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•Stochastic Calculus & Black Scholes –
•The core of nearly all MFE courses is a solid grounding in stochastic calculus techniques as applied to options pricing theory, the theory of Black-Scholes and subsequent models.
•Fixed Income Derivatives –
•Fixed income derivatives modelling is an advanced area of options pricing, requiring more sophisticated mathematical tools and models.
•Numerical Options Pricing –
•Monte Carlo and Finite Difference Method techniques are often used to numerically price options. These courses tend to have a strong practical/computational component.
•Portfolio Optimization –
•Modern Portfolio Theory is an extremely important part of the asset management landscape and as such it gets a lot of attention in MFE courses.
•Risk Management –
•Many programs provide technically detailed courses on market, counter-party/credit and operational risk for both banking and asset management firms.
•Time Series Analysis/Forecasting/Regression –
•These are probably the most important courses for pure quantitative trading research. However, they don't seem to have as much prominence as the courses outlined above.
•Most courses provide a computational aspect. Often this is in C++ or VBA. Sometimes this includes modeling languages such as Matlab.
•Corporate Finance/Accounting –
•These tend to be optional courses in most MFE programs, but because of the pervasive nature of investment banking jobs they are still considered highly useful skillsets.
•Entrepreneurial Finance –
•Private equity, venture capital & technology startups are hot topics recently with the rise of entrepreneurial hotspots such as Silicon Valley (in San Francisco) and Silicon Roundabout (in London).