COMPUTATIONAL FINANCE:
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Transcript COMPUTATIONAL FINANCE:
COMPUTATIONAL FINANCE:
OVERVIEW AND FUTURE PROSPECTS
A.G. MALLIARIS
LOYOLA UNIVERSITY CHICAGO
LAMAR UNIVERSITY
April 30, 2004
COMPUTATIONAL FINANCE
Need to discuss
1. FINANCE
2. COMPUTATIONAL
First Things First
FINANCE: Both OLD & NEW
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Emphasis on NEW
Late 1950’s: Portfolio Theory
Late 1960’s: Corporate Finance
1970’s: Derivatives/Options
1980’s: CME, CBOT Trading Financials
1990’s: Deregulation & Globalization
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What Role for Deregulation:
From Fixed to Flexible Exchange
Rates
(i.e. No exchange rate controls)
Banking Deregulation
(i.e. No interest rate controls
Recall Savings & Loans Associations)
Repeal from Glass-Steagall Act of
1933
Globalization
-
Capital Mobility
Increased Trade
European Union & Euro
China & WTO
Current Economic Environment
- Competitive
- Global
- Volatile
- From Production to Finance
- Risk Management
The Role of the Fed
- Fight Inflation
- Asset Bubbles: Japan in early
1990’s & U.S. in late 1990’s
- Does the Fed lead or follow
financial markets?
FINANCE TODAY: 4 KEY AREAS
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CORPORATE
INVESTMENTS
BANKING
GLOBAL/MULTINATIONAL
Consider Investments
-
-
Stocks
Bonds
Derivatives
Mutual Funds
Hedge Funds
Other
Financial skills during Mid 1980-90’s
•
•
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Financial Analyst
Statistical/Mathematical Analyst
Computer Experts
The emergence of computational
finance/math finance/financial
engineering
Computational
You are the experts
Commercial Packages: Bloomberg, Reuters
3000Xtra, BridgeStation
Spreadsheets. Example: Mary Jackson and
Mike Staunton, Advanced Modelling in
Finance Using Excel and VBA.
MATLAB. Example: Paolo Brandimarte,
Numerical Methods in Finance.
The First 5-year period of Computational
Finance
About 30 programs
• Differ in emphasis: math, statistics,
finance, computation
• Size of Faculty:10-20
• Duration 9 months vs. 2 years
• Number of students: 10 – 40/ 200
A long list of programs with a brief summary
can be found at:
www.siam.org/financialmath/programs.htm
Baruch College
MS, Applied Mathematics for Finance
http://math.baruch.cuny.edu/masters.html
Boston University
MA, Mathematical Finance
http://www.bu.edu/mathfn/
Brooklyn Polytechnic University
MS, Financial Engineering
http://www.poly.edu/catalog02-03/catalog02-03-25-financeeng.pdf
Carnegie Mellon University
MS, Computational Finance
http://www.cmu.edu/mscf
Claremont University
MS, Financial Engineering Management
http://www.cgu.edu/fineng/
Columbia University
MS, Industrial Engineering and Operations Research
http://www.engineering.columbia.edu/students/academics/dept/ieor.php
Columbia University
Masters in Mathematics of Finance
http://www.math.columbia.edu/department/masters_finance.shtml
Cornell University
MS, Engineering in Operations Research and Industrial Engineering
http://www.orie.cornell.edu/
Florida State University
MS, Financial Mathematics
http://www.math.fsu.edu/~smith/Guides/finmath.html
Georgia Institute of Technology
MS, Quantitative and Computational Finance
http://www.qcf.gatech.edu/
George Washington University
MS, Finance
http://www.gwu.edu/~finance/
New York University, Courant Institute of Mathematical Sciences
MS, Mathematical Finance
http://www.math.nyu.edu/financial_mathematics/
North Carolina State University
MS, Financial Mathematics
http://www.math.ncsu.edu/finmath
OGI School of Science and Engineering
MS, Computational Finance
http://www.cse.ogi.edu/CompFin/
Oklahoma State University
MS, Quantitative Finance
http://www.siam.org/financialmath/www.bus.okstate.edu/msqfe
Princeton University
MS, Finance
http://www.princeton.edu/~bcf/
Purdue University
MS degree in Mathematics with Computational Finance
Specialization
http://www.math.purdue.edu/academics/graduateProgram/cfp.php
MS degree in Statistics with Computational Finance Specialization
http://www.stat.purdue.edu/compfinance/
Rutgers University
Masters of Quantitative Finance
http://business.rutgers.edu/graduate/mqf/default.htm
Stanford University
MS, Financial Mathematics
http://math.stanford.edu/FinMath/
University of California, Berkeley
MS, Financial Engineering
http://www.haas.berkeley.edu/MFE
University of Chicago
MS, Financial Mathematics
http://www-finmath.uchicago.edu/
University of Michigan
MSE in Financial Engineering
http://interpro.engin.umich.edu/fep
University of Southern California
MS, Mathematical Finance
http://www.usc.edu/dept/LAS/CAMS/MF/
University of Toronto
MMF, Masters of Mathematical Finance
http://www.mmf.utoronto.ca/main.php3
University of Waterloo
Masters in Finance
http://arts.uwaterloo.ca/ACCT/finance/
Ranking of Financial Engineering Programs
General Comments About the Top
Five Programs
Haas School of Business
Master’s in Financial Engineering
One year program
Faculty from Haas, UCLA, UC Irvine
Theoretical (Mathematical) Finance and
Computer Modeling
Columbia University
Two Programs offered
Industrial Engineering and Operations
Research
MA in Mathematics with Specialization in
Mathematics of Finance
Emphasis on Stochastics, Numerics and
Financial Applications
New York University
Program of 12 courses offered in
Mathematics Department
Financial Theory and Modeling
Mathematical Foundations
Computational Skills
Cornell University
Financial Engineering offered in the School
of Operations Research and Industrial
Engineering
Emphasis on Applied Mathematics
Collaboration with Management
University of Chicago
Offered by the Mathematics Department
Emphasis on Mathematics: Analysis,
Probability, Stochastic Processes
Minor collaboration with School of
Business
Numerous speakers presenting
applications
Carnegie Mellon
Master of Science in Computational
Finance
Customized
Computational
Centered
General Conclusions
Large variety of programs
Housed in various Schools and
Departments
Mostly at the Masters Level
Coursework includes Finance, Math,
Statistics and Computer Science
Prospects
If current trends of globalization,
deregulation, uncertainty and risk
continue, demand for computational
finance will remain strong
Robert Shiller: The New Financial Order:
Risk in the 21st Century
Conclusions
Computational Finance as an exciting new
field
How to best train Computational Financial
Analysts?
Computer Science + Finance, or
Finance + Computer Science?