafieldinwhichtheycollectivelyholdaleadershipposition.

StudentsintheMFEprogramlearntoemploytheoreticalfinanceandcomputermodelingskillstomakepricing,hedging,tradingandportfoliomanagementdecisions.Coursesandprojectsemphasizethepracticalapplicationsoftheseskills.

CourseStructure/Topics:

March23,-March12,

Thefullprogramconsistsof28requiredunitsincludinganAppliedFinanceProject(1unit=15classhours).

Pleasenotethatnotallelectiveswillbeofferedeveryyear.Thisscheduleistentativeandwillbeupdatedeveryterm.

Spring:March23-May25,(8weeks)

FundamentalsofFinancialEconomics

(2units)-JohnMartinez

EmpiricalMethodsinFinance

(3units)-TBA

IntroductiontoStochasticCalculus

(2units)-AlexeiTchstyi

FinancialInstitutionsSeminarI

Summer:June1-July30,(8weeks)

Derivatives:EconomicConcepts

(2units)-MarkRubinstein

Derivatives:QuantitativeMethods

(2units)-DomingoTavella

FixedIncomeMarkets

(2units)-RichardStanton

AccountingandTaxationofDerivatives

(1unit)-SuneelUdpa

FinancialInstitutionsSeminarII

Fall:August10,-October9,(8weeks)

RequiredCourse:

FinancialRiskMeasurementandManagement

(2units)-Yuqing(Jeff)Shen

Choose5unitsofelectives:

AdvancedComputationalFinance

(2units)-DomingoTavella

SuccessandFailureinFinancialInnovation

(1unit)-JohnO'Brien

TheDesignofSecuritiesforCorporateFinancing

(1unit)-MukeshBajaj

CreditRiskModeling

(2units)-JeffreyBohn

Equity&CurrencyMarkets

(2units)-MichaelMelvinandRonKahn

IndependentStudy(1-3units)-Faculty

InternshipPeriod-:

October12,-January15,(12weeks)

TheInternship/SpecialTopicsinFinanceProjectbeginsOctober12,andendsonJanuary15,.StudentsmustenrollinMFE230N,theInternship/SpecialTopicsinFinancecourseforthefallterm.

Winter:January19-March19,(8weeks)

Choose7unitsofcoursework:

Asset-backedSecurityMarkets

(2units)-NancyWallaceandDwightJaffee

DynamicAssetManagement

(2units)-HayneLeland

BehavioralFinance

(2units)-TerryOdean

RealOptions

(2units)*

AppliedFinanceProject

(Required)(1-3units)-EricReiner

*TheRealOptionscourseisnotofferedeachyear.

TheMFEprogramrequiressatisfactorycompletionof28unitsofcourseworkplusaninternshiporon-siteproject.Inadditiontocoursework,theMFEeducationalexperienceincludesthefollowing:

FinancialPracticeSeminars:MFEstudentsareencouragedtoattendweeklydiscussionsheldbyfinancepractitioners.InthefirsttermspeakersdiscussjobsavailabletograduatesoftheMFEandtheskillsneededtocontributetoafirm'smission.Inthesecondterm,speakersprovideinsightsintothewaythefinancialworldischanging:newproductsandneeds;evolvingdataandinformationsystems;andsimilartopics.

AppliedFinanceProject:MFEstudentsarerequiredtocompleteanappliedfinanceprojectthatdevelopsorusesquantitativefinancetoolsandtechniqueslearnedintheprogramorinternship.

InternshipProgram:TheInternship/SpecialTopicsinFinanceprojectisarequiredconditionforgraduation.Theinternshiporapproved,on-siteprojecttakesplacefrommid-Octobertomid-January.

KeyStats:

AcceptanceRate:25%

AnnualIntake:65

ApplicationDeadline:Rolling

AverageAgeatEntry:28

AverageYearsofWorkExperienceofClass:4.22

Dissertation/Thesis:Appliedfinanceproject

DurationofProgram:12months+30hour"MathematicsforFinancialEngineers"refreshercourseand"BasicsofC/C++ProgrammingforFinancialEngineers"course.

EntryRequirements:

---MinimumGPAof3.00

---4YearBachelor'sdegree

---TOEFL:230/300;570/677

---Essaysdemonstratingapassionforfinanceandpotentialforleadership

---Calculus,LinearAlgebra,DifferentialEquations,NumericalAnalysis,AdvancedStatistics&Probability

---Microeconomics,Macroeconomics,BasicFinance

---BasicC/C++

GMAT:Average-Quant(49=91%),Verbal(36=75%),Analytical(4.5=59%)

GPA:Average-3.66

GRE:Average-Quant(781=91%),Verbal(578=72%),Analytical(641=71%)

InternationalStudents:61%

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