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必修课目

 

Course Code


Course TitleCreditContact HoursMinimum-passing Grade
MFE5100Optimization (最优化理论)342D

Brief course description: This course teaches basic theory and methodologies for optimization and demonstrates the applications in financial engineering. The course covers linear programming, nonlinear programming, dynamic programming and stochastic optimization.
MFE5110Stochastic Models (随机模型)342D

Brief course description: This course introduces basic techniques for modeling and analyzing systems in the presence of uncertainty. It will cover probability preliminaries, Poisson processes, Markov chains, Martingales, Brownian motions, and applications in financial engineering.
MFE5120Investment Sciences (投资科学)342D

Brief course description: This course emphasizes how the fundamental principles in investment can be transformed into practical solutions. The course covers two major solution frameworks for portfolio selection: mean-risk framework (especially mean-variance framework) and utility maximization framework.
MFE5130Financial Derivatives (金融衍生品)342D

Brief course description: The course introduces some basic concepts of stochastic calculus, an important mathematical tool used in financial engineering, and presents systematically the theory of risk-neutral pricing of financial derivatives.
MFE5140Introduction to Chinese Financial Markets (中国金融市场概论)342D

The course will introduce the institutions, instruments, and empirical regularities of Chinese financial markets. Similarities and differences between Chinese markets and those in other countries will be highlighted and discussed. The course will also introduce the legal environment in Chinese markets, and discuss the concepts of ethics and corporate social responsibility (CSR) in that context.