IAGF 根据每年对其应聘者的调查,整理了他们认为的不同课程对硕士毕业生的有用程度。这份调查虽然不是科学设计的,但是这些粗糙的指标仍然能够让我们一窥行情。
| 编 | 课程 | 高/中/低 | 示例主题 |
|---|---|---|---|
| M | 数学工具 | ||
| M1 | Numerical methods 数值方法 | 74/26/0 | |
| M2 | Basic fixed income math 基本固定收益计算 | 64/28/8 | Discount factors, bootstrapping a discount curve, duration |
| M3 | Stochastic calculus 随机分析 | 55/35/10 | Brownian motion, Ito calculus, Girsanov's theorem |
| M4 | PDEs applied to finance 偏微分方程的金融应用 | 42/46/12 | |
| S | 统计工具 | ||
| S1 | Data analysis/Statistical inference 数据分析/统计推断 | 68/29/3 | |
| S2 | Regression analysis 回归分析 | 68/29/3 | |
| S3 | Time series analysis 时间序列分析 | 59/37/4 | |
| E | 经济/金融工具 | ||
| E1 | Real options 实物期权 | 45/22/33 | |
| E2 | Econometrics 计量经济学 | 41/45/14 | |
| E3 | Game theory/Auction theory 博弈论/拍卖理论 | 32/39/29 | |
| E4 | Microeconomics 微观经济学 | 32/39/29 | |
| E5 | Macroeconomics 宏观经济学 | 32/39/29 | |
| E6 | Corporate finance 公司金融 | 33/26/41 | |
| C | 计算工具 | ||
| C1 | Optimization 优化 | 71/29/0 | |
| C2 | Monte Carlo simulation 蒙特卡罗模拟 | 71/25/4 | |
| C3 | Object-oriented programming rogramming applied to finance 面向对象的编程应用于金融 | 64/32/4 | |
| C4 | Finite difference solutions for PDEs/Dynamic programming 偏微分方程的有限差分/动态规划 | 33/56/11 | |
| D | 衍生证券模型 | ||
| D1 | Basic overview of derivatives models 衍生品模型的基本概述 | 72/28/0 | Risk-neutral pricing, Black-Scholes formula, Greeks |
| D2 | Equity models 股权模型 | 62/27/11 | |
| D3 | Interest rate option models 利率期权模型 | 61/25/14 | Heath-Jarrow-Morton, LIBOR market model |
| D4 | Credit models 信用模型 | 57/22/21 | |
| D5 | Advanced overview of derivatives models 衍生品模型的高级概述 | 50/46/4 | Local volatility models, stochastic volatility models, jump diffusion models |
| D6 | Convertible bond & hybrid models 可转债和混合模型 | 43/39/18 | |
| D7 | FX models 外汇模型 | 43/32/25 | |
| D8 | Mortgage-backed & asset-backed model 抵押重置和资产重置模型 | 43/21/36 | |
| D9 | Energy models & weather derivatives 能源模型和天气衍生品 | 25/29/46 | |
| T | 投资与交易 | ||
| T1 | Statistical arbitrage 统计套利 | 57/32/11 | |
| T2 | Market microstructure / algorithmic trading /optimal execution 市场微观结构/算法交易/最优执行 | 56/26/18 | |
| T3 | Basic capital markets & portfolio theory 基本资本市场和投资组合理论 | 50/32/18 | Efficient frontier, CAPM, arbitrage pricing model |
| T4 | Advanced capital markets and portfolio theory 高级资本市场和投资组合理论 | 36/50/14 | BBlack-Litterman, dynamic asset models |
| T5 | Behavioral finance 行为金融 | 25/43/32 | |
| I | 行业背景 | ||
| I1 | Risk management 风险管理 | 64/32/4 | |
| I2 | Structuring / Financial engineering 架构/金融工程 | 54/43/3 | |
| I3 | Tax & accounting aspects of derivatives 衍生品的税务和会计 | 14/22/64 |