Financial Engineering (Concurrent Diploma Only)

Graduate Diploma in Financial Engineering Requirements

Must be taken concurrently with a Schulich MBA*

• The Graduate Diploma must be completed within one term of completing all MBA program requirements
• 21.00 credits of required courses below
• An internship in a financial institution or an additional research paper
• Enrolment in Financial Engineering courses is with the permission of the director
• Students working towards the Diploma in Financial Engineering may take a maximum of 9.00 credits outside Schulich

* Students must satisfy both Graduate Diploma and MBA requirements.

View MBA Program details

Required Courses

• MATH 6910 3.00 STOCHASTIC CALCULUS IN FINANCE

  Probability models and discrete time stochastic processes; Brownian motion; Filtrations, conditional expectations, martingales; Stochastic integrals, Ito's formula; Stochastic differential equations; Diffusions, Kolmogorov equation; Girsanov Formula; Black Scholes.

• MATH 6912 3.00 MACHINE LEARNING IN FINANCE

  This introductory course on machine learning is aimed at graduate students who are going to work with data scientists in the finance industry. The course explains the most popular machine learning algorithms used by data scientists, which enables the students to assess their strength and weakness for a particular application and work productively with data scientists. Algorithms are illustrated with different data sets from the finance industry and others in EXCEL and Python.

• FINE 6200 3.00 INVESTMENTS

  The course begins with an overview of the investment environment in developed markets, followed by a more in-depth analysis of key investment topics. These topics include modern portfolio theory, asset pricing models, term structure of interest rates, stock and bond portfolio management, evaluation of portfolio performance, and behavioural finance. This course serves as a useful introduction to the Chartered Financial Analyst (CFA) curriculum.
  Prerequisite: FINE 5200 3.00

• FINE 6800 3.00 OPTIONS, FUTURES & OTHER DERIVATIVE SECURITIES

  This course explains the way in which derivative securities such as options, futures contracts, forward contracts, swaps and interest rate caps can be valued. It discusses arbitrage relationships, risk neutral valuation, the creation of options synthetically, numerical procedures and the evaluation of credit risk.

  Prerequisite: MFIN 5600 3.00 (MF students)
  Co-requisite: FINE 6200 3.00 (MBA and IMBA students)
  Course credit exclusion: SB/FNEN 6810.030 (either SB/FINE 6800 3.00 or SB/FNEN 6810 3.00, but not both, may be taken for credit)

• FNEN 6820 3.00 ADVANCED DERIVATIVE SECURITIES

  This course covers a list of advanced topics in derivative securities with a focus on pricing and hedging. Students are assumed to have taken an introductory course in derivatives. The objective of this course is to develop modelling skills needed to value the full range of derivative securities: from exchange-traded options to over-the-counter products including exotic options, embedded options and credit derivatives. The fundamental theory is the Equivalent Martingale Pricing Principle or the Risk-neutral valuation by no-arbitrage. Analytical models and various numerical methods will be discussed in detail. It is assumed that students are familiar with the Black-Scholes and binomial pricing models.

• FNEN 6840 3.00 ENTERPRISE-WIDE FINANCIAL RISK MANAGEMENT

  This course provides a comprehensive introduction to the discipline of financial risk management. It covers the market and regulatory trends that have motivated the need for financial institutions and corporations to evolve from traditional desk level risk management to an enterprise-wide function spanning all sources of risk in a consistent manner. Students will learn the basic fundamentals required to support a general risk management process in addition to gaining an understanding of industry best-practice methodologies. The course will cover in depth the analytics of standard risk assessment techniques for market risk, credit risk and operational risk as well as introducing the leading edge tools used to manage the overall business process.
  MFIN Prerequisite: MFIN 5600
  MFIN Corequisite: FINE 6800 3.00

• FNEN 6850 3.00 FIXED INCOME SECURITIES

  Provides an opportunity to learn the various features and unique characteristics of fixed income securities and markets, analyze and evaluate fixed income securities, and develop tools for managing interest rate risk and other applications. Computer assisted (e.g., Excel and VBA) applications are used throughout the course to enhance student learning experience, with both hands-on in-class exercises and assigned homework problems.

  MFIN Prerequisite: SB/MFIN 5600, MFIN Corequisite: SB/FINE 6800 3.00.
  Former prerequisite: SB/FNEN 6810 3.00.