FM Preparation Program

2022 FM Preparation Workshop, August 1-August 19, 2022 (online via Zoom)

Registration (closed)

To help new students prepare for the four core courses this fall semester, we will offer a Financial Mathematics (FM) Preparation Workshop for the fourth time. Due to the COVID-19 situation, this year we will offer the workshop online, Monday through Friday, from August 1st to August 19th, 2022. The lectures will be given from 8:30am-3:45pm with breaks. Lectures will be recorded and available online. Each lecture lasts 75 minutes and there will be 10 lectures for each module.

This three-week workshop will cover various topics including: mathematics, statistics and R, econometrics, fixed income and Python programming. These topics will be customized for the FM program at NC State. Our records indicate that students with a good background in those areas tend to do well in the FM courses. Therefore, the workshop will prepare you for core courses such as ST 501/502, FIM 528, MA 547, FIM 548, and FIM 549, etc.

For those who come from a non-English teaching environment (such as China), this is also a great opportunity to get used to the English teaching environment and prepare for your first semester in the US.

Below are the instructors’ information and the topics to be covered:

Module 1 – Mathematics by Prof. Negash Medhin. Dr. Medhin is a FM faculty member and a professor of mathematics.

Overview

The objective is to give a brief overview of some mathematical/measure theory and optimization tools relevant to financial mathematics.

Upon successful completion of this module, you will be able to apply the following tools in your financial mathematics courses.

  1. Measure theory
  2. Convergence theorems
  3. Riemann and Lebesgue integrals
  4. Multi-objective programming
  5. Stochastic control, derivation of HJB equation and analysis.

Module 2 – Statistics and R Programming by Prof. Sujit Ghosh. Dr. Ghosh is a FM faculty member and a professor of statistics. He will teach ST 501-001 this fall.

Overview

The primary goal of the Statistics module is to provide a quick introduction to basic statistical methods used as tools in finance. Majority of computational illustrations would involve the use of freely available software R which will be introduced as a part of this module. It is advised that the participants download R and get it installed before the workshop begins.

List of Topics
  1. General overview and Introduction to R
  2. Probability Basics
  3. Random Variables and Distributions
  4. Illustrations using R Studio
  5. Sampling Distributions and Law of Large Numbers
  6. Parameter Estimation Based on MoM & MLE
  7. R packages for parameter estimation
  8. Hypothesis Testing and Confidence Intervals
  9. Regression Models: Multiple Linear Models
  10. Illustrations of R for stat inference

Module 3 – Econometrics by Prof. Denis Pelletier. Dr. Pelletier is a FM Faculty member and a professor of economics. He has taught MA/FIM 528 before.

Overview

The objective is to give an overview of common models used in econometrics: linear regression, probit and logit. We will discuss the interpretation, estimation and specification of these models. Applications to problems in finance will be discussed.

Upon successful completion of this module, you will be able to:

  1. Specify and estimate by OLS  a multiple linear regression model, then interpret the results.
  2. Specify and estimate by MLE a logit or probit model, then interpret the results.
  3. Use a linear regression model to price options using the Practitioner’s Black-Scholes method.
  4. Use a logit or probit model to understand how to do credit scoring.

Module 4 – Fixed Income and Financial Risk by Prof. Richard Ellson. Dr. Ellson is a FM faculty and has many years of industry experience and he will teach FIM590-001 (Fixed Income) this fall.

Overview

Upon successful completion of this module, you will be able to:

  1. Have some understanding of how different investors operate in the fixed income markets
  2. Understand some basic concepts of trading, portfolio management, and risk management
  3. Calculate simple credit default and interest rate swaps
List of Topics
  1. Key Investors
  2. Basic Bond Math
  3. Fixed Income Products: Treasury Market, Corporate Bonds, Mortgage and Asset-backed Securities, and Credit Default and Interest Rate Swaps
  4. Basic of Institutional Risk
  5. The 2008 Financial Crisis and the Current Economic Crisis–An Overview

Module 5 – Python Programming by Prof. Andrew Papanicoloau. Dr. Papanicoloau is the faculty member who will be teaching FIM 528 this fall.

Overview

Basic Python programming and how to use Python to deal with the financial data analysis problems in practice. 

List of Topics
  1. Python Basics
  2. Machine Learning
  3. Linear Regressions and Multiple Regression
  4. Logistic Regression and Decision Trees
  5. Neural Networks and Deep Learning

The workshop is optional for incoming FM students, and there is a registration fee of $2295. You can register for the workshop by clicking here.

If you have any questions, please send an email to Financial-Mathematics@ncsu.edu.