Courses

MAFS 5010
Stochastic Calculus
[3-0-0:3]
Random walk models. Filtration. Martingales. Brownian motions. Diffusion processes. Forward and backward
Kolmogorov equations. Ito's calculus. Stochastic differential equations. Stochastic optimal control problems in finance.
MAFS 5020
Advanced Probability and Statistics
[3-0-0:3]
Probability spaces, measurable functions and distributions, conditional probability, conditional expectations, asymptotic
theorems, stopping times, martingales, Markov chains, Brownian motion, sampling distributions, sufficiency, statistical
decision theory, statistical inference, unbiased estimation, method of maximum likelihood. Background: Entry PG level
MATH
MAFS 5030
Quantitative Modeling of Derivatives Securities
[3-0-0:3]
Forward, futures contracts and options. Static and dynamical replication. Arbitrage pricing. Binomial option model.
Brownian motion and Ito's calculus. Black-Scholes-Merton model. Risk neutral pricing and martingale pricing methodology.
General stochastic asset-price dynamics. Monte Carlo methods. Exotic options and American options.
MAFS 5040
Quantitative Methods for Fixed-Income Instruments
[3-0-0:3]
Bonds and bond yields. Bond markets. Bond portfolio management. Fixed-income derivatives markets. Term structure
models and Heath-Jarrow-Morton framework for arbitrage pricing. Short-rate models and lattice tree implementations.
LIBOR Market models. Hedging. Bermudan swaptions and Monte Carlo methods. Convexity adjustments. Mortgagebacked securities. Asset-backed securities. Collateralized debt obligations.
MAFS 5110
Advanced Data Analysis with Statistical Programming
[3-0-0:3]
Data analysis and implementation of statistical tools in a statistical program, like SAS, R, or Minitab. Topics: reading and
describing data, categorical data and longitudinal data, correlation and regression, nonparametric comparisons, ANOVA,
multiple regression, multivariate data analysis.
MAFS 5120
Applied Multivariate Analysis
[3-0-0:3]
Introduction to the statistical analysis of several quantitative measurements on each observational unit. Emphases are on
concepts and computer-intensive methods. Topics: multiple regression, multivariate analysis of variance, principal
components, factor analysis, canonical correlations, multidimensional scaling, clustering.
MAFS 5130
Quantitative Analysis of Financial Time Series
[3-0-0:3]
Analysis of asset returns: autocorrelation, predictability and prediction. Volatility models: GARCH-type models, long range
dependence. High frequency data analysis: transactions data, duration. Markov switching and threshold models.
Multivariate time series: cointegration models and vector GARCH models. Background: Entry PG level MATH
MAFS 5210
Mathematical Models of Investment
[3-0-0:3]
Utility theory, stochastic dominance. Portfolio analysis: mean-variance approach, one-fund and two-fund theorems. Capital
asset pricing models. Arbitrage pricing theory. Consumption-investment problems.

MAFS 5220
Quantitative and Statistical Risk Analysis
[3-0-0:3]
Various risk measures such as Value at Risk and Shortfall Risk. Coherent risk measures. Stress testing, model risk, spot and
forward risk. Portfolio risks. Liabilities and reserves management. Case studies of major financial losses.
MAFS 5230
Advanced Credit Risk Models
[3-0-0:3]
Credit spreads and bond price-based pricing. Credit spread models. Recovery modeling. Intensity based models. Credit
rating models. Firm value and share price-based models. Industrial codes: KMV and Credit Metrics. Default correlation:
copula functions.
MAFS 5240
Software Development with C++ for Quantitative Finance
[3-0-0:3]
This course introduces C++ with applications in derivative pricing. Contents include abstract data types; object creation,
initialization, and toolkit for large-scale component programming; reusable components for path-dependent options under
the Monte Carlo framework. Background: Prior programming experience
MAFS 5250
Computational Methods for Pricing Structured Products
[3-0-0:3]
Computational methods for pricing structured (equity, fixed-income and hybrid) financial derivatives products. Lattice tree
methods. Finite difference schemes. Forward shooting grid techniques. Monte Carlo simulation. Structured products
analyzed include: Convertible securities; Equity-linked notes; Quanto currency swaps; Differential swaps; Credit derivatives
products; Mortgage backed securities; Collateralized debt obligations; Volatility swaps. Background: Entry PG level MATH
MAFS 6010
Special Topics in Financial Mathematics
[2-4 credits]
Selected special topics in Financial Mathematics of current interest but not covered by existing courses. Background: Entry
PG level MATH
MAFS 6100
Independent Project
[3-6 credits]
Completion of an independent project under the supervisor of a faculty in financial mathematics or statistics. Scope may
include (i) identifying a non-reference problem and proposing the methods of solution, (ii) acquiring a specific research
skill.

MATH 5311
Advanced Numerical Methods I
[3-0-0:3]
[Previous Course Code(s): MATH 531] Numerical solution of differential equations, finite difference method, finite element
methods, spectral methods and boundary integral methods. Basic theory of convergence, stability and error estimates.
MATH 5510
Mathematical Models of Financial Derivatives
[3-0-0:3]
[Previous Course Code(s): MATH 571] Black-Scholes-Merton framework, dynamic hedging, replicating portfolio.
Martingale theory of option pricing, risk neutral measure. Option pricing under incomplete market. Stochastic volatility and
jump-diffusion models. Path dependent options. Volatility derivatives.

MATH 5520
Interest Rate Models
[3-0-0:3]
[Previous Course Code(s): MATH 572] Theory of interest rates, yield curves, short rates, forward rates. Short rate models:
Vasicek model and Cox-Ingersoll-Ross models. Term structure models: Hull-White fitting procedure. Heath-Jarrow-Morton
pricing framework. LIBOR and swap market models, Brace-Gatarek-Musiela approach. Affine models. Exclusion(s):
MAFS 5040

Course Vector and Credits

Each course is assigned a course vector which indicates the number of instructional hours required and credits
to be earned. The course vector is presented in the form of [L-T-Lab:C] where
L = lecture hours per week
Lab = laboratory or field study hours per week

T = tutorial, seminar or recitation hours per week

C = number of course credits

For example, a course vector of [3-1-3:4] denotes a course that requires 3 lecture hours, 1
tutorial/seminar/recitation hour, and 3 laboratory/field study hours each week, and carries 4 credits.
The credit value of a course depends on the required scheduled hours of instruction. Normally, one credit is
designated for one lecture hour, one tutorial hour or three laboratory hours per week. Some sessions will be
given less credit per hour if certain scheduled hours such as tutorials reduce the non-scheduled work expected
of students.

Class Schedule 2014-15 Fall

MAFS 5010 - Stochastic Calculus (3 units)

Section
L1 (1324)

Date & Time

We 07:30PM - 10:20PM

Room
Rm 3008, Lift 3-4 (121)

Instructor
JING, Bing-yi

COURSE INFO

MAFS 5030 - Quantitative Modeling of Derivatives

Securities (3 units)
Section
L1 (1325)
COURSE INFO

Date & Time

Tu 07:30PM - 10:20PM

Room
Rm 2407, Lift 17-18 (126)

Instructor
KWOK, Yue Kuen

MAFS 5110 - Advanced Data Analysis with Statistical

Programming (3 units)
Section
L1 (1326)

Date & Time

Sa 10:00AM - 12:50PM

Room
Rm 4620, Lift 31-32 (126)

Instructor
YU, Chi Wai

COURSE INFO

MAFS 5240 - Software Development with C++ for

Quantitative Finance (3 units)
Section
L1 (1327)

Date & Time

Fr 07:30PM - 10:20PM

Room
Rm 3008, Lift 3-4 (121)

Instructor
SHUM, Chung Dak

COURSE INFO

MAFS 6010G - Mathematical Market Microstructure Theory and Applications (3 units)

Section
L1 (1328)

Date & Time

Sa 02:30PM - 05:20PM

Room
Rm 3008, Lift 3-4 (121)

Instructor
TBA

Instructor
CHEN, Kani

COURSE INFO

MAFS 6100A - Independent Project (3 units)

Section
R1 (3775)

Date & Time

TBA

Room
TBA

Program Highlights
Distinguished Features: Derivatives modeling (Equity, Fixed
income, Credit, Inflation, Hybrid and structured products), risk
management and Algorithmic trading quantitative
programming.
Duration: One year (two semesters plus one summer) for full-time
students or two years (four semesters plus two summers) for part-time
students.

Graduation Requirement: Students must complete the program with a

graduation grade average (GGA) of 2.85 or above.
Tuition: The tuition for the program is HK$140,000.
Application Deadline: 5 Feb 2015

http://www.math.ust.hk/pg/programs/mafs/program.highlights.php

University n

Overview

Study in Hong Kong one of the worlds most advanced educational hubs. Hong Kong has many
institutions, which offer programmes for international students.
What is it that your mind conjures when you hear the words 'Hong Kong'? If you are thinking
about an ultra modern city with skyscrapers, busy speedway lanes with high-end cars, big
shopping malls and the legendary Bruce Lee movies, then your guess is right.

The imprint of the British Empire is clearly still visible in Hong Kong. Since 1997, Hong Kong
functions with its own government and currency, but is officially a part of China. Hong Kong
today is a bustling cosmopolitan city that houses the offices of top international banks,
pharmaceutical and technology companies.
Hong Kong is slowly emerging as a cost-effective study destination as well; if one chooses to
spend some time to learn Mandarin.
Some of the advantages of studying in Hong Kong are:

The tuitions costs are significantly lesser when compared to the USA or the
UK.

Hong Kong is the gateway to mainland China and offers a truly cosmopolitan
life.

Hong Kong has a strong Indian community.

University accommodation is the best and most cost-effective

accommodation option

Hong Kong has a lot to offer to the traveler. You can explore its vibrant
nightlife, nature-treks, and the rest of China.

If one manages to learn Mandarin and become proficient in the language,

then it becomes a lot easier to secure a job in Hong Kong post graduation.

With a lot of direct flights from all major cities in India, Hong Kong is much
more accessible than the USA or the UK.

Top Three Unis

Three institutions from Hong Kong feature in the 'Top 50 under 50' rankings of the QS World
Rankings. They are ranked in this order:
1.
2.
3.

The Hong Kong University of Science and Technology (HKUST) is ranked first.
City University of Hong Kong is ranked fifth.
The Hong Kong Polytechnic University is ranked ninth.

This speaks volumes on the high-quality education that is on offer in Hong Kong. In recent
years, a number of students have also opted to study medicine and related courses in Hong Kong,
as the fee is considerably lower. On returning to India after completing their medical studies,
clearing an exam will allow them to practice as a registered medical practitioner in India.
Why Hong Kong

Hong Kong is definitely mushrooming into a strong study-abroad destination for Indian students
as countries like the UK are tightening student visa norms and the cost of air-travel is increasing
with each passing day. Hong Kong's proximity to India, focused-teaching methods, low tuition
costs and an excellent research network are some of the main reasons why Indian students should
consider studying in Hong Kong.There are a number of scholarship options available for Indian
students as well.

In 2010, Hong Kong opened an education centre in India to further strengthen the image of Hong
Kong here. A $1bn (HK) scholarship fund has been set-up for international students and a PhD
fellowship scheme has also been launched for students who want to pursue research studies.
Successful PhD students stand to receive a HK$240,000 a year for stipend and other research
activities.
Students can stay 12 months after graduation in search of a work and beyond 12 months if they
find employment. Hong Kong has an impressive 95% employment rate for graduates. The typical
tuition costs between US$9,000 and US$13,000 per year, which is what many Indian institutions
are charging now.

350,000 Hong Kong dollars (about US$45,000)

Permanent Residency
After seven years of living in Hong Kong, expatriates can become permanent
residents. Perks for becoming a permanent resident include social benefits that
locals have, such as public housing, assistance payments and priority in public
schools. In order to qualify for permanent residency, foreign nationals need to have
stayed in Hong Kong for a continuous seven years. If one traveled for a month
outside Hong Kong within a seven-year period, then he or she needs to have resided
in Hong Kong for at least seven years and one month. Permanent residents arent
required to give up their passports or other citizenships.