Stand Alone

Stand Alone Graduate Diploma in Financial Engineering

Of interest to students with strong quantitative backgrounds in economics, mathematics, statistics, engineering science, or computing, Financial Engineering is a Schulich based Graduate diploma established in cooperation with the Department of Mathematics.

Financial Engineering graduates will have the theoretical knowledge and specialized skills necessary to develop new financial instruments and to understand the role of financial instruments in risk management. 

Graduates will find career opportunities in the financial industry with banks, investment firms, brokerage houses and other financial institutions as well as risk management departments of large corporations and consulting firms. 

The Diploma consists of five master-level half-courses offered by the Schulich School of Business and the Graduate Program of Mathematics and Statistics.  

The courses will be such that the diploma could be completed on a part-time basis but may require a day off work during one term (12-13 weeks usually in the summer) and afternoons or mornings in the other terms. The scheduling of the courses will be done in order to facilitate full-time employment with minimal time off work while in the program. Click schedule on the left to see the projected scheduling of the next offering. As such the diploma offers a unique opportunity for graduates with relevant degrees to apply their profession to the financial industry sector thus taking advantage of their prior quantitative training.

The required courses are as follows:

Admission requirements

Applicants to the Diploma must have a four-year bachelor’s degree from a recognized university, and must have a minimum B average over the last two years of academic study.  Applicants’ university study must have prepared them for the highly quantitative and computer-based aspects of the program.  Examples of degrees studied that provide appropriate levels of pre-entry knowledge include Mathematics, Computer Science, Engineering, Economics, Chemistry, and Physics. For more information contact Nicki Smith at FNEN@SCHULICH.YORKU.CA.

To apply online click here:

http://www.schulich.yorku.ca/ssb-extra/school.nsf/allwebdocuments/Apply+to+schulich+now#Graduate%20Diploma%20Programs%20Applica

Applicants are expected to have familiarity with financial market/economic concepts. This can be demonstrated by the successful completion of one economics/business course in prior undergraduate studies with a minimum grade of B or by successful completion of the Canadian Securities Course offered by the Canadian Securities Institute (or an equivalent). See Appendix for equivalent programs.

Alternatively the familiarity with financial market/economic concepts can be satisfied by two years work-related experience in a business context dealing specifically with financial market/economic concepts.

Applicants whose first language is not English and who have not studied for at least two years at a university in which the language of instruction is English must demonstrate competence in English by achieving a satisfactory score on a recognized English language test. Acceptable tests include the Test of English as a Foreign Language (TOEFL), the International English Language Testing Service (IELTS), the Michigan English Language Assessment Battery (MELAB), or the York English Language Test (YELT). An applicant must attain the score normally required for admittance to the Schulich MBA program – e.g., a TOEFL score of 600 (paper-based) (new TOEFL score of 100) or 250 (computer-based), with at least 5.0 on the TWE component.

A joint committee composed of faculty members from the Schulich School of Business and the Graduate Program of Mathematics and Statistics will assess admission qualifications. 

Tuition

Students who are enrolled in the Financial Engineering Diploma (Stand Alone) will pay the regular Schulich part-time fee in each of the three terms required to complete the program.

Brief Course Descriptions

FNEN 6810 3.0 - Derivative Securities
This course blends theory and practice that incorporates a new approach to teaching derivative securities. A unified approach to option pricing utilizing MAPLE V's symbolic power and its connection to numerical valuation is presented. This is an advanced course combining theory and practice of pricing and hedging derivative securities. The course emphasizes the applications of financial engineering and covers option and futures pricing theory and practice. Institutional material will be assigned mostly as reading material and the course will concentrate on the theory and practical applications of currency and commodity derivatives, as well as exotic options.

FNEN 6850 3.0 – Fixed Income
The course builds upon the use of symbolic and numerical tools. MAPLE V is used as a computer algebra system and then as a generator of codes in C++ and/or FORTRAN. This course provides an overview of the major components of fixed income markets, including a review of the major instruments, the issuers and the investors. The valuation of interest-rate sensitive cash flows is the underlying theme. Major topics covered include theories of the term structure, institutional aspects of the fixed income markets, and analytical techniques for managing interest rate risk. The course will concentrate on modern valuation methods as well as traditional techniques for risk management in the fixed income market. The effect of the assumed interest rate dynamics and the prevailing interest rate condition for the riskiness and value of various features of these contracts will also be analyzed. The power of convexity and duration upon risk management and valuation will be developed. Students will use the substantive approaches developed in the course to address concrete problems. The coursework will include a project dealing with Canadian data.

MATH 6910 3.0 - Stochastic Calculus in Finance
This course is intended to provide the mathematical background for the models of security pricing used in subsequent finance courses. The emphasis is not on rigorous derivations and comprehensive theory, but rather on ideas, examples, concepts and pitfalls. The goal is to build up the background to understand the Girsanov transformation approach to the Black-Scholes option pricing formula.

MATH 6911 3.0 - Numerical Methods in Finance
This course is intended to introduce students to the differential equations that arise in the pricing of financial derivatives, such as the Black-Scholes equation, and to develop the major tools that have been used for obtaining numerical solutions to these equations.

Equivalent Programs