加州大学伯克利分校-金融工程硕士培养方案.docx

University of California at Berkeley -MSc Financial EngineeringBerkeley, CA, United StatesProgram Contacts:(Dr. Linda Kreitzman)Updated Oct 2009The Summary:On April 14, 1998, the finance faculty at UC Berkeleys Haas School of Business, under the guidance of Professor Emeritus David Pyle, presented the school with a proposal for the Masters in Financial Engineering Program, the first ever program of its kind offered at a business school. Dr. Pyle and the Finance group wanted to offer a program in financial economics that would: 1. offer pragmatic and timely engineering solutions tosophisticated issues in financial markets and management. 2. meet the practitioner needs for career-long learning and strengthen the practice of risk management and quantitative finance. 3. provide education in a field in which they collectively hold a leadership position.Students in the MFE program learn to employ theoretical finance and computer modeling skills to make pricing, hedging, trading and portfolio management decisions. Courses and projects emphasize the practical applications of these skills.Course Structure/Topics:March 23, 2009 - March 12, 2010The full program consists of 28 required units including an Applied Finance Project (1 unit = 15 class hours).Please note that not all electives will be offered every year. This schedule is tentative and will be updated every term.Spring 2009: March 23 - May 25, 2009 (8 weeks)Fundamentals of Financial Economics(2 units) - John MartinezEmpirical Methods in Finance(3 units) - TBAIntroduction to Stochastic Calculus(2 units) - Alexei TchstyiFinancial Institutions Seminar ISummer 2009: June 1 - July 30, 2009 (8 weeks)Derivatives: Economic Concepts(2 units) - Mark RubinsteinDerivatives: Quantitative Methods(2 units) - Domingo TavellaFixed Income Markets(2 units) - Richard StantonAccounting and Taxation of Derivatives(1 unit) - Suneel UdpaFinancial Institutions Seminar IIFall 2009: August 10, 2009 - October 9, 2009 (8 weeks)Required Course:Financial Risk Measurement and Management(2 units) - Yuqing (Jeff) ShenChoose 5 units of electives:Advanced Computational Finance(2 units) - Domingo TavellaSuccess and Failure in Financial Innovation(1 unit) - John OBrienThe Design of Securities for Corporate Financing(1 unit) - Mukesh BajajCredit Risk Modeling(2 units) - Jeffrey BohnEquity & Currency Markets(2 units) - Michael Melvin and Ron KahnIndependent Study (1 - 3 units) - FacultyInternship Period 2009-2010:October 12, 2009 - January 15, 2010 (12 weeks)The Internship/Special Topics in Finance Project begins October 12, 2009 and ends on January 15, 2010. Students must enroll in MFE230N, the Internship/Special Topics in Finance course for the fall term.Winter 2010: January 19 - March 19, 2010 (8 weeks)Choose 7 units of coursework:Asset-backed Security Markets(2 units) - Nancy Wallace and Dwight JaffeeDynamic Asset Management(2 units) - Hayne LelandBehavioral Finance(2 units) - Terry OdeanReal Options(2 units)*Applied Finance Project(Required) (1 - 3 units) - Eric Reiner*The Real Options course is not offered each year.The MFE program requires satisfactory completion of 28 units of coursework plus an internship or on-site project. In addition to coursework, the MFE educational experience includes the following:Financial Practice Seminars: MFE students are encouraged to attend weekly discussions held by finance practitioners. In the first term speakers discuss jobs available to graduates of the MFE and the skills needed to contribute to a firms mission. In the second term, speakers provide insights into the way the financial world is changing: new products and needs; evolving data and information systems; and similar topics.Applied Finance Project: MFE students are required to complete an applied finance project that develops or uses quantitative finance tools and techniques learned in the program or internship.Internship Program: The Internship/Special Topics in Finance project is a required condition for graduation. The internship or approved, on-site project takes place from mid-October to mid-January.Key Stats:Acceptance Rate: 25%Annual Intake: 65Application Deadline: RollingAverage Age at Entry: 28Average Years of Work Experience of Class: 4.22Dissertation/Thesis: Applied finance projectDuration of Program: 12 months + 30 hour Mathematics for Financial Engineers refresher course and Basics of C/C+ Programming for Financial Engineers course.Entry Requirements:- Minimum GPA of 3.00- 4 Year Bachelors degree- TOEFL: 230/300;570/677- Essays demonstrating a passion for finance and potential for leadership- Calculus, Linear Algebra, Differential Equations, Numerical Analysis, Advanced Statistics & Probability- Microeconomics, Macroeconomics, Basic Finance- Basic C/C+GMAT: Average - Quant (49 = 91%), Verbal (36 = 75%), Analytical (4.5 = 59%)GPA: Average - 3.66GRE: Average - Quant (781 = 91%), Verbal (578 = 72%), Analytical (641 = 71%)International Students: 61%Male/Female: 86%/14%Placement R