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金融工程概要
金融工程英文为Financial Engineering or FE in short。金融工程进二十年在美国发展迅速,虽然近几年有滑落趋势,但市场仍然极为广泛。各大院校推出不同名称的金融工程,如计算金融 (computational finance),金融数学(Mathematics of Finance, financial Mathematics),金融硕士(master in Finance),计量金融(quantitative Finance),数学金融(mathematical Finance),金融中的数学(Mathematics in Finance),等等。其实,不同称谓下,内容大同小异。
从大的方面讲,FE包含三个主要方面:数学(包括概率统计随机过程),计算机,和核心金融。下面从每一方面在展开来。
数 学主要有数学分析、实分析、微分方程、数值计算、概率、统计、随机过程。当然,每个学科都只是其中极小一部分被用到。所以,当你熟悉这些内容之后,就会发 现,并不那么可怕。这个方面的集大成者,是随机微积分(Stochastic Calculus)。如果随机微积分掌握好了,那数学方面就基本上过关了。
计 算机包含两个方向,一是应用程序开发,另一是算法设计。应用程序又分两个子方向,写程序和使用相关软件和软件包。算法包括部分传统的算法内容和个别人工智 能、模式识别内容,但最主要的是运用算法原理来设计和实现FE里的数学模型。常用的软件和语言包括微软的Excel/VBA, C++, SAS, R, MatLab, Java,但几乎熟练其中一种,能完成作业和课程项目即可。
金融方面则在基本的金融市场和简单定价基础上,主要需要的有:经济计量学(Econometrics),金融衍生品(Financial Derivatives),投资组合管理(Portfolio Management),和投资风险管理。
当 然,不同的FE Program会有不同的侧重点,如技术分析、程式化交易(algorithmic tradeing), 高频交易(high frequency trading),风险管理,甚至数据淘金(data mining)等。从下面的这些FE Program细则中,你将了解到它们的共同和不同之处。
最后,附一个由QuantNet给出的2013-2014的FE Program排名,跟我所了解的没有明显的冲突:
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 |
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Rutgers University
Newark, NJ |
Quantitative Finance
More Info |
$58,317
$35,445 |
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Fordham University
New York, NY |
Quantitative Finance
More Info |
$50,875 |
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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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