Master of Science in Financial Mathematics and Stastistics Orientation Session, Fall 2009

Welcome!

What Make this Program Distinguished? Derivative modeling Derivative modeling Equity Equity Fixed income Fixed income Credit Credit Inflation Inflation Hybrid and structured products Hybrid and structured products Risk Management Risk Management Financial economics Financial economics

Teaching Staff from UST Prof. Yue-Kuen Kwok, Financial Mathematics Prof. Yue-Kuen Kwok, Financial Mathematics Prof. Qi-Man Shao, Probaility Prof. Qi-Man Shao, Probaility Prof. Bin-Yi Jing, Probability Prof. Bin-Yi Jing, Probability Prof. Kani Chen, Statistics Prof. Kani Chen, Statistics Prof. Man-Yu Wong, Statistics Prof. Man-Yu Wong, Statistics Prof. Shi-Qing Ling, Statistics Prof. Shi-Qing Ling, Statistics Prof. Mike So, Statistics Prof. Mike So, Statistics Visiting Prof. Jerome Yan, Finance Visiting Prof. Jerome Yan, Finance Dr. Mei-Choy Chiu Dr. Mei-Choy Chiu Prof. Lixin Wu, Financial Mathematics Prof. Lixin Wu, Financial Mathematics

Teaching Staff from Outside Dr. Chun-De Shum (former senior VP of JP Morgan), Quant Programmer Dr. Chun-De Shum (former senior VP of JP Morgan), Quant Programmer Prof. Harry Zheng (Imperial College), Financial Mathematics Prof. Harry Zheng (Imperial College), Financial Mathematics Prof. M. Dai (NUS), Financial Mathematics Prof. M. Dai (NUS), Financial Mathematics Prof. M. Kijima (Kyoto Univ.), Financial Mathematics and Applied Economics Prof. M. Kijima (Kyoto Univ.), Financial Mathematics and Applied Economics Dr. S.Y. Leung (Citigroup) Dr. S.Y. Leung (Citigroup) Dr. Bon Ho (Macquaire) Dr. Bon Ho (Macquaire) Mr. Y.F. Lam (HSBC) Mr. Y.F. Lam (HSBC) Mr. G.X. Wu (Essense Security) Mr. G.X. Wu (Essense Security)

Regulations for Course Taking Full-time students are advised to take no more than four courses per semester Full-time students are advised to take no more than four courses per semester Part-time students should take nor more than two courses, or he/she should change to full- time mode (The change of mode can only be made once). Part-time students should take nor more than two courses, or he/she should change to full- time mode (The change of mode can only be made once).

Degree Requirement: 30 credits and a B or better GPA  Category of courses  6 credits from the list of foundation courses  9 credits from the list of courses in financial mathematics  9 credits from the list of courses in statistics  6 credits as free electives*   A graduation GPA of B or above.  Program webpage.  For other information, please visit Program webpage. Program webpage. Program webpage.

A Complete List of Courses Courses of the MSc Program Courses of the MSc Program Courses of the MSc Program Courses of the MSc Program Courses of Mathematics of Fall Semester Courses of Mathematics of Fall Semester Courses of Mathematics of Fall Semester Courses of Mathematics of Fall Semester

Courses for Fall 2009 MAFS 501 Stochastic Calculus (B.Y. Jing) MAFS 501 Stochastic Calculus (B.Y. Jing) MAFS 511 Advanced Data Analysis with Statistical Programming (M. So) MAFS 511 Advanced Data Analysis with Statistical Programming (M. So) MAFS 524 Software Development with C++ for Quantitative Finance (C.D. Shum) MAFS 524 Software Development with C++ for Quantitative Finance (C.D. Shum) MAFS 601B Financial Derivatives and Martingale Pricing Theory (M.C. Chiu) MAFS 601B Financial Derivatives and Martingale Pricing Theory (M.C. Chiu)

Course of Spring 2010 MAFS 513 Quantitative Analysis of Financial Time Series (SQ Ling) MAFS 513 Quantitative Analysis of Financial Time Series (SQ Ling) MAFS 522 Quantitative and Statistical Risk Analysis (Y.F. Lam, G. Wu and L. Wu) MAFS 522 Quantitative and Statistical Risk Analysis (Y.F. Lam, G. Wu and L. Wu) MAFS 601A Volatility Derivatives and Structured Products (Y.K. Kwok, B. Ho, J. Yen), or MAFS 601A Volatility Derivatives and Structured Products (Y.K. Kwok, B. Ho, J. Yen), or MATH 572 Interest Rate Models (L. Wu) MATH 572 Interest Rate Models (L. Wu) MATH 685A Mathematical Models of Financial Economics (Y.K. Kwok) MATH 685A Mathematical Models of Financial Economics (Y.K. Kwok) MATH 685B Volatility Smile Modeling (L. Wu) MATH 685B Volatility Smile Modeling (L. Wu)

Courses for the 1 st Summer Session of 2010 MAFS 523 Advanced Credit Risk Models (H. Zheng) MAFS 523 Advanced Credit Risk Models (H. Zheng) MAFS 525 Computational Methods for Pricing Structured Products (YK Kwok) MAFS 525 Computational Methods for Pricing Structured Products (YK Kwok)

Courses for the 2 nd Summer Session of 2010 MAFS 502 Advanced Probability and Statistics (MC Chiu) MAFS 502 Advanced Probability and Statistics (MC Chiu)

An Interdisciplinary Program Three corner stones Three corner stones Financial Economics MathematicsIT skills Economics Finance Financial markets Business Probability Statistics Stoch. Analysis PDE Numer. Anal. C++, Java, VBA, Pearl, R, database management

Job Related Issues

Types of Institutions Investment banks Investment banks Hedge funds Hedge funds Asset management companies Asset management companies Securities firms Securities firms Insurance companies Insurance companies Commercial banks Commercial banks

Targeted Professions Derivatives traders Derivatives traders Quantitative programmers Quantitative programmers Sales of financial instruments Sales of financial instruments Software developers Software developers Quantitative analysts Quantitative analysts Quant for trading desks Quant for trading desks Quant for middle and back offices Quant for middle and back offices Risk analysts/managers Risk analysts/managers Statistical analysts Statistical analysts

Where Our Students Work? Citigroup, Merrill Lynch, Societie General, DBS, Nomura, Macquarie, Credit Lyonnais Security Asia, Athbest Financial Groups, Hang Seng Bank, CITIC KA Wah Bank, Clayons Citigroup, Merrill Lynch, Societie General, DBS, Nomura, Macquarie, Credit Lyonnais Security Asia, Athbest Financial Groups, Hang Seng Bank, CITIC KA Wah Bank, Clayons Moody( 中国 ), 中银, 安信, 平保, 深国投, 渣打 Moody( 中国 ), 中银, 安信, 平保, 深国投, 渣打

Job Information The contacts between the program and the industry The contacts between the program and the industry Student Affair Office Student Affair Office Internet job sites Internet job sites Jobs in Finance Jobs in Finance Jobs in Finance Jobs in Finance Financial Analysis Jobs Financial Analysis Jobs Financial Analysis Jobs Financial Analysis Jobs Jobs Finance Jobs Finance Jobs Finance Jobs Finance 51job 51job 51job chinahr 招聘网站 ! chinahr 招聘网站 ! chinahr 招聘网站 ! chinahr 招聘网站 !

For Non-local Students Mainland students can stay in Hong Kong for up to a year after graduation. Mainland students can stay in Hong Kong for up to a year after graduation. Internship for this one-year program is discouraged by both University and Immigration Department. Internship for this one-year program is discouraged by both University and Immigration Department.

About Internship Yet students under student visa can still apply Yet students under student visa can still apply Such internship is limited to a maximum of 20 hours/week, and the interns have to take course with at least 9 credits Such internship is limited to a maximum of 20 hours/week, and the interns have to take course with at least 9 credits

Questions? Thank you for your attentions!

Course Description MAFS 501 Stochastic Calculus MAFS 501 Stochastic Calculus Random walk models. Filtration. Martingales. Brownian motions Diffusion processes. Forward and backward Kolmogorov equations. Ito's calculus. Stochastic differential equations. Stochastic optimal control problems in finance.

MAFS 511 Advanced Data Analysis with Statistical Programming MAFS 511 Advanced Data Analysis with Statistical Programming Data analysis and implementation of statistical tools in a statistical program, like SAS, R, or Minitab. Topics: reading and describing data, categorical data and longitudinal data, correlation and regression, nonparametric comparisons, ANOVA, multiple regression, multivariate data analysis.

MAFS 524 Software Development with C++ for Quantitative Finance MAFS 524 Software Development with C++ for Quantitative Finance This course introduces C++ with applications in derivative pricing. Contents include abstract data types; object creation, initialization, and toolkit for large-scale component programming; reusable components for path-dependent options under the Monte Carlo framework. Background: Prior programming experience

MAFS 601B Financial Derivatives and Martingale Pricing Theory MAFS 601B Financial Derivatives and Martingale Pricing Theory Black-Scholes-Merton framework, dynamic hedging, replicating portfolio. Martingale theory of option pricing, risk neutral measure. Exotic options: barrier options, lookback options and Asian options. Free boundary value pricing models: American options, reset options.

MAFS 513 Quantitative Analysis of Financial Time Series MAFS 513 Quantitative Analysis of Financial Time Series Analysis of asset returns: autocorrelation, predictability and prediction. Volatility models: GARCH-type models, long range dependence. High frequency data analysis: transactions data, duration. Markov switching and threshold models. Multivariate time series: cointegration models and vector GARCH models. Background: Entry PG level MATH

MAFS 521 Mathematical Models of Investment MAFS 521 Mathematical Models of Investment Utility theory, stochastic dominance. Portfolio analysis: mean-variance approach, one-fund and two-fund theorems. Capital asset pricing models. Arbitrage pricing theory. Consumption- investment problems.

MAFS 522 Quantitative and Statistical Risk Analysis MAFS 522 Quantitative and Statistical Risk Analysis Various risk measures such as Value at Risk and Shortfall Risk. Coherent risk measures. Stress testing, model risk, spot and forward risk. Portfolio risks. Liabilities and reserves management. Case studies of major financial losses.

MATH 571 Mathematical Models of Financial Derivatives MATH 571 Mathematical Models of Financial Derivatives Black-Scholes-Merton framework, dynamic hedging, replicating portfolio. Martingale theory of option pricing, risk neutral measure. Exotic options: barrier options, lookback options and Asian options. Free boundary value pricing models: American options, reset options.

MATH 572 Interest Rate Models MATH 572 Interest Rate Models Theory of interest rates, yield curves, short rates, forward rates. Short rate models: Vasicek model and Cox- Ingersoll-Ross models. Term structure models: Hull-White fitting procedure. Heath-Jarrow-Morton pricing framework. LIBOR and swap market models, Brace-Gatarek- Musiela approach. Affine models.

MATH 600 Volatility Smile Modeling MATH 600 Volatility Smile Modeling The mechanism of volatility smile/skew. Pros and cons of local volatility diffusion model. Dynamics of jump and stochastic volatility. Levy framework. Affine models. Models of stochastic volatility: Heston’s model and SABR model.

Courses for the 1 st Summer Session of 2010 MAFS 523 Advanced Credit Risk Models (H. Zheng) MAFS 523 Advanced Credit Risk Models (H. Zheng) MAFS 525 Computational Methods for Pricing Structured Products (YK Kwok) MAFS 525 Computational Methods for Pricing Structured Products (YK Kwok)

Course Descriptions MAFS 523 Advanced Credit Risk Models MAFS 523 Advanced Credit Risk Models Credit spreads and bond price-based pricing. Credit spread models. Recovery modeling. Intensity based models. Credit rating models. Firm value and share price-based models. Industrial codes: KMV and Credit Metrics. Default correlation: copula functions.

MAFS 525 Computational Methods for Pricing Structured Products MAFS 525 Computational Methods for Pricing Structured Products Computational methods for pricing structured (equity, fixed-income and hybrid) financial derivatives products. Lattice tree methods. Finite difference schemes. Forward shooting grid techniques. Monte Carlo simulation. Structured products analyzed include: Convertible securities; Equity-linked notes; Quanto currency swaps; Differential swaps; Credit derivatives products; Mortgage backed securities; Collateralized debt obligations; Volatility swaps. Background: Entry PG level MATH

Courses for the 2 nd Summer Session of 2010 MAFS 502 Advanced Probability and Statistics (MC Chiu) MAFS 502 Advanced Probability and Statistics (MC Chiu) Probability spaces, measurable functions and distributions, conditional probability, conditional expectations, asymptotic theorems, stopping times, martingales, Markov chains, Brownian motion, sampling distributions, sufficiency, statistical decision theory, statistical inference, unbiased estimation, method of maximum likelihood. Background: Entry PG level MATH