Curriculum
Designed by a world-class business school, the MFE Program's curriculum challenges you to think of innovative ways to integrate quantitative methods with the theoretical framework and institutional settings in which they are applied. Taught by a renowned faculty comprised of prominent scholars and industry luminaries, MFE courses are anchored in cutting-edge research and best practices in financial engineering.
The Berkeley MFE Program is a one-year program beginning in March, with an internship period from October to January, and graduation the following March.
Degree Requirements
MFE students must successfully complete 28 units of coursework (1 unit = 15 class hours), including the Morgan Stanley Applied Finance Project, plus an internship or on-site project. The 10- to 12-week internship project is a required condition for graduation.
March 19 – 22, 2012
The program kicks off with an informative and social week-long orientation. During the week-long introduction to the program, you'll get to know other new students and gain a sense of what the classroom experience will hold. The orientation features team-building exercises and lectures, and workshops on special topics, including a thorough overview of the job market and career resources.
March 26– May 18, 2012 (8 weeks)
MFE 230A (3 units) - Mark Rubinstein
This course covers the basic theories of asset pricing. It begins with the standard discounted cash flow analysis and generalizes this approach to develop the No Arbitrage Pricing technique for security valuation. Applications including fixed income securities, derivatives and contingent claims will be considered. The course will then examine the basic principles of optimal portfolio theory and consider special models of equilibrium asset pricing, including the Capital Asset Pricing Model and related Factor Models. Applications to equity pricing and portfolio performance evaluation will be explored. Programming and analytical exercises will be assigned.
MFE 230E (2 units) - Ross Valkanov
This course reviews probability and statistical techniques commonly used in quantitative finance. It includes a review of normal, log-normal, and CEV distributions. This course covers estimation and non-parametric techniques commonly used in finance (MLE, GMM, GARCH) and introduces students to financial databases and to estimation application software for exercises in estimating volatilities and correlations and their stability.
MFE 230Q (2 units) - Johan Walden
This course introduces the concepts and tools of stochastic calculus as required for effective pricing of complex financial derivatives in
continuous time. The course stresses the practical applications of stochastic differential equations, Ito integrals, and measure transformations
as required in advanced financial engineering practice and for the understanding of asset pricing theory. The material discussed in this course
is used extensively in the some of the more advanced classes.
Individuals from financial services firms will describe the work of financial engineers in their firms and the kinds of skills and personal attributes
they are seeking for this work.
June 4 – July 27, 2012 (8 weeks)
MFE 230D (2 units) - Domingo Tavella
This course emphasizes the pricing of derivatives in continuous time, from the formulation of the pricing problem to the implementation of computational and numerical solution techniques. The course consists of three parts. In the first part, asset pricing theory is used to set up the pricing problem for a wide range of instruments with features such as early exercise, jumps, and path dependencies. The second part focuses on simulation methods for pricing both European and early exercise derivatives. The third part shows how to effectively use advanced finite difference techniques for solving a wide array of pricing problems.
MFE 230I (2 units) - Richard Stanton
This course provides a quantitative approach to fixed income securities and bond portfolio management. The focus is on fixed income security markets, pricing and uses for portfolio management or for hedging interest rate risk. The course covers bond mathematics, term structure measurement and theory, immunization techniques and the modern theory of bond pricing, including the pricing of credit-risky bonds. It also covers derivative instruments (futures, swaps, options, exotic instruments). There will be extensive use of application and programming exercises.
MFE 230V (2 unit) - Amnon Levy, Jing Zhang, and Deepak Agrawal
Focuses on the techniques currently used to model credit risk. The course will cover default probabilities, loss given default, correlation, credit portfolio analytics, bond valuation, loan valuation, and credit derivative valuation. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as Matlab. Some empirical testing exercises will also be part of the project work. Students will gain exposure to the practical challenges associated with building, testing, and using credit risk models currently used by banks and asset managers.
MFE 230W (1 unit) - Suneel Udpa
The course provides a framework to allow students the understanding of the accounting and tax issues related to derivatives and hedging. It also fulfills the needs of students seeking jobs in the corporate sector and/or seeking securities structuring assignments in the financial services sector. A basic understanding of financial accounting is required.
This is a weekly seminar in which informed observers and practitioners discuss trends in the provision of financial services, the information and computing systems being adopted, new product developments, regulatory issues, and similar topics.
August 13 – October 5, 2012 (8 weeks)
Required Course: (8 weeks)
MFE 230H (2 units) - Yu (Ben) Meng
This course examines financial risk measurement and management, including market risk, credit risk, liquidity risk, settlement risk, model risk,
volatility risk, kurtosis risk and other types of financial risks. It includes risk measurement techniques for different types of contracts and
portfolios (equity, fixed income, currency) such as duration, portfolio Beta, factor sensitivities, Value at Risk™, dynamic portfolio distribution
analysis and extreme value analysis. It also includes risk management techniques for different types of problems such as trading desk risk
management, total portfolio market exposure limits, counterpart credit exposure limits, and funding liquidity exposure limits.
Choose 5 units of electives*:
MFE 230R (2 units) - Domingo Tavella
This course builds on the techniques learned in Quantitative Methods for Derivative Pricing. The focus of the course is a deeper analysis of numerical and computational issues in pricing and calibration. The orientation of the course is hands-on, with heavy use of computational techniques applied to case projects. Classroom activity will combine lectures with detailed discussion of case projects. The primary objective of this course is to prepare students to tackle the latest challenges in quantitative pricing that they are likely to encounter in cutting edge financial institutions. The material presented will familiarize students with state of the art computational strategies for the calibration of pricing frameworks, and for the pricing of complex and multidimensional derivatives. The course will be based on case projects, representative of real life situations as encountered in top trading operations in equities and fixed income. Some of the topics of emphasis will include implying local volatility functions, understanding the role of stochastic volatility models, pricing structures with complex embedded options, and credit
derivatives.
MFE 230J (1 unit) - John O'Brien
Students will participate in a series of case studies illustrating some of the major successes and failures of modern financial innovation.
MFE 230G (2 units) - Michael Melvin and Ron Kahn
This course reviews various aspects of equity and currency markets and provides models of and historical evidence on the average returns and
volatility of returns on equities, on the trade-to-trade equity price behavior, on trading volume and patterns, and on primary financial risks. The
determination of spot and forward exchange rates and the volatility, volume, high frequency dynamics, and dealer behavior in currency markets
are considered. Practical considerations involved in the implementation of various strategies are considered.
The Topics course can change from year to year. For the 2012-2013 term:
MFE 230T (2 units) - Laurent El Ghaoui
This course proposes a guided tour through optimization models arising in practical Finance. These problems include ones that are traditionally associated with optimization, including asset and liability management, asset pricing, and portfolio optimization. We also describe optimization models arising in model calibration, prediction and estimation, and risk analysis. The course includes some recent approaches to the analysis of other kinds of financial data, such as text (financial news) data.
MFE293 (1 - 3 units) - Choose an advisor
The Independent Study course is your opportunity to do research in an area of interest to you, in which there are no existing courses.
October 15, 2012 – January 18, 2013 (12 weeks)
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. Students must enroll in MFE230N, the Internship/Special Topics in Finance course for the fall term.
Because of the school's reputation and close ties to the best firms, Haas has an exceptional record of helping students secure internships, consistently placing nearly 100 percent of students each year.
January 22 – March 15, 2013 (8 weeks)
Required Courses:
MFE 230O (1 - 3 units) - Eric Reiner
This is an applied project exploring an unresolved finance problem that is met in practice and involves the development or use of a quantitative
financial technique. Participation requires prior approval of the supervising faculty member
Choose 4-6 units of electives*:
MFE 230M (2 units) - Nancy Wallace and Dwight Jaffee
This course extends the study of fixed-income securities to advanced topics on mortgage and other asset-backed securities. Students will apply the latest tools in fixed-income analysis and classic models in economics and finance to a critical evaluation of the structure and operation of the securitized bond markets. The course covers the basic mechanics of structuring deals for mortgage-related securities, credit cards, leases, and other debt markets and the risk management techniques employed in the securitization process for these assets. The course will also consider the valuation of pooled assets and derivative bonds using both Monte Carlo and option pricing techniques, an analysis of the trading strategies that are employed in these markets, and a study of the market microstructure of asset-backed security markets.
MFE 230K (2 units) - Hayne Leland
Covers the strategies for achieving various investment objectives for portfolios/ instruments (equity, fixed income, currency, mortgages, non-traded assets) and applications (investment funds, pension funds, insurance companies, bank investment portfolios).
MFE 230S (1 units) - Greg LaBlanc
This course covers elements of behavioral decision theory and its implication in financial markets. Focus is on the psychological processes by which people make judgments and decisions, and the heuristics and biases associated with these decisions.
MFE 230L (2 units) - TBA
(Note: the Real Options course will not be offered in 2012) An introduction to recent advances in real option theory, this course covers a wide range of phenomena including: the "convenience yield" in
commodity futures prices, the value of pure growth firms (firms with no current earnings), the optimal time for a firm to invest or liquidate, and
valuing and optimally undertaking staged investment decisions. The course also introduces students to recent advances in theoretical asset
pricing models that use an option-based approach to value a firm based on its fundamentals. The characteristics of and markets for commodity
derivatives will be covered. Derivatives I and II are prerequisites for this course.
The Topics course can change from year to year. For the 2012-2013 term:
MFE 230T (2 units) - Terry Hendershott and Julia Belford
This course covers topics in high frequency finance and discusses recent developments in market microstructure, electronic trading and data modeling. The course is aimed at students who are considering careers in financial engineering or quantitative trading at institutions involved in automated securities trading on electronic platforms.
MFE230T (1 unit) - Greg Lablanc
This course is a basic introduction to the legal rules which govern financial markets and institutions in general but also, specifically related to derivatives. The main purpose of legal rules and regulations is to ensure a smooth functioning of financial markets, as well as the safety and soundness of the overall financial system. We will examine the main areas of law and regulation, as they pertain to the centralized exchanges and the over the counter markets and the role of regulatory arbitrage. We will specifically focus on Dodd-Frank and Basel III and how these rules came about as a response to the financial crisis. We will also explore the role of ethics in filling in the gaps that the law fails to fill.
MFE293 (1 - 3 units) - Choose an advisor
The Independent Study course is your opportunity to do research in an area of interest to you, in which there are no existing courses.
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 firm's 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.
In addition to the internship, 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. Students have the option of completing a one-credit project or three-credit project. The $5,000 Morgan Stanley Applied Finance Project Award is given to the best three-credit project.
While not required for graduation, students are encouraged to have an internship during the break from mid-October to mid-January. The MFE Office and the Haas Career center work with students to locate opportunities for students.
*Please note that not all electives will be offered every year. This schedule is tentative and will be updated every term.
Ian Swanson
MFE 10
MFE 10
Associate, Trade Research
First Quadrant
Pasadena, California
First Quadrant
Pasadena, California
Internship:
Citigroup
New York
"The Haas curriculum exposes you to such a broad range of topics that, no matter what the subject, you always know where to start in a research or trading problem...Coming out of this program you can hit the ground running."
