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Curriculum

Master of Quantitative Finance Curriculum

Fall 2019/Spring 2020

Maryland Smith’s curriculum is interactive, data-focused and adjusts to reflect the trends of the modern business world. The courses you’ll take are taught by knowledgeable scholars and experts with years of experience leading others in their field.

Financial Management
2 credits | BUFN 610

Focuses on the valuation of the real assets of firms as well as the valuation of stocks and bonds, the primary financial assets in an economy. While details vary, the conceptual foundations of valuation boil down to three themes: time value of money, no-arbitrage, and systematic risk.

Financial Econometrics I
2 credits | BUFN 640

In this course we study standard techniques used in the econometric analysis of financial data and discuss the underlying techniques and focus on the understanding and interpretation.

Financial Econometrics II
2 credits | BUFN 650

A hands-on and application-oriented short course on data management and financial modeling. It introduces students to basic data management techniques and a variety of analytical models used in finance. 

Financial Mathematics
2 credits | BUFN 670

We will cover basic concepts in discrete-time and continuous time finance, including stochastic calculus and treatment of jumps, conditional expectations, Feyman-Kac theorem, Girsanov theorem, risk-neutral pricing of derivatives (forwards, futures, bonds, options), convex optimization. The focus is on financial models, applications, and implementation.

Capital Markets
2 credits | BUFN 620

Designed to deepen the foundations necessary to finance focused students, especially those intending to specialize in the quantitative areas of finance including investments, fixed income, and financial engineering. 

Advanced Capital Markets
2 credits | BUFN 741

This course covers modern theories and techniques for investments and asset pricing. The main topics covered are: portfolio theory, pricing models, market efficiency, fixed income investment, forwards and futures, and options.

Financial Programming
2 credits | BUFN 745

Deepens the programming and computing skills necessary in the finance profession, especially for quantitative roles involving big data and modeling. The course aims to familiarize students with large scale financial data and to further develop practical analytical tools.

Valuation in Corporate Finance
2 credits | BUFN 630

An advanced topics course in Corporate Finance dealing with valuation. Main topics will be, building pro forma statements, cost of capital, using ratios and comparables to value projects and firms, discounted cash flow valuations, WACC and APV methods of valuation and Real Option Valuations.

Derivative Securities
2 credits | BUFN 660

Standard types of derivatives contracts are presented, and illustrated as to how they are used in practice. The theory of pricing these contracts is then presented in detail. The use of static and dynamic replication strategies, and the concept of no-arbitrage strategies is illustrated in numerous ways. Standard valuation techniques are covered, and standard formulas are presented. The theory is then applied to develop specific pricing and hedging strategies for various types of derivatives on different underlying assets. The anagement of the exposure of various risks is covered in detail as well.

Introduction to Financial Accounting
2 credits | BUFN 602

Overview of financial accounting, periodic financial statements and the financial reporting process. Importance of financial statements as information source for creditors and investors and as a means by which managers can communicate information about their firms.

Financial Strategy For Corporations
2 credits | BUFN 710

An advanced course in corporate finance, focusing on the issues that firms face when they plan to raise external capital from financial markets. The focus is on the financing problems faced by mid-market to large firms and on capital raised from public markets. The forms of external finance vary from simple debt or equity to more complex securities that bundle with an element of risk management.

Financial Restructuring
2 credits | BUFN 712

Focuses on identifying ways to increase firm value through corporate restructuring. Specific topics include: mergers and tender offers, spin-offs, carve-outs, divestitures, takeover defense strategies, leveraged buy-outs, and international acquisitions. Additionally, the theory, practice and empirical evidence related to each of these topics will be covered. Emphasis will be placed on valuation analysis and strategic considerations.

International Investment
2 credits | BUFN 721

Addresses international stock markets, portfolio theory, international interest rates, exchange rates and exchange rate derivatives (options, forwards, and futures), exchange rate swaps and exchange rate exposure (operating, translation, and transaction), foreign investment strategy.

International Corporate and Project Finance
2 credits | BUFN 723

Issues addressed will include capital budgeting, project financing, exchange rate exposure (operating, translation, and transaction), foreign investment strategy, and risk management.

Bank Management
2 credits | BUFN 724

Analyze and discuss readings in bank management, with a primary focus on the measurement and management of risk, including credit, market, and interest rate risk. Look at the management of liquid reserves. Examine the special nature of financial institutions, incorporating their functions, policies, services, and regulation. Study the evolving nature of the financial services industry, by reading the financial press and by having outside practitioner speakers. Focus is on U.S. banks.

Institutional Asset Management
2 credits | BUFN 726

Examines how money is managed by organizations such as university endowments, pension funds, mutual funds, hedge funds, and private equity funds. Involves a mixture of finance and economics and emphasizes the incentives professional money managers face within the context of the organizational structure in which they operate. Particular attention is paid to compensation structures and monitoring mechanisms.

Applied Equity Analysis
2 credits | BUFN 730

Students will learn to analyze equity securities using the basic EIC (Economy/Industry/Company) framework used in the financial industry, paying special attention to financial statement analysis. Students also will learn the primary valuation techniques used to estimate market values for equity securities.

Fixed Income Analysis
2 credits | BUFN 732

Describes important financial instruments which have market values that are sensitive to interest rate movements. Develops tools to analyze interest rate sensitivity and value fixed income securities. Defines and explains the vocabulary of the bond management business.

Portfolio Management
2 credits | BUFN 734

Provides training that is important in understanding the investment process -the buy side of the financial world. Specifically, the objective is to provide graduate-level instruction in the following topics, both in theory and in using financial markets data to test the basic theory and practice of portfolio choice and equilibrium pricing models and their implications for efficient portfolios.

Quantitative Investment Strategy
2 credits | BUFN 736

Provides an introduction to quantitative techniques of selecting equities, as used commonly among long-short equity hedge funds and other quantitative equity asset management companies. Statistical factor models are developed to locate stocks with higher expected returns, based on the observable characteristics of the stocks. Implementation issues, including statistical estimation, backtesting and portfolio construction, are covered, as is performance evaluation.

Financial Engineering
2 credits | BUFN 742

Introduces and applies various computational techniques useful in the management of equity and fixed income portfolios and the valuation of financial derivatives and fixed income securities. Techniques include Monte Carlo Simulation and binomial/lattice pricing models. Emphasis is on bridging theory with the design of algorithms and models that can be directly applied in practice.

Fixed Income Derivatives
2 credits | BUFN 744

Surveys fixed income assets and related securities such as Exchange-traded bond options; bonds with embedded options; floating rate notes; caps, collars, and floors; floating rate notes with embedded options. Also surveys advanced tools for interest-rate and fixed-income portfolio management, including the use of derivative securities, and the application of binomial trees for analysis of options, and a sound understanding of stochastic yield curves.

Big Data in Finance
2 credits | BUFN 758D

Financial Institute Risk Management
2 credits | BUFN 758R

This course surveys the theory and practice of financial risk management focusing on identification, measurement, and mitigation of risks associated with financial institutions. It focuses on the risk of a stylized large systemically important financial institution (Sifi Bank) using synthetic transactions and portfolios allowing the student to directly apply various concepts using a variety of models and Excel/VBA tools to test their sensitivity to important changes in assumptions.

Market Microstructure
2 credits | BUFN 758X
Asset Management track

The course examines--from theoretical, institutional, and empirical perspectives--how prices in speculative markets are determined by the interaction of traders. Topics covered include market making, informed trading strategies, liquidity, bid-ask spreads, transaction costs, market impact, price manipulation, and high-frequency trading. The course examines markets for equities, bonds, commodities, and foreign exchange. There are several empirical exercises using transaction data.

FinTech: Business Disruptions, Innovations, and Opportunities
2 credits | BUFN 758L

Special Topics in Finance
2 credits | BUFN 758

Selected advanced topics in the various fields of graduate study in finance.

Financial Risk Management I
2 credits | BUFN 746

Surveys the theory and practice of financial risk identification, measurement, and mitigation with a focus on financial firms. This is the first of a two-course sequence in risk management and begins with an understanding of what risk management entails, how risk management is conducted within the corporation, and risk governance principles, and from there takes the student through risk-adjusted performance measurement and the concept and measurement of economic capital, credit risk theory, and consumer and commercial credit risk management. Topics will also include risk transfer mechanisms and a variety of credit derivatives such as reinsurance, collateralized debt obligations (CDOs), credit-linked notes (CLNs) and credit default swaps (CDS). The concept of credit value-at-risk (VaR) is introduced and students learn how it is computed.

Financial Risk Management II
2 credits | BUFN 747

This course is the second of a two-course sequence in financial risk management. The course focuses on introducing students to various risks associated with asset-liability management including market, interest rate and liquidity risk. Market risk focuses on losses sustained in bank trading books as may come about from fluctuations in equity, fixed-income, derivatives and other trading account values. Interest rate risk on fixed-income instruments and portfolios is also examined in detail. Students are introduced to Value-at-Risk concepts and methods including simulation and other analytic approaches to calculating VaR for market and interest rate risk. Principal components analysis is also covered and its application to calculating VaR. The remainder of the course completes the review of other risks including operational, cybersecurity, reputation, model, legal and regulatory risk.

Entrepreneurial Finance and Private Equity
2 credits | BUFN 717

Prerequisite: Corporate Finance

An advanced topics course in Corporate Finance. The major emphasis is how financiers help growing firms - and in particular young start-ups - using different types of securities at different points in the industry's and firm's life. Financing arrangements and securities studied will include private equity funds and private financings placements, Venture Capital (VC) and preferred equity, Investment Banks through Initial Public Offerings (IPOs), Private equity finds, debt and leveraged buyouts. Students will learn additional techniques that will help them understand how financiers value firms and how to understand, plan and value different financing strategies.

Corporate Risk Management
2 credits | BUFN 716

Surveys the theory and practice of financial risk identification, measurement, and mitigation at financial and non-financial firms. Topics will include hedging with options and futures, interest rate risk management, Value-at-Risk (VaR), Cashflow-at-Risk (CaR), Earnings-at-Risk (EaR), credit risk, equity risk, commodities risk, exchange rate risk, and lessons from risk management disasters.

Corporate Governance and Performance
2 credits | BUFN 714

Deals with corporate governance and its impact on shareholder value. Divergence of interests between corporate insiders and providers of funds leads to agency problems which can impair corporate performance and shareholder value. Various instruments of corporate governance - internal as well as external mechanisms - that can help align managerial incentives with those of outside investors, and hence help restore shareholder value will be studied.

0 Credits | BMGT099 | Download Sample Syllabus

This online course allows you to gain academic recognition for completing an internship in your area of study. This course is offered through Maryland Smith’s Office of Career Services (OCS).

  • The course is offered in fall, winter, spring and summer semesters.
  • You’ll apply the business concepts you learn in class to the real world. Gain more industry insight, clarify your career goals, and develop your professional and technical skills.
  • Assignments include completing a work log, reflection activity, LinkedIn post and employer survey. All are completed virtually using Canvas.

Prerequisites and Guidelines

Prior approval from OCS is required to register for the course. More information on this process can be found in the Registration Process and Registration Approval Checklist documents. To be approved, you must:

  • Be in good academic standing. 
    You must be a current student enrolled in a specialty master’s program for at least two consecutive semesters. You must also have a GPA of 3.0 or higher.
  • Meet the working hours requirement and location guidelines. 
    You must work at least 75 hours at your internship during that semester. Depending on which semester you enroll, workplace location guidelines may also apply.
  • Update your Internship putcome and complete an Experiential Learning profile. 
    Submit your information on HireSmith and upload the following forms to your Experiential Learning profile:

Special Guidelines for International Students

Registration in this course does not guarantee Curricular Practical Training (CPT). However, this course does fulfill the academic requirement for CPT. Authorization is granted by the Office of International Student and Scholars and Services (ISSS). Once you are enrolled in this course, see ISSS for more details on CPT authorization.

For questions about the course and receiving internship credit, email Angela Vaughn, director of Specialty Master’s Programs for OCS, at BMGT099@rhsmith.umd.edu.