Course Descriptions
ECON 6090. Topics in Economics. (1-3)
Prerequisite: consent of the department. Topics from various areas of economics. Credit hours will vary with the topic offered. May be repeated for credit as topics vary. (On demand)
ECON 6100. Graduate Mathematical Economics. (3)
Economic problems are analyzed with quantitative techniques. Topics covered include the study of economic growth models, utility maximization, homogeneous functions, dynamic systems, applications of linear programming, and constrained optimization. (On demand)
ECON 6112. Graduate Econometrics. (3)
Prerequisites: Admission to graduate program and permission of program coordinator. Advanced study of the theory and application of statistics to economic problems. Topics include derivation of least-squares estimators; maximum likelihood estimation; and problems of multicollinearity, heteroskedasticity, and autocorrelation. (Fall)
ECON 6201. Advanced Macroeconomic Theory. (3)
Prerequisites: Admission to graduate program and permission of program coordinator. Theories of aggregate income determination, inflation, unemployment, interest rates and economic growth; macro-economic consumption and investment behavior; the business cycle. (Fall)
ECON 6202. Advanced Microeconomic Theory. (3)
Prerequisite: Admission to graduate program and permission of program coordinator. Theories of the firm, of the consumer, and of resource owners; determination of prices under different market structures; general equilibrium analysis and welfare economics. (Fall)
ECON 6203. Financial Economic Theory. (3)
Prerequisites: Admission to the graduate program and permission of the program coordinator. Review of financial economic theory using discrete-time models. Topics include: risk measurement; choices under uncertainty; portfolio selection; capital asset pricing model (CAPM); Arrow-Debreu pricing; options and market completeness; the Martingale measure; arbitrage theory; consumption based CAPM; and valuation of the firm. (Fall)
ECON 6218. Advanced Business and Economic Forecasting. (3)
Prerequisite: ECON 6112. Develops forecasting techniques used in business decision making and techniques used in forecasting macroeconomic variables. Topics include: estimation, identification and prediction using ARMAX, state space, and Box-Jenkins models; spectral analysis; linear filtering. (Spring)
ECON 6235. Monetary and Financial Theory. (3)
Prerequisites: ECON 6112 and either ECON 6201 or 6202. Theory and empirical tests of money supply, money demand, and financial markets; portfolio theory with special attention to portfolio choices of banks; term structure of interest rates; dynamic models of money and economic activity. (On demand)
ECON 6800. Directed Study in Economics. (1-3)
Prerequisite: Admission to graduate program. Independent study of a theoretical and/or a policy problem in a special area of economics. Topics of the investigation may originate from the student or from the faculty member supervising the study. May be repeated for up to 6 hours of credit with the approval of the program coordinator. (On demand)
FINN 6058. Special Topics in Financial Services. (3)
Crosslisted as MBAD 6160. Prerequisite: MBAD 6152. Each year, the subject matter of this course deals with a different specialized and contemporary topic of interest to students who are preparing for management careers in the financial services industry. The topics are chosen and covered in a way that builds on and supplements the topics covered in other courses in the Financial Institutions/Commercial Banking concentration. Emphasis is placed on the managerial implications of the subject matter as well as the impact on the financial system. Topics covered in this course may vary from semester to semester, and the course may be repeated a maximum of one time for academic credit. (On demand)
FINN 6210. Derivatives I: Financial Elements of Derivatives. (3)
Prerequisite: FINN 6152 or equivalent, or permission of Department. Theory and practice of financial derivatives markets including forwards, futures, and options markets. Topics include the economics of derivatives markets, pricing models for instruments in these markets, strategies for hedging and speculation, as well as regulatory and governance issues. (On demand)
FINN 6211. Risk Management and Fixed Income Derivatives. (3)
Prerequisite: FINN 6210 or permission of Department. Risk management of fixed income portfolios as well as the theory and practice of fixed income markets. Topics include fixed income instruments, term structure models, pricing methods, portfolio management, duration and convexity, securitization, and hedging. (On demand)
FINN 6219. Financial Econometrics. (3)
Crosslisted as ECON 6219. Prerequisites: ECON 6218 or MATH 6201. Advanced time series with financial applications. Topics covered include time series regressions (univariate and multivariate, stationary and non-stationary) and time series models (including ARMA, ARCH, GARCH, stochastic volatility and factor models). The emphasis will be on model properties, estimators, test statistics, and applications in finance. (On demand)
MATH 5128. Applied Probability I. (3)
Prerequisite: MATH/STAT 3122 and MATH 2171 or permission of the department. Finite and countable Markov chains, Markov Decision Processes, and optimal stopping. Other topics selected from: queuing theory, inventory models, reliability theory, game theory, recurrent events, information theory, stochastic control, stochastic control with incomplete information and Kalman filtering. (Fall)(Alternate years)
MATH 5129. Applied Probability II. (3)
Prerequisite: MATH 5128 or permission of the department. Continuation of MATH 5128. (Spring)(Alternate years)
MATH 5143. Analysis I. (3)
Prerequisite: MATH 3141 with a grade of B or better, or permission of the department. First course of a two-semester sequence providing a rigorous treatment of continuity, differentiability and integration of functions of one and several real variables. (Fall)
MATH 5171. Numerical Solution of Ordinary Differential Equations. (3)
Prerequisites: ITCS 1214, MATH 2241, 2164, and 2171, all with a grade of C or better, or permission of the department. Numerical solution techniques for ordinary differential equations such as Runga-kutta, multistep and extrapolation methods. Stiff solvers and stability criteria. Comparative work with modern robust codes and visualization methods. (On demand)
MATH 6201. Statistical Techniques in Finance. (3)
This course reviews basic concepts and introduces more advanced techniques from Probability and Statistics which are commonly utilized in mathematical finance. Topics covered include random variables, distributions, conditional expectations, confidence intervals and hypothesis testing, simple and multiple regression, multivariate analysis including factor and canonical correlation analysis, and time series models including ARMA, ARIMA, ARCH, and GARCH.
MATH 6202. Derivatives II: Partial Differential Equations for Finance. (3)
This course deals with those partial differential equations which are associated with financial derivatives based on factors such as equities and spot interest rates.
MATH 6203. Stochastic Calculus for Finance. (3)
An introduction to those aspects of partial differential equations and diffusion processes most relevant to finance, Random walk and first-step analysis, Markov property, martingales and semi-martingales, Brownian motion. Stochastic differential equations: Ito’s lemma, backward and forward Kolmogorov equations, the Feynman-Kac formula, stopping times, Hull and White Models, Cox-Ingersoll-Ross Model. Applications to finance including portfolio optimization and option pricing.
MATH 6204. Numerical Methods for Financial Derivatives. (3)
This course will introduce students to numerical and computational techniques for solving both European- and American-style financial derivatives. The approach will be the finite difference method and the basic theoretical concepts will be introduced. Final projects will involve implementing the techniques on computers. Some spectral and Monte Carlo methods will also be discussed.
MATH 6205. Financial Computing. (3)
This lab oriented course introduces the numerical methods needed for quantitative work in finance, focusing on derivative pricing and fixed income applications. Topics include binomial and trinomial methods, Crank-Nicholson methods for various exotic options, treatment of discrete dividends, numerical methods for stochastic differential equations, random number generators, Monte-Carlo methods for European and American options. The computing class teaches theory and practice of numerical finance as well as the programming skills needed to build software systems in C/C++, Java, Javascript, and Mathematica/Matlab. Current topics in Applied Algebra and Algebraic Structure. (On demand)