Opportunities in Quantitative Finance

1. Opportunities in Quantitative Finance A/P Ng Kah Hwa, PhD (Columbia) Director, Quantitative Finance Programme Director, Centre for Financial Engineering

2. Introduction and Background • In 1973 Black and Scholes developed the option pricing models based on advanced mathematics • Today the financial practice has become very quantitative • Sophisticated mathematical models are used to support investment decisions, to develop and price new financial products or to manage risk

3. What is Quantitative Finance ? • Multidisciplinary programme that combines Mathematics, Finance and Computing with a practical orientation that is designed for high-caliber students who wish to become professionals in the finance industry. • Covers the following areas • Mathematical Theory and Tools • Statistical Methods • Computing Theory and Techniques • Financial Theory and Principles • Core Financial Product Knowledge • Plays an increasingly important role in the financial services industry and the economy.

4. Examples Risk Management • Banks in the course of their business take on risk ? • How do we measure the risk that the bank is exposed to ? • How do we hedge and mange the risk?

5. Examples (continued) Tools • Linear Algebra and Calculus • Advanced probability and statistics • Time Series Analysis • Simulation Methodologies

6. Examples Derivatives Trading Pricing and Hedging of Complex Derivatives Tools • Advanced Stochastic Processes • Numerical solutions to partial differential equations

7. Career Opportunities Potential Employers • Banks • Investment Companies • Securities Firms • Insurance Companies • Multinationals Increase in demand for graduates with high level of quantitative and analytical skills

8. Career Opportunities Jobs • Financial Product Development and pricing (Structured Deposits, Derivatives etc.) • Risk Management • Investment decision making and fund management • Wealth Management

9. Skills Required for Quantitative Analysts/Risk Managers • Basic Quantitative Skills - Mathematics (Linear Algebra, Calculus) - Probability - Statistics • Computer programming - Excel, VBA, C/C++, SAS • Knowledge of Derivatives and Fixed Income

10. Objective • To equip graduates for the finance industry with: • Technical knowledge and skills in quantitative finance and risk management • Strong quantitative modeling skills • Analytical mind • This programme is uniquely positioned to meet the increasing demand for graduates with quantitative modeling and risk management skills.

11. Introduction • Key features: • Multi-disciplinary curriculum integrating mathematical methods and statistical tools, computing techniques with applications to finance • Use of quantitative tools with state-of-the-art financial systems in the computing laboratory • Projects with financial engineering applications Current programme committee: • A/P Ng Kah Hwa (Programme Director) • A/P Tan Hwee Huat (Deputy Director)

12. The Honours-Track programme • Students are only admitted to QF Major after two semesters of studies in the Science Faculty. • Students admitted to QF major are placed in the honours track leading to a B.Sc (Hons) degree upon completing the course work requirement (given later). • A student may, however, for various reasons, opt to exit earlier with a B.Sc upon completing the corresponding course work requirement (given next slide). • Typically, a student will require 3 and 4 years to complete the requirement for B.Sc and B.Sc (Hons) respectively. A shorter timeframe is possible for some.

13. Coursework Requirementfor B.Sc. • Satisfy University requirements for B.Sc. • Satisfy Faculty requirements for B.Sc. • Pass a total of 70 MCs at level 1000 to 3000 to satisfy the Major requirements • Essential Modules include: • CS1101 Programming Methodology • CS1102 Data Structures and Algorithms • CF3101 Investment Instruments: Theory and Computation • FNA1002 Financial Accounting • FNA2004 Finance • MA2222 Basic Financial Mathematics • MA3245 Financial Mathematics I • MA1101R Linear Algebra I • MA1102R Calculus • MA1104 Advanced Calculus I • MA2213 Numerical Analysis I or CZ2105 Numerical Methods for Scientific Computing I • MA2101 Linear Algebra II or MA2215 Linear Programming or ST2132 Mathematical Statistics • ST2131 Probability

14. Coursework Requirementfor B.Sc. (continued) • Elective Modules include: • CF3201 Basic Derivatives and Bonds • CS3230 Design & Analysis of Algorithm • FNA3101 Corporate Finance • FNA3103 Financial Markets • FNA3117 Bank Management • FNA3118 Financial Risk Management • MA3220 Ordinary Different Equations or MA3264 Modeling via Ordinary Differential Equations • MA3236 Nonlinear Programming • ST3131 Regression Analysis

15. Additional Requirementsfor B.Sc (Hons) (continued) • Essential modules include:- • CF4100 Honors Project • CF4102 Financial Trading and Modeling • CF4103 Financial Time Series: Theory and Computation • MA4257 Financial Mathematics II • Elective modules include:- • CZ4105 Numerical Methods for Partial Differential Equations or MA4255 Numerical Partial Differential Equations • FE5103 Equity Products and Exotics • FNA4111 Research Methods in Finance • FNA4112 Seminars in Finance • MA4253 Mathematical Programming • MA4264 Game Theory • MA4265 Stochastic Analysis in Financial Mathematics • MA4267 Discrete Time Finance • ST4231 Computer Intensive Statistical Methods • ST4233 Linear Models

16. Professional Certification Professional Risk Manager (PRM) Certification • Designed for those:- • Seeking professional certification in risk management • Looking to develop their skills • Looking for skills assessment of potential employees CFA Certification CFA Cross-over with PRM

17. Admission Requirements • Students are only admitted to QF Major after two semesters of studies in the Science Faculty. • To be considered for admission, a student must :- • achieve a CAP of at least 3.5; • complete his/her first 2 semesters including the group of four qualifying modules: • CS1101 (Programming Methodology) • MA1102R (Calculus) • MA1101R (Linear Algebra) • ST2131/MA2216 (Probability) • the group average point (GAP) for the qualifying modules must be at least 3.5.

18. How to Apply • At the end of semester 2, and after obtaining the examination results, interested students should e-mail Ms Au Kasie at matauk@nus.edu.sg to request for an application form OR • Collect the application form from the Department of Mathematics General Office, S14-03-07. • Send in the hard copy of the application form together with a copy of your NUS academic results to Ms Au Kasie by the application deadline. • Students are encouraged to submit their application as early as possible to facilitate the processing of their application. • For more information, please go to http://www.math.nus.edu.sg

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