香港科技大学金融数学硕士课程点评

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香港科技大学金融数学硕士课程点评

金融数学硕士(Master of Science in Financial Mathematics)是香港科技大学数学系的开设专业,旨在培养学生安全定价的定量原则、交易决策和风险管理等方面的能力。

  香港科技大学金融数学硕士专业介绍
  金融数学硕士(Master of Science in Financial Mathematics)是香港科技大学数学系的开设专业,旨在培养学生安全定价的定量原则、交易决策和风险管理等方面的能力。香港科技大学金融数学硕士课程非商院项目,主要是给本科为数学,物理,统计,工程或者也是金融工程专业的学生申请,对数学背景有较高要求。本课程项目跟BNP Paribas有合作关系。

  香港科技大学金融数学硕士课程目标
  香港科技大学金融数学硕士课程对学生的培养目标如下:
  1、 系统掌握金融产品在金融市场的一般交易准则,对金融市场安全定价模型、股权对冲、固定资产收益外汇交易市场和信贷市场有深入的认识;
  2、 对风险管理和交易策略的原则与技术有深入了解;
  3、 掌握通过量化手段为金融产品建立并应用量化模型的能力。

  香港科技大学金融数学硕士课程安排
  香港科技大学金融数学硕士课程需学生修读共计36学分的课程方可毕业,包括以下三个方面:
  1、 18学分的金融数学课程;
  2、 9学分的统计学课程;
  3、 9学分的选修课程或独立研究项目。

  香港科技大学金融数学硕士科目设置:
  1、 金融数学(Financial Mathematics)
  1) MAFS 5030 Quantitative Modeling of Derivatives Securities 衍生证券的定量模型
  2) MAFS 5040 Quantitative Methods for Fixed-income Instruments 固定收益证券定量研究方法
  3) MAFS 5210 Mathematical Models of Investment 投资数学模型
  4) MAFS 5230 Advanced Credit Risk Models 高级信用风险模型
  5) MAFS 5240 Software Development with C++ for Quantitative Finance使用C++进行定量金融软件开发
  6) MAFS 5250 Computational Methods for Pricing Structural Products 结构型产品定价的计算方法
  7) MAFS 6010 Special Topics in Financial Mathematics 金融数学专题
  8) MATH 5311 Advanced Numerical Methods I 高级数值方法(一)
  9) MATH 5510 Mathematics Models of Financial Derivatives 金融衍生品中的数学模型
  10) MATH 5520 Interest Rate Models 利率模型

  2、 统计学(Statistics)
  1) MAFS 5010 Stochastic Calculus 随机计算
  2) MAFS 5020 Advanced Probability and Statistics 概率论与数理统计
  3) MAFS 5110 Advanced Data Analysis with Statistical Programming 用统计编程实现数据分析
  4) MAFS 5130 Quantitative Analysis of Financial Time Series 金融时间序列定量分析
  5) MAFS 5220 Quantitative and Statistical Risk Analysis 定量与统计风险分析
  6) MATH 5411 Advanced Probability Theory I 高级概率论 I
  7) MATH 5431 Advanced Mathematical Statistics I 高级数理统计 I
  注:学生可以修读数学系任意4000等级或以上的课程,修满9学分,以完成香港科技大学金融数学硕士选修课要求。

  香港科技大学金融数学硕士科目简介
  1、 MAFS 5010 Stochastic Calculus 随机计算(3学分)
  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.

  2、 MAFS 5020 Advanced Probability and Statistics 概率论与数理统计(3学分)
  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

  3、 MAFS 5030 Quantitative Modeling of Derivatives Securities 衍生证券的定量模型(3学分)
  Forward, futures contracts and options. Static and dynamical replication. Arbitrage pricing. Binomial option model. Brownian motion and Ito's calculus. Black-Scholes-Merton model. Risk neutral pricing and martingale pricing methodology. General stochastic asset-price dynamics. Monte Carlo methods. Exotic options and American options.

  4、 MAFS 5040 Quantitative Methods for Fixed-Income Instruments 固定收益证券定量研究方法(3学分)
  Bonds and bond yields. Bond markets. Bond portfolio management. Fixed-income derivatives markets. Term structure models and Heath-Jarrow-Morton framework for arbitrage pricing. Short-rate models and lattice tree implementations. LIBOR Market models. Hedging. Bermudan swaptions and Monte Carlo methods. Convexity adjustments. Mortgage-backed securities. Asset-backed securities. Collateralized debt obligations.

  5、 MAFS 5110 Advanced Data Analysis with Statistical Programming 用统计编程实现数据分析(3学分)
  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.

  6、 MAFS 5120 Applied Multivariate Analysis 应用多元变量分析(3学分)
  Introduction to the statistical analysis of several quantitative measurements on each observational unit. Emphases are on concepts and computer-intensive methods. Topics: multiple regression, multivariate analysis of variance, principal components, factor analysis, canonical correlations, multidimensional scaling, clustering.

  7、 MAFS 5130 Quantitative Analysis of Financial Time Series 金融时间序列定量分析(3学分)
  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

  8、 MAFS 5210 Mathematical Models of Investment 投资数学模型(3学分)
  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.

  9、 MAFS 5220 Quantitative and Statistical Risk Analysis 定量与统计风险分析(3学分)
  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.

  10、 MAFS 5230 Advanced Credit Risk Models 高级信用风险模型(3学分)
  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.

  11、 MAFS 5240 Software Development with C++ for Quantitative Finance使用C++进行定量金融软件开发(3学分)
  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

  12、 MAFS 5250 Computational Methods for Pricing Structured Products 结构型产品定价的计算方法(3学分)
  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

  13、 MAFS 6010 Special Topics in Financial Mathematics 金融数学专题(2-4学分)
  Selected special topics in Financial Mathematics of current interest but not covered by existing courses. Background: Entry PG level MATH

  14、 MAFS 6100 Independent Project 独立研究(3-6学分)
  Completion of an independent project under the supervisor of a faculty in financial mathematics or statistics. Scope may include (i) identifying a non-reference problem and proposing the methods of solution, (ii) acquiring a specific research skill.

  15、 MATH 5311 Advanced Numerical Methods I 高级数值方法(一)(3学分)
  [Previous Course Code(s): MATH 531] Numerical solution of differential equations, finite difference method, finite element methods, spectral methods and boundary integral methods. Basic theory of convergence, stability and error estimates.

  16、 MATH 5510 Mathematical Models of Financial Derivatives 金融衍生品中的数学模型(3学分)
  [Previous Course Code(s): MATH 571] Black-Scholes-Merton framework, dynamic hedging, replicating portfolio. Martingale theory of option pricing, risk neutral measure. Option pricing under incomplete market. Stochastic volatility and jump-diffusion models. Path dependent options. Volatility derivatives.

  17、 MATH 5520 Interest Rate Models 利率模型(3学分)
  [Previous Course Code(s): MATH 572] 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. Exclusion(s): MAFS 5040

  香港科技大学金融数学硕士毕业要求
  香港科技大学金融数学硕士课程的学生需修满36个学分,包括18学分的金融数学课程、9学分的统计学课程和9学分的选修课,平均绩点达到2.85以上,方可毕业,获得香港科技大学金融数学硕士学位。

  香港科技大学金融数学硕士申请要求 
  1、 取得正规大学本科学士学位,数学、工程或物理学专业背景;
  2、 英语能力:
  1) 托福(TOEFL)80分以上;
  2) 雅思(IELTS)6.0分以上,各单项不低于5.5分;
  3、 GPA建议:211大学,GPA82分以上;非211,GPA85。
  注:对于学生数学背景要求很高,建议本科至少学过8-10门以上数学相关课程;金融专业背景学生,通常很难申请到。

  香港科技大学金融数学硕士学费
  全日制课程,学制1—1.5年,学费为港币180,000元。