Curriculum

Course
Schedule

Earn 52 units through coursework and the hands-on Applied Finance Project.

Course
Description

Our curriculum is solidly based on the business school model.

Applied
Finance Project

Tackle a practical, real-world financial engineering problem.

The UCLA Anderson MFE curriculum is solidly based on the business school paradigm of merging theory and principle with up-to-the-minute business practice. While MFE programs are available at many universities, UCLA Anderson is one of the few top-tier business schools worldwide to offer the MFE degree. Our dynamic curriculum, taught by a world-renowned finance faculty, merges technical and theory-based pedagogy with practical immersion through a summer internship and a corporate sponsored Applied Finance Project.

Course Schedule

Foundation

Winter

Spring

Fall

November - December
January - March
March - June
September - December

Fundamentals of Investments

Corporate Finance

Financial Risk Management

Introduction to Credit Markets

Financial Accounting

Stochastic Calculus

Fixed Income Markets

Special Topics in Financial Engineering

 Introduction to Econometrics

Empirical Methods in Finance

Computational Methods in Finance

Applied Finance Project

 

Derivatives

Quantitative Asset Management

Applied Finance Project

The Applied Finance Project (AFP) gives MFE candidates the opportunity to apply knowledge acquired through MFE coursework to solve a practical, real-world financial engineering problem. By partnering with a corporate client, students develop and showcase their knowledge of quantitative finance, hone their communication skills and delve more deeply into an area of interest beyond the classroom.

UCLA Anderson GEMBA Asia Management Practicum

AFP projects concentrate on such areas as quantitative trading strategies, portfolio management, risk management, hedging and derivatives valuation, and are sponsored by top organizations that include PIMCO, Citi, PwC, Aspirant, Accenture, AXA Rosenberg, Hyundai Capital and Research Affiliates. Students interact directly with clients, gaining valuable exposure to potential employers and broadening their professional networks.

Course Descriptions

 

Fundamentals of Investments

Professor: Eduardo Schwartz

This course covers the essentials of asset pricing and portfolio choice, standard discounted cash flow approaches, and no-arbitrage framework for valuing financial securities. It introduces basic paradigms of asset pricing, such as capital asset pricing model (CAPM), arbitrage pricing theory (APT) and Fama-French Three-Factor model. Students learn development and illustration of dynamic portfolio selection and optimization approaches.

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Financial Accounting

Professor: Brett Trueman

An introduction to the concepts of financial accounting and its underlying assumptions, including an examination of the uses and limitations of financial statements. Procedural aspects of accounting will be discussed in order to enhance understanding of the content of the financial statements. The course emphasizes using accounting information in the evaluation of business performance and risk. The use of accounting information in research studies will also be examined.

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Introduction to Econometrics

Professor: Peter Rossi

This course covers the theory and in-depth application of linear regression. Topics include simple linear regression, multiple regression, prediction in multiple regression model, residual diagnostics, detection of outliers, and violations of stochastic assumptions.

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Corporate Finance

Professor: Ivo Welch

This course examines a broad range of issues faced by corporate financial managers, including analysis of the firm's investment and financing decisions, the impact of agency costs and asymmetric information, mergers and acquisitions, private equity, and risk management strategies and tools.

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Introduction to Stochastic Calculus

Professor: Russel Caflisch

This course covers the economic, statistical, and mathematical foundations of derivatives markets. It presents the basic discrete-time and continuous-time paradigms used in derivatives finance, including an introduction to stochastic processes, stochastic differential equations, Ito's Lemma, and key elements of stochastic calculus. The economic foundations of the Black-Scholes no-arbitrage paradigm are covered, as are Girsanov's theorem and changes of measure, the representation of linear functionals, equivalent martingale measures, risk-neutral valuation, fundamental partial differential equation representations of derivatives prices, market prices of risk, and Feynman-Kac representations of solutions to derivatives prices. The role of market completeness and its implications for the hedging and replication of derivatives will be covered in depth.

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Empirical Methods in Finance

Professor: Hanno Lustig

This course covers the probability and statistical techniques commonly used in quantitative finance. Students use estimation application software in exercises to estimate volatility, correlations and stability.

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Derivative Markets

Professor: Daniel Andrei

Derivatives are both exchange traded and over-the-counter securities. The derivatives markets are the world's largest and most liquid. This course will focus on the organization and role of put and call option markets, futures and forward markets, and their interrelations. The emphasis will be on arbitrage relations, valuation, and hedging with derivatives. The course will also cover the implementation of derivatives trading strategies, the perspective of corporate securities as derivatives, the functions of derivatives in securities markets, and recent innovations in derivatives markets.

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Computational Methods in Finance

Professor: Levon Goukasian

This course covers the quantitative and computational tools used in finance. It introduces numerical techniques such as the implementation of binomial and trinomial option pricing, lattice algorithms for computing derivative prices and hedge ratios, simulation-based algorithms for pricing American options, and the numerical solution of the partial differential equations that appear in financial engineering.

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Fixed Income Markets

Professor: Francis Longstaff

This course provides a quantitative approach to fixed-income securities and bond portfolio management, with a focus on fixed-income security markets. The course covers the pricing of bonds and fixed-income derivatives, the measurement and hedging of interest rate risk, dynamic models of interest rates, and the management of fixed income portfolio risk.

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Quantitative Asset Management

Professor: Jason Hsu

This course emphasizes the application of state-of-the-art quantitative techniques to asset management problems. The course covers asset pricing models in depth, portfolio optimization and construction, and dynamic strategies such as pairs trading, long-term and short-term momentum trades, and strategies that address behavioral finance anomalies. The course also discusses major forms of asset management structures such as mutual funds, hedge funds, ETFs, and special investment vehicles, and examines some of the primary types of trading strategies used by these organizations.

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Financial Risk Measurement & Management

Professor: Ehud Peleg

This course examines financial risk measurement and management, including market risk, liquidity risk, settlement risk, model risk, volatility risk and kurtosis risk.

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Applied Finance Project

Professor: Ehud Peleg

Every MFE student is required to complete an Applied Finance Project (AFP) project that explores a quantitative finance problem they might encounter in practice. The AFP enables candidates to apply knowledge and tools they developed in MFE coursework by working directly with a client.

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Intro to Credit Markets

Professor: Holger Kraft (visiting professor)

This course provides an introduction to the building and implementation of credit models for use by financial institutions and quantitative investors. The course covers the basics of corporate debt securities and provides an in-depth introduction to the credit derivatives markets. Structured credit products such as cash and synthetic collateralized debt obligations (CDOs) are discussed.

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Special Topics in Financial Engineering

Professors: Olivier Ledoit (visiting professor), Peter Rossi, Avanidhar "Subra" Subrahmanyam

Choose Two out of 3 courses offered. Special topics courses consist of an in-depth examination of problems or issues in an area of current concern in financial engineering. Past courses have included Asset-Backed Securities Markets, Statistical Arbitrage, Data Analytics and Behavioral Finance.

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