Course Description

Course No. Course Description Credit
2104660
Stochastic Models for Financial Engineering

Stochastic theory provides the language and the key technical concepts and tools for the study of financial mathematics. This course aims to introduce the basic ideas from probability which are of most relevance in finance, and to develop the machinery required to exploit these ideas. The course will begin with simple ideas such as events and random variables, but will progress rapidly to stochastic processes and to the study of the calculus for continuous time processes which are used in financial modeling.

2(2-0-6)
2104661
Statistical Methods for Financial Engineering

Statistics is the most fundamental technique students should be able to use in drawing inferences from the data. This course introduces the method of analyzing random sample data. Topics include the basic ideas and methods of statistical inference and the practice of statistics, such as estimation, forecasting, hypothesis testing, and basic regression analysis.

2(2-0-6)
2104662
Optimization for Financial Engineering

This course introduces the methodology of finding local and global optimality in financial model. Students will learn to choose the appropriate method for each type of financial decision problem. We will discuss linear and non- linear programming, simplex algorithm, linear duality, sensitivity, Newton’s method, Kuhn-Tucker conditions, saddle point conditions, convergence of algorithms, and portfolio optimization.

2(2-0-6)
2104663
Time-Series Analysis for Financial Engineering

Time series data is a sequence of data points that you have been collected over a period of time. This course introduces you to time series data analysis focusing on financial application. Topics will cover stationary and non-stationary process, testing for unit root and cointegration, ARMA, ARIMA, ARCH, GARCH process for univariate and multivariate variables, and vector univariate and multivariate variables, and vector autoregression.

2(2-0-6)
2604610
Banks and Financial Institutions

Financial engineers need to have a thorough knowledge of the financial system and the institutions therein. This course gives a comprehensive overview of the structure of the financial markets, the mechanism of trading financial instruments, and the role of central banks, commercial banks, insurance companies, and other financial institutions.

1(1-0-3)
2604611
Stochastic Calculus

Stochastic calculus fundamentals are covered with a high level of clarity and is mainly focused on the theory associated with derivative securities. We move from a binomial stock market model to the more sophisticated continuous time models driven by Brownian motion. A significant portion is devoted to background on measure theory and Ito calculus.

2(2-0-6)
2604612
Simulation Techniques in Finance

This course teaches you how to estimate risky outcomes by using predetermined probability distributions and random numbers using various simulation techniques. Students will learn to methods of stochastic modeling, continuous and discrete simulation models, data structures, algorithms, random process generation, Monte Carlo simulation. The course, then, applies the simulation techniques to price derivatives, analyze investment strategies, and evaluate asset return models.

2(2-0-6)
2604613
Computational Finance

This course aims to provide both a theoretical and a practical understanding of numerical methods in finance, in particular those related to simulations of stochastic processes. In addition, the course will give an introduction to programming. The syllabus will cover a range of topics and aims to provide both a theoretical and a practical understanding of methods for solving partial differential equations by computer. It will stress the benefits and shortcoming of various methods for solving problems and teach the importance of program reliability testing. In particular, this course will impart a general computer competency.

2(2-0-6)
2604614
Advanced Stochastic Processes

This course aims to introduce various types of instruments traded in financial markets, the concepts of no-arbitrage pricing and hedging, and the mathematics of finance It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for students who wish to advance their knowledge in advanced theoretical results.

Prerequisite 2104660 or by consent of the faculty

2(2-0-6)
2604615
Financial Modeling

Practitioners often have to work with mathematical models of interest rates, credit risks, and portfolios of correlated instruments. This course covers these widely-used models, including the modeling of exotic derivatives and structured products.

2(2-0-6)
2604616
Quantitative Portfolio Management

This course introduces you to quantitative techniques to manage portfolio or a collection of investments. Topics include portfolio theory, portfolio optimization, utility maximization, strategic asset allocation, investment constraints, risk modeling and measurement, return modeling, economic indicators, estimating and forecasting returns and risk, trading cost modeling.

2(2-0-6)
2604618
Special Topics in Financial Engineering

Topics in this course will be based on interests of students which may vary from year to year.

2(2-0-6)
2604619
Financial Engineering Seminar

In this course, students participate in guided discussions on selected issues that are of currency in the field of financial engineering, including new practices or developments in the industry.

S/U
2604631
Finance Theory I

The aim of this course is to provide students with a strong foundation in the theory of finance. The topics include investment/consumption decisions, expected utility theory, portfolio theories, and asset pricing.

2(2-0-6)
2604632
Finance Theory II

As a follow-up to Finance Theory I, this course offers further discussions in the theory and literature of corporate finance. We cover topics such as agency problems, separation of control and ownership, executive compensation, capital structure theories, and dividend policy.

2(2-0-6)
2604643
Derivative Securities

Risk management plays an important role in any financial institution decision making process and control. In this course you will develop an in-depth understanding of how financial corporations identify risks, and how financial risks are quantified, managed and controlled. The course provides an introduction to derivative instruments. The syllabus will cover a range of topics, giving the student a good grasp of the techniques used by risk professionals when dealing with complex instruments.

2(2-0-6)
2604667
Market Microstructure

The course is designed to be a practical introduction to financial modeling. You will learn how things are really done in investment banking, and not just the theory that is taught and encourage you to probe the rationale and benefits of financial innovation to the various parties of the transaction. You will achieve an advanced knowledge of the basic tools of strategies traders utilize, the limits to arbitrage, and learn to investigate the behavioral and volatility techniques observed in financial markets.

2(2-0-6)
2604669
Selected Topics in Risk Management

On completion of this course, students should be able to demonstrate an understanding of the nature and application of credit scoring techniques. You will apply learning to real world problems and situations and deepen your knowledge of particular areas at the forefront of credit scoring modeling, and debt recovery models and pricing.

Prerequisite 2604643

2604680
Ethics in Finance

The FE program at Chulalongkorn University places strong emphasis on the ethical values of its graduates. This course ingrains students with the highest standards of professional conduct and code of ethics in the investment profession.

1(1-0-3)
(S/U)
2604687
Financial Programming

Computer programming is the essential tool for the students to enhance prebuilt financial model or develop your own model using programming techniques. This course covers programming techniques such as data manipulation, software project management, and spreadsheet application. Topics will cover important techniques of implementing financial models.

2(2-0-6)
2604690
Fixed Income Securities

This course will help you get to grips with the tools for the assessment and management of fixed income and credit risk. On completion of this course, students should be able to understand the time value of money and to calculate interest rates and discount factors. They should be able to apply these concepts to the pricing of simple, fixed-income financial instruments and the assessment of investment projects.

2(2-0-6)
2604713
Financial Engineering Project I

Special project is a vital part in the graduate study. This course is designed to guide students by reviewing the literature, and teaching the students the process of developing research topic, designing methodology, and producing high-quality academic work.

3(0-0-12)
2604714
Financial Engineering Project II

Students are required to register for this course before they can graduate. To satisfy the requirement for this course, students must submit a completed version of their research paper and defend it in front of a group of committee.

Prerequisite 2604713 or by consent of the faculty

3(0-0-12)
2604811
Thesis

Students in the thesis track are required to complete a research proposal, and a thesis. The thesis must make significant academic contributions to the financial engineering field.

12