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金融工程概要
金融工程英文為Financial Engineering or FE in short。金融工程進二十年在美國發展迅速,雖然近幾年有滑落趨勢,但市場仍然極為廣泛。各大院校推出不同名稱的金融工程,如計算金融 (computational finance),金融數學(Mathematics of Finance, financial Mathematics),金融碩士(master in Finance),計量金融(quantitative Finance),數學金融(mathematical Finance),金融中的數學(Mathematics in Finance),等等。其實,不同稱謂下,內容大同小異。
從大的方麵講,FE包含三個主要方麵:數學(包括概率統計隨機過程),計算機,和核心金融。下麵從每一方麵在展開來。
數 學主要有數學分析、實分析、微分方程、數值計算、概率、統計、隨機過程。當然,每個學科都隻是其中極小一部分被用到。所以,當你熟悉這些內容之後,就會發 現,並不那麽可怕。這個方麵的集大成者,是隨機微積分(Stochastic Calculus)。如果隨機微積分掌握好了,那數學方麵就基本上過關了。
計 算機包含兩個方向,一是應用程序開發,另一是算法設計。應用程序又分兩個子方向,寫程序和使用相關軟件和軟件包。算法包括部分傳統的算法內容和個別人工智 能、模式識別內容,但最主要的是運用算法原理來設計和實現FE裏的數學模型。常用的軟件和語言包括微軟的Excel/VBA, C++, SAS, R, MatLab, Java,但幾乎熟練其中一種,能完成作業和課程項目即可。
金融方麵則在基本的金融市場和簡單定價基礎上,主要需要的有:經濟計量學(Econometrics),金融衍生品(Financial Derivatives),投資組合管理(Portfolio Management),和投資風險管理。
當 然,不同的FE Program會有不同的側重點,如技術分析、程式化交易(algorithmic tradeing), 高頻交易(high frequency trading),風險管理,甚至數據淘金(data mining)等。從下麵的這些FE Program細則中,你將了解到它們的共同和不同之處。
最後,附一個由QuantNet給出的2013-2014的FE Program排名,跟我所了解的沒有明顯的衝突:
RANK |
UNIVERSITY |
PROGRAM |
TUITION |
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Carnegie Mellon University
Pittsburgh, PA |
Computational Finance
More Info |
$77,100 |
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Columbia University
New York, NY |
Financial Engineering
More Info |
$56,808 |
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Princeton University
Princeton, NJ |
Master in Finance
More Info |
$84,140 |
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Baruch College, City University of New York
New York, NY |
Financial Engineering
More Info |
$35,040
$24,315 |
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University of California, Berkeley
Berkeley, CA |
Financial Engineering
More Info |
$58,895 |
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New York University
New York, NY |
Mathematics in Finance
More Info |
$62,000 |
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Columbia University
New York, NY |
Mathematics of Finance
More Info |
$54,720 |
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Massachusetts Institute of Technology
Cambridge, MA |
Master of Finance
More Info |
$74,900 |
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Cornell University
Ithaca, NY |
MEng, FE concentration
More Info |
$69,000 |
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Georgia Institute of Technology
Atlanta, GA |
Quantitative and Computational Finance
More Info |
$54,144
$20,772 |
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University of California, Los Angeles
Los Angeles, CA |
Financial Engineering
More Info |
$55,600 |
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Rutgers University
New Brunswick, NJ |
Mathematical Finance
More Info |
$47,250
$28,539 |
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University of Toronto
Toronto, Canada |
Mathematical Finance
More Info |
CAD 42,000 |
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Boston University
Boston, MA |
Mathematical Finance
More Info |
$65,955 |
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University of Chicago
Chicago, IL |
Financial Mathematics
More Info |
$51,012 |
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NYU-Poly
Brooklyn, NY |
Financial Engineering
More Info |
$44,979 |
|
Rutgers University
Newark, NJ |
Quantitative Finance
More Info |
$58,317
$35,445 |
|
Fordham University
New York, NY |
Quantitative Finance
More Info |
$50,875 |
|
Johns Hopkins University
Baltimore, MD |
Financial Mathematics
More Info |
$60,000 |
|
University of Illinois
Urbana, IL |
Financial Engineering
More Info |
$51,000
$25,500 |
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University of Michigan
Ann Arbor, MI |
Financial Engineering
More Info |
$63,184
$33,671 |
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University of Minnesota
Minneapolis, MN |
Financial Mathematics
More Info |
$40,470
$32,870 |
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University of Washington
Seattle, WA |
Computational Finance & Risk Management
More Info |
$37,800 |
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Claremont Graduate University
Claremont, CA |
Financial Engineering
More Info |
$64,896 |
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Illinois Institute of Technology
Chicago, IL |
Mathematical Finance
More Info |
$49,104 |
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