加州大学伯克利分校金融工程硕士培养方案.doc

University of California at Berkeley - MSc Financial Engineering
Berkeley, CA, United States
Program Contacts:  (Dr. Linda Kreitzman)
Updated Oct

The Summary:
On April 14, 1998, the finance faculty at UC Berkeley’s Haas School of Business, under the guidance of Professor Emeritus David Pyle, presented the school with a proposal for the Master's in Financial Engineering Program, the first ever program of its kind offered at a business school. Dr. Pyle and the Finance group wanted to offer a program in financial economics that would:
· 1. offer pragmatic and timely engineering solutions to
sophisticated issues in financial markets and management.
· 2. meet the practitioner needs for career-long learning and strengthen the practice of risk management and quantitative finance.
· 3. provide education in a field in which they collectively hold a leadership position.
Students in the MFE program learn to employ theoretical finance and computer modeling skills to make pricing, hedging, trading and portfolio management decisions. Courses and projects emphasize the practical applications of these skills.

Course Structure/Topics:

March 23, - March 12,
The full program consists of 28 required units including an Applied Finance Project (1 unit = 15 class hours).
Please note that not all electives will be offered every year. This schedule is tentative and will be updated every term.
Spring : March 23 - May 25, (8 weeks)
Fundamentals of Financial Economics (2 units) - John Martinez
Empirical Methods in Finance (3 units) - TBA
Introduction to Stochastic Calculus (2 units) - Alexei Tchstyi
Financial Institutions Seminar I
Summer : June 1 - July 30, (8 weeks)
Derivatives: Economic Concepts (2 units) - Mark Rubinstein
Derivatives: Quantitative Methods (2 units) - Domingo Tavella
Fixed Income Markets (2 units) - Richard Stanton
Accounting and Taxation of Derivatives (1 unit) - Suneel Udpa 
Financial Institutions Seminar II
Fall : August 10, - October 9, (8 weeks)
Required Course:
Financial Risk Measurement and Management (2 units) - Yuqing (Jeff) Shen
Choose 5 units of electives:
Advanced Computational Finance (2 units) - Domingo Tavella
Success and Failure in Financial Innovation (1 unit) - John O'Brien
The Design of Securities for Corporate Financing (1 unit) - Mukesh Bajaj
Credit Risk Modeling (2 units) - Jeffrey Bohn
Equity & Currency Markets (2 units) - Michael Melvin and Ron Kahn 
Independent Study (1 - 3 units) - Faculty
Internship Period -:
October 12, - January 15, (12 weeks)
The Internship/Special Topics in Finance Project begins October 12, and ends on January 15, . Students must enroll in MFE230N, the Internship/Special Topics in Finance course for the fall term.
Winter : January 19 - March 19, (8 weeks)
Choose 7 units of coursework:
Asset-backed Security Markets (2 units) - Nancy Wallace and Dwight Jaffee
Dynamic Asset Management (2 units) - Hayne Leland
Behavioral Finance (2 units) - Terry Odean
Real Options (2 units)*
Applied Finance Project (Required) (1 - 3 units) - Eric Reiner
*The Real Options course is not offered each year.

The MFE program requires satisfactory completion of 28 units of coursework plus an internship or on-site project. In addition to coursework, the MFE educational experience includes the following:

Financial Practice Seminars: MFE students are encouraged to attend weekly discussions held by finance practitioners. In the first term speakers discuss jobs available to graduates of the MFE and the skills needed to contribute to a firm's mission. In the second term, speakers provide insights into the way the financial world is changing: new products and needs; evolving data and information systems; and similar topics.

Applied Finance Project: MFE students are required to complete an applied finance project that develops or uses quantitative finance tools and techniques learned in the program or internship.

Internship Program: The Internship/Special Topics in Finance project is a required condition for graduation. The internship or approved, on-site project takes place from mid-October to mid-January.

Key Stats:
Acceptance Rate: 25%
Annual Intake: 65
Application Deadline: Rolling
Average Age at Entry: 28
Average Years of Work Experience of Class: 4.22
Dissertation/Thesis: Applied finance project
Duration of Program: 12 months + 30 hour "Mathematics for Financial Engineers" refresher course and "Basics of C/C++ Programming for Financial Engineers" course.
Entry Requirements:
--- Minimum GPA of 3.00
--- 4 Year Bachelor's degree
--- TOEFL: 230/300;570/677
--- Essays demonstrating a passion for finance and potential for leadership
--- Calculus, Linear Algebra, Differential Equations, Numerical Analysis, Advanced Statistics & Probability
--- Microeconomics, Macroeconomics, Basic Finance
--- Basic C/C++
GMAT: Average - Quant (49 = 91%), Verbal (36 = 75%), Analytical (4.5 = 59%)
GPA: Average - 3.66
GRE: Average - Quant (781 = 91%), Verbal (578 = 72%), Analytical (641 = 71%)
International Students: 61%
Male/Female: 86%/14%
Placement Rate: - 97% within 3 months
Required Courses for Completion: 28 units
Student-Teacher Ratio: 2.4:1
Tuition (): expected $49,750

Additional Information:

Notable faculty: Mark Rubinstein, Richard Stanton, Eric Reiner, Domingo Tavella, Mark Garman, Hayne Leland,.