umich

Study at U of Michigan

The curriculum of MS in FE program at U of Michigan is very rigorous and very well constructed. It combines theoretical and technical training with real world application. This is my first term in this program. I'm taking six courses, two of which are math courses while the other four are finance ones. The math courses look quite tough to me currently. However, I believe I can handle them soon. The six courses are as follows:

Math 526 Discrete State Stochastic Processes

Math 623 Computational Finance

Fin 580 Options and Futures in Corporate Decision Making

Fin 618 Derivative Instruments

Fin 609 Fixed-Income Securities and Markets

Fin 615 Valuation

Math 526 (Stat. 526): Discrete State Stochastic Processes

Prerequisites:
- Required: Math 525 or EECS 501 or basic probability theory including: Random variables, expectation, independence, conditional probability.
- Recommended: Good understanding of advanced calculus covering limits, series, the notion of continuity, differentiation and the Riemann integral ; Linear algebra including eigenvalues and eigenfunctions.
Frequency: Varies
Credit: 3 credits -->
Required textbook:A First Course in Stochastic Processes, 2nd ed. (Karlin and Taylor)
Background and Goals: The theory of stochastic processes is concerned with systems which change in accordance with probability laws. It can be regarded as the 'dynamic' part of statistic theory. Many applications occur in physics, engineering, computer sciences, economics, financial mathematics and biological sciences, as well as in other branches of mathematical analysis such as partial differential equations. The purpose of this course is to provide an introduction to the many specialized treatise on stochastic processes. Most of this course is on discrete state spaces. It is a second course in probability which should be of interest to students of mathematics and statistics as well as students from other disciplines in which stochastic processes have found significant applications. Special efforts will be made to attract and interest students in the rich diversity of applications of stochastic processes and to make them aware of the relevance and importance of the mathematical subtleties underlying stochastic processes.
Content: The material is divided between discrete and continuous time processes. In both, a general theory is developed and detailed study is made of some special classes of processes and their applications. Some specific topics include generating functions; recurrent events and the renewal theorem; random walks; Markov chains; limit theorems; Markov chains in continuous time with emphasis on birth and death processes and queueing theory; an introduction to Brownian motion; stationary processes and martingales. Significant applications will be an important feature of the course.
Coursework: weekly or biweekly problem sets and a midterm exam will each count for 30% of the grade. The final will count for 40%.
Additional information: Those wishing to discuss the course should contact taoluo@umich.edu.

Mathematics 623: Computational Finance

Prerequisites: Math 316 and 425 or 525
Frequency: Winter (II)
Credit: 3 credits
Recent Texts: Mathematics of Financial Derivatives (Wilmot et.al)
Past instructors: M. Jonsson, R. Sircar
Student Body: graduate students in Math, Physics, Engineering, and Finance/Business
Background and Goals: The field of computational finance is rising rapidly in academic and industry. There is a growing need for students with such skills. This course will fill this demand. Documented computer projects will be required in addition to a final examination.
Content: This is a course in computational methods in finance and financial modeling. Particular emphasis will be put on interest rate models and interest rate derivatives. Specific topics include Black-Scholes theory, no-arbitrage and complete markets theory, term structure models, Hull and White models, Heath-Jarrow-Morton models, the stochastic differential equations and martingale approach, multinomial tree and Monte Carlo methods, the partial differential equations approach, finite difference methods.
Alternatives: none
Subsequent Courses: none

FIN 551	Financial Management
	3 hours	Core	Prerequisites: Any one of the following: BE501 or BE503, A501, or SMS501
	Terms Offered: Spring 2001, Fall 2001, Winter 2002
	This course introduces the basic concepts of finance. The first half of the course focuses on valuation techniques, the elations between risk and return and the workings of U.S. capital markets. Specific topics include Net Present Value, the Capital Asset Pricing Model, Capital Budgeting, and the Efficient Market Hypothesis. The second half of the course covers the major areas of financing decisiona and internal finance.

FIN 552	Principles of Finance
	1.5 hours	Core	Prerequisites: Any one of the following: A501 or A503, BE501 or BE503, SMS502
	Terms Offered: Fall 2001
	This course introduces the basic concepts of finance. The course focuses on valuation techniques, the relation between risk and return and the workings of U.S. capital markets. Specific topics include Net Present Value, the Capital Asset Pricing Model, Capital Budgeting, and the Efficient Market Hypothesis. Credit is granted for F552/F553 OR F551.

FIN 553	Principles of Corporate Finance
	1.5 hours	Core	Prerequisites: F552
	Terms Offered: Fall 2001
	This course introduces the basic concepts of corporate finance. Topics include the investment decision, issuing new securities, dividend policy, share repurchases and capital structure decisions. Credit is granted for F552/F553 OR F551.

FIN 580	Options and Futures in Corporate Decision Making
	1.5 hours	Elective	Prerequisites: F551 or F552
	Terms Offered: Summer 2001, Fall 2001, Winter 2002
	This course introduces the student to options and futures and illustrates their use in the context of corporate decisions-making. Companies increasingly issue securities with features that resemble options or futures. Options and futures also play an important role in risk management. Many corporate decisions have built-in strategic options which need to be evaluated. Credit is granted for F580/F618 OR F619.

FIN 618	Derivative Instrmts
	1.5 hours	Elective	Prerequisites: F580
	Terms Offered: Summer 2001, Winter 2002
	This is a course about pricing and managing risk with derivative securities. The course is intended for MBA students that have taken Fin 580. It develops in detail some of the topics introduced in Fin 580, such as dynamically hedging American options on securities that pay dividends. Fin 618 also introduces a number of new topics, such as exotic options, and fixed income derivatives. It is a rigorous course that requires students to be familiar with common statistical techniques (like regression analysis) and basic calculus concepts. Like most Finance courses, Fin 618 focuses more on lasting financial principles than on current institutional details.

FIN 609	Fixed-Income Securities and Markets
	1.5 hours	Elective	Prerequisites: F551 or F552
	Terms Offered: Fall 2001, Winter 2002
	This course uses both cases and lectures to develop a practical understanding of some of the more important fixed income securities and markets. Derivatives and the management of fixed income securities are major themes present throughout the course. This course covers the term structure of interest rates, Treasury securities, strips, swaps and other fixed income derivatives.

FIN 615	Valuation
	1.5 hours	Elective	Prerequisites: F551 or F553
	Terms Offered: Spring 2001, Fall 2001, Winter 2002
	This course focuses on corporate asset management, in particular, on valuation. Topics include financial statement analysis, capital budgeting methods, estimating incremental cash flows, estimating cost of capital, valuation of projects, valuation of companies in takeovers, cross-border valuation, and valuation of strategic options. The course also covers working capital management.