Academics

Master of Financial Engineering Program

Pre-Program Courses

For additional information, please check the Frequently Asked Questions.

The MFE program offers pre-program courses specifically tailored to the program in order to help admitted students and prospective students review the concepts necessary to be successful in the MFE program.

Enrollment in the pre-program courses is open to the public; we encourage individuals who are thinking of applying to the program, along with those who simply want to review or enhance skills that are covered in the courses, to enroll. Students can choose to take the courses online or in person at the Haas School of Business. Online participants will receive links to the video lectures 1-2 days after the lectures take place. They will be able to view the lectures at any time that is convenient for them. The courses run from January to March each year.

Certification & Grading

The pre-program courses are graded on a pass/not pass basis. Students who complete the assignments satisfactorily and on time will receive certificates of completion. From 2014-2017, certificates of participation was offered to attendees who did not pass the course.

2017 Pre-Program Course Fees and Registrations

Registration for the 2017 pre-program courses are open. Please click on the appropriate link below to register.

Math Foundations for Financial Engineers Course Registration
C++ Programming and Numerical Analysis Course Registration
Statistics for Financial Engineers Course Registration

Registration for the 2017 pre-program courses will open October 2016.

Course Fee (USD Fee for Admitted Students (USD) Start / End
Math Foundations for Financial Engineers $1,845 $1,545 January 12-February 26, 2017
C++ Programming and Numerical Analysis $1,845 $1,545 January 14-March 4, 2017
Statistics for Financial Engineers $1,845 $1,545 January 16-March 8, 2017

*$100 discount if you register and pay by December 1, 2016

Cancellation of Enrollment

If you need to cancel your enrollment in the preprogram courses, please contact mfe@haas.berkeley.edu ASAP. Refunds requests will be processed Jan 20, 2017. If you request to cancel enrollment after the start of the course, unfortunately, we will not be able to refund your course fee.

More Information:

Please contact the MFE program at (510) 642-4417 or mfe@haas.berkeley.edu. For questions regarding registration, call (510) 599-1503.

Course Details:

Math Foundations for Financial Engineers

The Math Foundations for Financial Engineers Course will be available online for students unable to attend in person.

The Master of Financial Engineering Program (MFE) at the Haas School of Business offers a 30-hour foundation course that equips students with the mathematical background necessary to understand the courses in the MFE Program.

The course is recommended for those with an undergraduate degree and/or those with advanced degrees who need a refresher course in mathematics. For pre-readings, we recommend that you read the books listed below. The main challenge of the course will not be the math, but the mental framework needed to think effectively in financial terms.

Instructor

This course will be taught by Dr. Johan Walden.

Successful students will earn a certificate of completion from the UC Berkeley Center for Executive Education (CEE).

 

Course Description

Click here to download the Math Foundations syllabus

Objectives

If you are an MFE student:

  • To prepare you for the highly quantitative courses you will be facing. These courses require working knowledge of the topics in this class.


If you are not an MFE student:

  • To facilitate your access to more advanced FE and finance texts and to facilitate your readings of materials published in the more applied end of the professional literature.
  • To give you simple quantitative tools for elementary quantitative finance.

Who Should Attend

Individuals interested in applying to the Haas Master of Financial Engineering Program; those pursuing any quantitative analysis in the business world; those interested in actuarial science, or for those interested in seeing how mathematical theory can be applied in "real life."

Prerequisites

  • Solid understanding of calculus, one dimensional and multi-dimensional.
  • Good knowledge of ODEs.
  • Exposure to PDEs.
  • Solid knowledge of linear algebra, including eigenvalues, elementary optimization, and linear systems.

Recommended Readings

  • Numerical Recipes in C by Press et al. (Cambridge University Press.)
  • Introduction to Calculus and Analysis, Vol. I and II by Courant and John (John Wiley and Sons.)
  • Introductory Statistics for Business and Economics by Wonnacott and Wonnacott (John Wiley and Sons.)
  • The Money Market by Marcia Stigum (McGraw-Hill Trade) ISBN 1556231229
  • Options Markets by Mark Rubinstein (Prentice Hall) ISBN 0136382053

Dates and Times

The Math Foundations for Financial Engineers course is a 30-hour course that runs from January- March each year.

We will send students who have registered and paid for the course the location of the class and the login, password and web link to access the online course via email a few days prior to the first day of the course. If you do not receive the notice, please contact the MFE office by calling us at (510) 642-4417 or emailing us at mfe@haas.berkeley.edu.

Classes are held weekly in the evenings between January and March. Click here for the 2017 Schedule.

Course Fee and Registration

Fee and registration can be accessed here

C++ Programming and Numerical Analysis

The C++ Programming and Numerical Analysis Course will be available online for students unable to attend in person.

This course will be taught by Dave Klein

Successful students will earn a certificate of completion from the UC Berkeley Center for Executive Education (CEE).

Programming Environment

A C++ Programming enviroment is required for the course. The instructor recommends Microsoft Visual C++ 2008 Express Edition. This is a free C++ environment available for download from Microsoft. The instructor will be using this environment for his in-class examples.

Any C++ environment should be sufficient for the course but if you have questions, contact mfe@haas.berkeley.edu.

If you are attending the in-class lectures, you need to bring a laptop with the C++ environment installed on it. This is very important since the second half of all lectures will be hands-on practice.

Course Description

This course is designed as a first introduction to object oriented programming in C++ for financial engineers, quantitative analysts, accountants, and other finance professionals. The course focuses on programming skills required for pricing and risk managing financial instruments in equities, fixed income, and credit.
This course is introductory in nature and is not intended for information technology specialists, computer scientists, or professional programmers in the finance industry.

Each session consists of a one-hour lecture followed by a half-hour segment of hands-on exercises. In the course of the program, participants will develop, step by step, the infrastructure needed to meet the demands they will encounter in the Master of Financial Engineering at UC Berkeley, as well as the basic programming requirements for financial engineering work in the derivatives securities in industry.

The following topics will be covered, with concentrated focus on financial problems:

  • Fundamentals and C++ functions
  • Structures
  • Introduction to classes
  • Working with classes
  • Overloading and inheritance
  • Input, output, and exception handling
  • Call back functions and information transfer
  • Architectural design issues in derivatives pricing, risk management and simulation

Syllabus (PDF)

Successful students will earn a certificate of completion from the UC Berkeley Center for Executive Education.

Dates and Times

The C++ Programming and Numerical Analysis course will run from January - March each year.

We will send students who have registered and paid for the course the location of the class and the login, password and web link to access the online course via email a few days prior to the first day of the course. If you do not receive the notice, please contact the MFE office by calling us at (510) 642-4417 or emailing us at mfe@haas.berkeley.edu.

Classes are held weekly in the evenings between January and March. Click here for the 2017 Schedule.

Course Fee and Registration

Fee and registration can be accessed here

Statistics for Financial Engineers

The Statistics for Financial Engineers Course will be available online for students unable to attend in person.

The Master of Financial Engineering Program at the Haas School of Business offers a 30-hour course that gives students the statistics and probablity training necessary to understand the courses in the program. The course is recommended for those who need a refresher course in statistics.

The primary objectives are to prepare students for the statistics demands of the MFE program and to give finance professionals the necessary statistical tools for analyzing and modeling the behavior of financial data. This course will build on the introductory statistics topics covered in the Math Foundations for Financial Engineering class.

The Statistics for Financial Engineers is a VEE Approved Course

For more information on this course contact the MFE program at (510) 642-4417 or mfe@haas.berkeley.edu. For questions regarding registration, call (510) 599-1503.

Successful students will earn a certificate of completion from the UC Berkeley Center for Executive Education (CEE).

Instructor

The course will be taught by Dr. Martin Lettau.

Course Description

Click here to download the Statistics syllabus

Who Should Attend

Individuals interested in applying to the Haas Master of Financial Engineering Program, those pursuing any statistical analysis in the business world, or those interested in seeing how statistical theory can be applied in "real life."

Prerequisites

None, although students should have taken university-level mathematics.

Dates and Times

The Statistics for Financial Engineers Course is a 7-week, 30-hour course that runs from January- March each year.

We will send students who have registered and paid for the course the location of the class and the login, password and web link to access the online course via email a few days prior to the first day of the course. If you do not receive the notice, please contact the MFE office by calling us at (510) 642-4417 or emailing us at mfe@haas.berkeley.edu.

Classes are held weekly in the evenings between January and March. Click here for the 2017 Schedule.

Course Fee and Registration

Fee and registration can be accessed here

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