Schulich School of Business

Overview

The Financial Engineering Graduate Diploma at York University is a program offered by the Schulich School of Business in collaboration with the Department of Mathematics and Statistics. It provides rigorous training in financial theory, methods of engineering, tools of mathematics and practice of programming.

Applicants with strong quantitative backgrounds in economics, mathematics, statistics, computer science, science and engineering are suitable for this program. After completing the program, students will be equipped with the theoretical knowledge and specialized skills to develop and value new financial instruments and implement risk management schemes. Possible career paths include derivatives trading and valuation, risk management in banks, investment firms, brokerage houses, other financial institutions and consulting firms. Financial Engineering

Tel: (416) 736-5690
Fax: (416) 736-5762
General Inquiries E-mail: fnen@schulich.yorku.ca
Admissions Inquiries E-mail: FinEngAdmission@schulich.yorku.ca

Faculty

The faculty have been in the forefront of research into the design, development and implementation of innovative financial instruments. These include new measures of interest rate risk, correct after-tax valuation of derivative and fixed income instruments, the innovation of financial instruments and new valuation techniques. The applications of the no-arbitrage condition are the basis for financial engineering. Implementation of this condition to security markets has been the topic of research projects at York. New computer software and a specialized textbook for this field have been created specifically for the financial engineering program. Senior faculty members associated with the program are listed below.

	Melanie Cao Associate Professor of Finance and Director, Financial Engineering Program Research Interests: Pricing and Evaluation of derivative securities; weather derivatives; general equilibrium asset pricing » View research profile
	Andrew Aziz Executive VP, Algorithmics » View complete profile
	Wade D. Cook Gordon Charlton Shaw Professor of Management Science Professor of Operations Management and Information Systems Associate Dean, Research Chair, Operations Management and Information Systems Research Interests: Productivity of service organizations; productivity in the financial services setting; group decision making; decision problems involving multiple criteria; decision problems involving subjective preferences » View research profile
	Andrew Eckford Associate Professor of Computer Science and Director of Computing Engineering Research Interests: Wireless networking and error-control coding for telecommunications » View research profile
	Huaxiong Huang Associate Professor of Mathematics and Statistics Research Interests: Mathematical modeling and scientific computing, financial and industrial mathematics, biomathematics, fluid mechanics » View research profile
	Hyejin Ku Assistant Professor of Mathematics Research Interests: Mathematical Finance and Applied Probability; pricing and hedging derivative securities, measures of risk, and risk management » View research profile
	Alexey Kuznetsov Associate Professor and Director of Math Financial Engineering Program Research Interests: probability theory and stochastic analysis, financial and actuarial mathematics, numerical analysis, complex analysis, special functions, scientific computing and number theory » View research profile
	Moshe Arye Milevsky Director, The IFID Centre and Associate Professor of Finance Research Interests: Mathematical financial economics; exotic option pricing; income taxation and its effect on the pricing, hedging and trading of derivative securities; quantitative personal financial planning, in particular, investment strategies for retiring individuals; alternative paradigms for risk quantification and measurement of long term financial market investment returns; insurance derivatives » View research profile
	Eliezer Z. Prisman Professor of Finance and Nigel Martin Chair in Finance Research Interests: Methodological and commercial use of symbolic computation for financial models; tax effects in the derivative and fixed income markets; arbitrage models; fixed income securities term structure estimation and immunization; use of financial econometrics for medical decision making » View research profile
	David S. Promislow Professor of Mathematics and Statistics Research Interests: Functional analysis, group theory, actuarial mathematics, financial mathematics » View research profile
	Tom Salisbury Professor of Mathematics and Statistics Research Interests: Brownian motion, Markov processes » View research profile
	Yisong Tian Professor of Finance Research Interests: Value and incentive effects of executive stock options, pricing and efficiency of exchange-traded funds, subordinated binomial option pricing models » View research profile
	Franck van Breugel Assistant Professor of Computer Science Research Interests: Concurrency » View research profile
	Man Wah Wong Professor and Chair of Department of Mathematics and Statistics Research Interests: Functional Analysis, Pseudo-Differential Operators and Partial Differential Equations » View research profile
	Yuehua Wu Professor of Statistics Research Interests: m-estimation; multivariate analysis - signal processing; time series - applications » View research profile
	Hongmei Zhu Assistant Professor of Mathematics and Statistics Research Interests: Time series analysis; filtering techniques; pattern recognition; time-frequency analysis; factor analysis; and signal and image processing. » View research profile

To summarize, Financial Engineering faculty have done research in the following fields:

• Management compensations
• Weather derivatives
• Valuation techniques and estimation procedures for interest rate process
• Measures of interest rate risk and its use in the banking industry
• Risk management and insurance at the individual level
• Correct after-tax valuation of derivative and fixed income instruments
• The innovation of financial instruments and market frictions
• New valuation techniques for exotic options, etc
• Estimation of the term structure of interest rate
• No arbitrage conditions in market with frictions
• Housing Index derivatives

Graduate Diploma in Financial Engineering

This Graduate Diploma in Financial Engineering must be taken concurrently with either the Schulich MBA or Faculty of Science and Engineering MA degree in Mathematics, or another degree program at York University. Students must be approved by the Program Director to take the Diploma. The Diploma requirements must be completed within one term of degree requirements. The completion of 21.00 credit-hours of required courses, and either one of:

• internship - the Financial Engineering office assists in the arrangement of internship positions. Internships cannot be started until all required courses have been completed.
• research paper - contact your Program Director who assigns a relevant project of study

The Graduate Diploma in Financial Engineering is accepted by Canadian Securities Institute (CSI)® Global Education Inc. as credit toward the Certificate in Derivatives Market Strategies.

Students must satisfy the degree requirements of their home Faculty as well as the Graduate Diploma requirements below to graduate.

Graduate Diploma in Financial Engineering

REQUIREMENTS

• must be taken concurrently with a Schulich MBA (Students must satisfy both Graduate Diploma requirements and the degree requirements of their home faculty)
• the Graduate Diploma must be completed within one term of completing all MBA program requirements
• 21.00 credit-hours of required courses below,
• an internship in a financial institution, or
• an additional research paper
• enrolment in Financial Engineering courses requires the permission of the Director
• students working towards the Diploma in Financial Engineering may take a maximum of 9.00 credit-hours outside Schulich

REQUIRED COURSES
CSE 5910 3.00 Software Foundations*
FNEN 6210 3.00 Theory of Portfolio Management
FNEN 6810 3.00 Derivative Securities
FNEN 6850 3.00 Fixed Income Securities
MATH 6910 3.00 Stochastic Calculus in Finance
MATH 6911 3.00 Numerical Methods in Finance
OMIS 6000 3.00 Models and Applications in Operational Research

Note: students working towards the Diploma in Financial Engineering may take a maximum of 9.00 credit-hours outside Schulich.

*With approval from the program director, students with a computer science degree or acceptable experience may replace this course with FNEN 6820 3.00.

Financial Engineering Diploma (Stand Alone)

The Financial Engineering Diploma (Stand Alone) consists of five master-level courses offered by the Schulich School of Business and the Graduate Program of Mathematics and Statistics. This diploma program will be of particular interest to students with strong quantitative backgrounds in economics, mathematics, statistics, engineering science, or computing looking to accelerate their career in financial management.

For more information, please click here.

Eligibility

All students must be approved by the Program Director based on:

• undergraduate degree
• successful completion of most of the following undergraduate courses:
  - Calculus 1 & 2 – single and several variables
  - Linear Algebra
  - Foundations of Computer Science
  - Statistics and Probability
  - Microeconomics

Visit our website to fill out and submit an Eligibility Questionnaire.

General Concentration

REQUIREMENTS

• 12.00 credit-hours of courses consisting of:
  • a minimum of 6.00 credit-hours of required courses
  • up to 6.00 credit-hours of recommended courses

REQUIRED COURSES
FNEN 6210 3.00 Theory of Portfolio Management
FNEN 6810 3.00 Derivative Securities
FNEN 6850 3.00 Fixed Income Securities

RECOMMENDED COURSES
CSE 5910 3.00 Software Foundations
FNEN 6820 3.00 Advanced Derivative Securities
FNEN 6840 3.00 Enterprise-wide Financial Risk Management
MATH 6910 3.00 Stochastic Calculus in Finance
MATH 6911 3.00 Numerical Methods in Finance
OMIS 6000 3.00 Models and Applications in Operational Research

Admission to the Graduate Diploma and/or Financial Engineering courses is with the permission of the Director of Financial Engineering.
For information, contact the office in Room N211, Schulich, (416) 736-5690, FinEngAdmission@schulich.yorku.ca.

Study Options

• Graduate Diploma in Financial Engineering (taken concurrently with an MBA)
• Financial Engineering Diploma (Stand Alone)
• Concentration
• Post-MBA Diploma in Advanced Management

Electives

Course Code	Course Title
SCHULICH SCHOOL OF BUSINESS
FNEN 6210 3.00	Theory of Portfolio Management
FNEN 6810 3.00	Derivative Securities
FNEN 6820 3.00	Advanced Derivative Securities
FNEN 6840 3.00	Enterprise-wide Financial Risk Management
FNEN 6850 3.00	Fixed Income Securities
OMIS 6000 3.00	Models and Applications in Operational Research
FACULTY OF GRADUATE STUDIES
CSE 5910 3.00	Software Foundations
MATH 6910 3.00	Stochastic Calculus in Finance
MATH 6911 3.00	Numerical Methods in Finance