中国留学之家关于金融数学，数学金融，金融工程

彧骁之天 - 2008-3-11 17:40:00

关于金融数学，数学金融，金融工程
有点像应急帖啊，既然这么多朋友对这几个专业感兴趣，那么就统一回复一下。
2楼：什么是金融数学，金融工程mathematical finance/finance engineering
3楼：毕业出来能做什么样的工作 careers
4楼：学这些专业需要怎样的背景background
5楼：有哪些学校提供这些专业
6楼：如何在学校之间做出选择
7楼：（续）如何在学校之间做出选择
8楼：书目和网站推荐

彧骁之天 - 2008-3-11 17:41:00

金融工程Finance Enginerring:
Learning methods for monitoring financial markets and evaluating financial assets and organization
是研究如何监督，管理，评估金融市场，金融工具以及金融机构的一门学科。
如果你缺乏一个直观的认识，那么举几个金融工程/数学金融里面的题目框架出来。
Theories and Practice of Risk Management
研究风险管理（risk management）以及模拟证券投资（simulate equity investment）的基本理论.
Evaluation and Measurement of Organizational Performance
依据公司的财务金融数据（股价，公司债券价格等等）研究公司（corporate）和证券市场（ security market）的关系
研究非营利机构的金融管理
Methodology of Evaluation
评估的方法，理论，发展。
注：以上不是一个全面的列表/。
计量金融(Quantitative Finance)
专为金融市场而设的一门应用数学。计量金融本义上与金融经济学的范畴有密切的关系，然而前者所涉及的领域比较狭隘，理念也比后者抽象。一般而言，若金融经济学家研究一所企业当前股价的结构性原因，数学家(或计量金融学家)所做的便是利用当前股价作参考，利用或然率微积分去计算并取得相关衍生工具的公平价格(应值价格)。

彧骁之天 - 2008-3-11 17:41:00

排除人脉，门道，运气等等因素，根据国际金融工程研究会报：
QUOTE:
Financial engineers use the skills they acquire during their degree programs toward a broad selection of careers in finance, including the trading of securities, financial modeling, sales, risk management and portfolio management. We believe that the skill sets acquired in a financial mathematics masters program are sufficiently broad to prepare students for many interesting fields. Moreover as it is increasingly recognized in financial firms that computational and mathematical skills are critical to the success of all organizations, the market for students with financial mathematics degrees continues to broaden.
In the 2002 Survey, 38% of students stated that they want a career in some sort of job related to derivatives pricing, while 21% said risk management and 18% said trading derivative instruments (14% of students did not respond).
It's vey likely a student in FE becomes an expert at evaluation such as a "certified accountant (CPA)", a "financial analyst (CFA and CMA)", a "valuation actuary", an "estate surveyor", or managing positions at companies, governments, educational organizations, and NPOs including religious corporations.

彧骁之天 - 2008-3-11 17:42:00

学这些专业需要怎样的背景background
并非只有金融，数学，经济，统计，经济计量的的人才能申请这个专业的硕士和博士。
从伯克利大学的统计数据上看，除了以上专业，背景是计算机，物理，化学的人也可以申请并被录取。
但有几个对于申请的有利条件
1，数学理论和应用数学/工程学（pure and applied mathematics and engineering）
2，经济，金融基本知识
3，计算机能力
4，对金融市场，工具，机构强烈的兴趣

彧骁之天 - 2008-3-11 17:42:00

有哪些学校提供这些专业
这个专业在美国最多；英国，澳大利亚也有；欧洲不是很多。
Ball State University
BS Financial Mathematics
Baruch College
Masters of Science in Applied Mathematics for Finance
Bogazici University
MS Financial Engineering
Boston University
MA Mathatical Finance
Polytechnic University
MS Financial Engineering
Carnegie Mellon University
MS Computational Finance
Carnegie Mellon University
PhD Mathematical Finance
Cass Business School
MS Mathematical Trading and Finance and
MS in Finance, Economics and Econometrics
City University of Hong Kong
MS Financial Engineering
Claremont Graduate University
MS Financial Engineering
Columbia University
MS Financial Engineering
MA, Mathematics, with specialization in the Mathematics of Finance
MS, Industrial Engineering and Operations Research
Financial Engineering courses available
Cornell University
MBA Financial Engineering
Cornell University
M. Eng in Operations Research & Industrial Eng.
DePaul University
MS Finance/Risk Management/Financial Engineering
Dublin City University - Ireland
MS Investment and Treasury
MSc Financial & Industrial Mathematics
Erasmus University Rotterdam
Master in Quantitative Finance
FAME: International Center for Financial Asset Management and Engineering - Geneva
Executive Education Program, including courses in Alternative Investments and Financial Engineering.
Florida State University
MS & PhD Financial Mathematics
George Washington University
MS, Finance
Georgia Institute of Technology
MS Quantitative and Computational Finance
Georgia State University
Mathematical Risk Management
Glasgow Caleonian University
BS Financial Mathematics
HEC, Montreal
MS Financial Engineering
Illinois Institute of Technology
MS Finance
MS Financial Markets
Imperial College of Science, Technology and Medicine
MSC Mathematics and Finance
James Madison University
BS Quantitative Finance
Johns Hopkins University Graduate School of Business
MS Finance
The Karol Adamiecki Academy of Engineering
MS Financial Engineering and Banking
Kent State University
MS Financial Engineering
Lavel University
MS Financial Engineering
London Business School
Masters in Finance
Massachusetts Institute of Technology
MBA with Financial Engineering Track
Multimedia University, Malaysia
Bachelor of Financial Engineering
Nanyang Technological University
MS Financial Engineering
National University of Singapore
BS and MS Financial Engineering
New York University
MS Statistics and Operational Research, Financial Engineering Specialization
New York University, Courant Institute of Mathematical Sciences
MS Mathematics in Finance
North Carolina State University
MS, Financial Mathematics
Northwestern University
MS, Industrial Engineering and Management Sciences
Financial Engineering Concentration available
Oklahoma State University
MS Quantitative Financial Economics
Princeton University
MSE, Ph.D Operations Research and Financial Engineering
Purdue University
MS Computational Finance
Rutgers Business School
Master of Quantitative Finance
MS Quantitative Finance
Rutgers University (New Brunswick/Piscataway campus)
MS in Mathematical Finance
Stanford University
MS, Financial Mathematics
MS, Management Science & Engineering
Stevens Institute of Technology
Graduate Certificate in Financial Engineering
MS, Financial Engineering
State University of New York at Buffalo
MS, Finance
University of Alabama
MA in Banking and Finance
University of California at Berkeley
MS Financial Engineering
Certificate in Financial Engineering, Executive Education
University of Chicago
MS Financial Mathematics
University of Connecticut
MS Applied Financial Mathematics
University of Dayton
Masters of Financial Mathematics
University of Edinburgh
in partnership with Heriot Watt University
MS Financial Mathematics
University of Florida
Warrington College of Business Administration
MS, Finance
University of Hong Kong
Masters of Finance - Financial Engineering and Risk Management Tracks
University of Illinois at Urbana-Champaign
College of Business
MS, Finance
University of Karlsruhe
MSc, Financial Engineering
University of London
Birbeck College
M.Sc. in Financial Engineering
University of Michigan
Financial Engineering Program
University of Manchester
Manchester Business School
M.Sc. Quantitative Finance
University of North Carolina, Charlotte
M.S. Mathematical Finance
University of Oxford
Diploma in Mathematical Finance
University of Pretoria
MS Mathematics of Finance
University of Reading
ISMA Centre, the Business School for Financial Markets
MS Financial Engineering and Quantitative Analysis
University of Rochester
Simon School of Business Administration
MS, Finance
University of Southern California
Professional MS in Mathematical Finance
University of St. Gallen
Master Quantitative Economics and Finance
University of Technology, Sydney
Master of Quantitative Finance
University of Torino, Italy
Masters in Quantitative Finance
University of Toronto
Master of Mathematical Finance
University of Tulsa
MS in Finance / Risk Management
University of Twente, the Netherlands
Masters in Financial Engineering
University Of Valencia, Spain
PhD, Quantitative Finance
University of Warwick
MS Financial Mathematics
University of Waterloo
Mathematical Finance
University of the Witwatersrand-Johannesburg
MCom Finance
Virginia Commonwealth University
Bachelor of Science in Financial Technology
Vrije Universteit Amsterdam, Universiteit Utrecht & Universiteit van Amsterdam
MSc in Stochastics and Financial Mathematics
York University
MS Financial Engineering

彧骁之天 - 2008-3-11 17:42:00

如何在学校之间做出选择
1,课程设置：
课程是否全面，是否涵盖了数学，计算机，金融，是否可以为你以后的就业，提供一个坚实的学术基础。如果你本身金融知识薄弱，可以重点看那些通过选课，增加金融理论和应用课程学习的学校。
可能会有的课很多很多，详情参看各个上一楼中，各个学校专业介绍。比如：
INTRODUCTION TO FINANCIAL ENGINEERING:
FINANCIAL ENGINEERING,
FINANCIAL ECONOMICS,
MANAGEMENT SCIENCE,
NONPROFIT AND GOVERNMENTAL ACCOUNTING,
CORPORATE AND MARKET SIMULATION,
COUNTRY RISK ANALYSIS,
PROJECT EVALUATION,
BUSINESS ANALYSIS AND VALUATION,
POPULATION DYNAMICS,
MICRO ECONOMY
QUANTATIVE ECONOMIC ANALYSIS
COMPLEXITY AND GAME THEORY,
EVALUATION AND ASSESSMENT OF EDUCATION,
MODERN MATHEMATICS,
MATHEMATICAL PHENOMENA,
NUMERICAL ANALYSIS,
MATHEMATICS FOR INFORMATICS
MATHEMATICAL MODELS
MULTI-VARIABLE STATISTICAL ANALYSIS,
INTRODUCTION TO TIME-SERIES ANALYSIS,
STATISTICAL ANALYSIS,
DATABASE ARCHITECTURE

彧骁之天 - 2008-3-11 17:43:00

如何在学校之间做出选择
继续上一楼
1，课程设置是否符合专业需要和你的需要
2,理论和实践的时间安排
课程是否包括了理论和实践（真实案例）两部分，并有机结合在一起？
3，院系实力
排名如何？是否有很有实力的教授讲师。今年是否有高质量的论文/学术成果
4，资源和配套设施
网络资源，图书馆，软件，数据库等等
5，实习机会
学校是否提供实习计划，是否有知名公司来该校应聘
6，校友会
一个强有力的校友会，会拓展你的视野和思路，也给你很多信息和机会

彧骁之天 - 2008-3-11 17:43:00

实在是太多了啊。留待以后逐渐补充。写了这么多楼，已经快吐血了
先从简单的来吧。上传的是Mathematics for Finance: An Introduction to Financial Engineering 这本书的review
1,Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series) (Paperback)
2. R. Almgren, Financial derivatives and partial differential equations, this MONTHLY 109 (2002) 1-12.
3. P. L. Bernstein, Capital Ideas: The Improbable Origins of Modern Wall Street, Free Press, New York, 1992.
4. H. I'ollnier and A. Scheid, Slochaslic Finance: An/n/rochtcticm in Discrete Time, Walter de Gruyter, Berlin and New York, 2002.
5. S. Pliska, Introduction to Mathematical Finance: Discrete Time Models, Blackwell, Maiden, MA, 1997.

留学之家留学DIY社区