[1A] INTRODUCTORY STATISTICS STAT 101
(Listed as a core or compulsory requirement)

The purpose of this course is to introduce the basic concepts of statistics through illustrative use of statistical methods for solving applied problems. Emphasis will be placed on statistical reasoning, rather than derivation of theoretical details. Students will learn to solve common statistical problems using statistical software. There are no prerequisites for this course but students are expected to have some basic understanding of calculus and algebra. This course is designed for students who wish to pursue a non-quantitative major at SMU. Students who intend to pursue a quantitative major should take its companion course, STAT151 Introduction to Statistical Theory.

[1B] INTRODUCTION TO STATISTICAL THEORY STAT 151
(Listed as a core or compulsory requirement)

This course is designed for students who have a background in basic probability and statistics and who intend to pursue a quantitative major in SMU. The course gives a mathematical introduction to statistical and probability concepts. It is intended for students with interests in Actuarial Science, Economics and Econometrics, Operations Management, Finance, Marketing Research, and Statistics. Students are expected to be mathematically oriented or at the very least, be interested in mathematics. Students taking this course are expected to have some basic knowledge in calculus and statistics.


[2] LINEAR ALGEBRA AND REGRESSION QF 201
(Listed as Quantitative Finance modules in the Business School )

This course cannot be used to satisfy the Finance Major, but are treated as Business courses

The coverage includes matrices, systems of linear equations, and their solutions by Gauss-Jordan elimination, matrix operations, inversion, and solution by matrix operations. Determinants, co-factors, Cramer's rule, will be covered. Vector spaces, including Euclidean space, sub-spaces idea, linear independence, dimension, row, column, and null spaces concepts will be covered. Norms, distance ideas, operations such as inner and outer products, concepts of orthogonal bases, and Gram-Schmidt orthogonalization will be discussed. Eigenvalues, eigenvectors, eigenspaces, eigenbases, quadratic forms, positive definiteness, symmetric matrices, Cholesky decomposition for simulations and creating correlated random processes will be taught. Optimization and linear programming using matrix operators will be discussed. Functional language programming will be incorporated such as MatLab and Excel VBA. Application problems in derivatives and portfolio risks will be covered.

Suggested textbook: Linear Algebra and Its Applications by Strang, AP

[3] DIFFERENTIAL EQUATIONS QF202
(Listed as Quantitative Finance modules in the Business School )

This course cannot be used to satisfy the Finance Major, but are treated as Business courses
The pre-requisite for this course is Calculus MATH 001 or an exemption of it.

The coverage should include ordinary differential equations, solution methods involving separation of variables, method of homogeneous coefficients, up to second order ODE. Learn how to take the Laplace transform of algebraic and trigonometric functions, derivatives, integrals, and differential equations. Solving linear ODE using Laplace transforms. Solving using matrix methods. Solving non-homogeneous system of linear differential equations using variation of parameters method. Power series solutions.Numerical methods such as Euler's method and Runge-Kutta method for solving first order differential equation. Idea of initial value problem. The heat and parabolic partial differential equations, leading to the option pricing partial differentiation equation and Laplace transform. Finite difference explicit and implicit schemes for approximate numerical solutions are introduced. Functional language programming will be incorporated such as MatLab and Excel VBA. Application problems in derivatives and portfolio risks will be covered.

Suggested textbook: A First Course in Differential Equations by Zill, PWS

[4] REAL ANALYSIS QF203
(Listed as Quantitative Finance modules in the Business School )

The QF203 course is taught at the QF Unit under the Business School .
The pre-requisite for this course is Calculus MATH 001or an exemption of it.

Students should prepare themselves by self-reading basic multivariate calculus material, e.g. Schaum series, before taking this course. In any case, this course should be taken either in the first or second semester of the first year. It will contain materials in algebraic analysis, topology in Cartesian space, formal understanding of set theory, sequences, bounds, intervals and neighborhoods, limits, convergence, compactness, and various notions of continuity. Some ideas of measure and space, notions of derivatives and integrals, including Riemann and Lesbesgue integrals, as some forms of limits, and some basic limit theorems such as monotone and dominated convergence theorems, fatou's lemma, fundamental theorem of calculus, and inequalities such as Jensen's, Minkowski's, Holder's, and Bessel's are covered.

Suggested textbook: Elements of Real Analysis by Bartle, JW

[5] STRUCTURED FINANCE QF301
(Listed as Quantitative Finance & also Finance modules in the Business School )
The pre-requisite for this course is Calculus MATH 001or an exemption of it.

The coverage in this course begins with quick review of options, Should include financial market instruments materials at the CFA level II and III such as derivatives and fixed income securities, CDS, CMO, CDO, etc. Concepts such as cost of carry, yields, arbitrage, stripping and constitution, securitization, structuring, risk arbitrage, hedged portfolio, risk engineering, are covered. Students will also be given real market structures to analyze. Practitioner inputs and market practices will be considered.

Suggested textbooks: Structured Products by Knop, JW; An Introduction to Capital Markets Products, Strategies, Participants, by Chisholm, JW; Structured Derivatives by Mattoo, FT

[6] INVESTMENT AND FINANCIAL DATA ANALYSIS QF302
(Listed as Quantitative Finance & also Finance modules in the Business School )
The pre-requisite for this course is either Introductory Statistics STAT 101 or Introduction to Statistical Theory STAT 151.

Covers concepts and tools employed in valuing publicly traded securities. Asset pricing theories. CAPM, APT, Euler equation of dynamic asset valuation models. Fundamental analysis. Fama-French factors. Portfolio optimization. Security alphas, Sharpe, Treynor measures of performance. Include some empirical finance and behavioral finance concepts like momentum investing. Covers econometric procedures in time series regressions and security data analyses. The statistical package S-PLUS and/or R will be used. Application problems in derivatives and portfolio risks will be covered.

Suggested textbook: The Econometrics of Financial Markets by Campbell , Lo, and MacKinlay, Princeton University Press, 1997.

[7] STOCHASTIC CALCULUS AND FINANCE THEORY QF303
(Listed as Quantitative Finance & also Finance modules in the Business School )

Prerequisite: Real Analysis QF203.
This course should preferably be taken in the third or last year.

Coverage includes Ito calculus, Girsanov theorem, and Feynman-Kac theorem. Concepts of arbitrage and risk-neutral pricing in the context of multi-period asset pricing models will be taught. Use of Markov processes, martingales, filtration concepts, stopping times in American options, state price density, martingale representations theorem, and term structure theories will be covered. Application problems in derivatives and portfolio risks will be covered.

Suggested textbook: An Introduction to the Mathematics of Financial Derivatives by Neftci, AP. Also, Introduction to Mathematical Finance by Pliska could be referenced.

[8] NUMERICAL METHODS QF304
(Listed as Quantitative Finance modules in the Business School )

This course cannot be used to satisfy the Finance Major, but are treated as Business courses

Prerequisite:Differential Equations QF202, Real Analysis QF203, Linear Algebra and Regression QF201.
This course should preferably be taken in the third or last year.

Coverage includes building recombining and non-recombining trees, sampling schemes, variance reduction techniques, Monte Carlo and other simulation methods, FFT, hedge computations involving Greeks, and implied volatilities. Calibration methods will also be taught. Functional language programming will be incorporated such as MatLab and Excel VBA. Application problems in derivatives and portfolio risks will be covered.

Suggested textbooks: Monte Carlo Methods in Finance by Jackel, JW. Papers by Broadie and Glasserman, Lehoczky, Heath, etc.

[9] GLOBAL FINANCIAL RISK MANAGEMENT QF305
(Listed as a Global and Regional Studies requirement )

This course is compulsory for QF Majors. Coverage should provide a survey and perspective of BASEL development, risk theory and applications at banking or corporate headquarters as well as division levels. Value-at-Risk techniques and cases of bank risk management will be covered. Coverage could also provide a survey and perspective of how global markets and regulatory policies shape innovations and financial engineering and the constant rise of new products and development, and how they both introduce risk as well as provide for such management. It will also discuss market crashes and technologies such as program trading.

Suggested textbooks: Value at Risk by Jorion, McGraw; Risk Management in Banking by Bessis, JW; Advanced Financial Risk Management by Deventer et.al., JW, Merton Miller on Derivatives, JW; Derivatives: Wild Beasts of Finance by Steinherr, JW; On Money and Markets by Kaufman, McGraw; Dangerous Markets by Barton et.al. JW; What Wall Street Doesn't Want You to Know by Swedroe, TT; Risk Arbitrage by Moore, JW; Irrational Exuberance by Shiller, BB.

[10] IS SOFTWARE FOUNDATIONS IS200
(Listed as Information Systems Foundation requirement in the BS (ISM) program)

* This can be used to satisfy the Technology & Entrepreneurship requirement in BBM, BSC (Econs), BSOCSC, and BACC and other degrees requiring T&E. Exemption is possible under SIS.

IS Software Foundations course focuses on fundamental concepts of IS system realisation and problem-solving skills. Some Java programming or simpler language is taught as an implementation tool to realize solutions. Practices of Object Orientation are also covered throughout the course. Class participation, project and e-learning supplement are key drivers to promote interactive learning in the course.


[11] FINANCIAL ACCOUNTING ACCT101
(Listed as Business Core in the Business School )

This course provides the student with a basic understanding of accounting as "the language of business". It introduces students to the basic concepts, principles, procedures and approaches underlying the accounting process. This basic understanding facilitates the interpretation of financial information, which is necessary for making business decisions.

[12] MANAGEMENT ACCOUNTING ACCT102
(Listed as Business Core in the Business School )

This course introduces cost and management accounting topics to enable students to understand how accounting information is used to manage an organisation. It focuses on the factors that differentiate one company from another. The course will look at various functional areas within the firm, ranging from manufacturing to marketing, and from accounting to human relations. In addition, the concept of management, how senior managers plan, implement and control those plans through people will be briefly discussed.

[13] FINANCE FNCE101
(Listed as Business Core in the Business School )

The coverage of the course includes understanding of the role of financial markets and the firm. Time value of money. Discounting concept. Fixed income instruments and money markets. Equity instruments, dividends, and other capital market instruments. Portfolio theory and CAPM. Investment decisions, Derivatives and convertibles. Financing and Dividend decisions.

Suggested Textbook: Corporate Finance, by Ross, Westerfield, and Jaffe, McGraw-Hill.

[14] GE Arts: MATHEMATICAL FINANCE : A SOCIO-CULTURAL AND HISTORICAL PERSPECTIVE QF100

This course is a GE Arts elective, but Quantitative Finance Majors are strongly encouraged to take this course.

The main aim of this course is to introduce students to the historical development of mathematical ideas in finance in the last 100 years. The roots of such developments are also traced to developments of mathematical ideas and fields in the centuries preceding the last millennium. Highly simplified samplings of the mathematical results in each historical episode, combined with the caricatures of the mathematicians behind them, the socio-cultural contexts of the times, and a sense of the importance of such developments in the field will be presented.

The course will enable a good understanding of why and how mathematics have come to play a critical role in the field of quantitative finance such as derivatives, structuring, investments, and risk analytics. This understanding will serve as an excellent vista to the quantitative finance field and should substantiate the interest of those who want to apply their logical and computational minds to the pecuniary tests of the financial markets or if nothing else provide a fine sampling of the attempts of brilliant mathematicians and “rocket scientists” in thinking about and carving frameworks and models to tame and harness the creatures of chance and human choices in the capital market place. Where time permits, a lighter but culturally enriching segment of the course may include cinematic clips portraying mathematicians and their human side, after the tradition of the Berkeley Mathematical Sciences Research Institute's Mathematics film-festival program.