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Department of Quantitative Finance

Department of Quantitative Finance

 

Brief Introduction

Mathematical Intelligence + Finance Major : A New Trend in Technology Integration
 
The domestic capital market will be fully open; however, the supply of senior financial professionals falls short of demand. Experts point out financial background students with a rigorous mathematical intelligence training will be the most sought-after ones not only in the financial district of Taipei, but even on Wall Street.
 
Over the past decade, mathematical talents have become the highest paid employees on Wall Street. More than two-thirds of the staff in the R&D department of a well-known investment bank has mathematical background. Many cases of failure due to mispricing of derivatives also raise the importance of mathematical talent in the development of modern finance.
 
As high-quality financial talents, you should not only have a good training in economics and finance such as derivatives (e.g., futures, warrants) pricing and risk valuation but also in mathematics and statistics. Leading schools such as Massachusetts Institute of Technology, the University of Chicago and the University of Pennsylvania Wharton School have developed integrated curriculum combing economic, financial and statistical disciplines in order to train top commercial talent with solid quantitative and analytical foundation. These integrated curriculums have become the latest trend in the U.S. financial academic field.
 
Considering the fact that this trend will likely lead the development of the finance field in the future, our department joined the second group of Joint University Programmes Admissions System (JUPAS) in 1997 with the purpose of attracting young people with mathematical minds. We aim to cultivate people of talent and to serve the development needs of Taiwan as the Asia-Pacific financial center.
 

Faculty and Staff

CHANG, Chien-Hung  Associate Professor(Ph.D. in Mathematics, University of Rochester) Financial Engineering 
CHANG, Jow-Ran Associate Professor (Ph.D. in Finance, National Taiwan University) Asset Pricing, Risk Management 
CHEN, Charles C.Y. Associate Professor(Master of Business Administration, New York University) Corporate Strategy and Management 
CHEN, Chia-Hsin Assistant Professor(Ph.D. in Mathematics, Johns Hopkins University) Futures and Options Markets, Financial Engineering, Financial Mathematics 
ChiangLin,  Chieh Yow Professor(Ph.D. in Electrical Control Engineering, National Chiao Tung University) Algorithmic Trading, Financial Planning, Financial Engineering 
CHUN, Ching-Fan Chair Professor (Ph.D. in Economics, University of Wisconsin-Madison) Risk Management, Financial Engineering, Financial Econometrics 
HAN, Chuan-Hsiang Associate Professor(Ph.D. in Applied Mathematics, North Carolina State University) Financial Engineering, Applied Probability 
HO, Tai-Kuang Professor(Ph.D. in Economics, University of Bonn) International Finance, Macroeconomics, Money and Banking 
HSIAO, Jun-Shian Assistant Professor(Ph.D. in Mathematics, National Tsing Hua University) Analysis, Equations, Dynamical Systems 
HSIEH, Pei-Fang Assistant Professor(Ph.D. in Finance, National Central University) Derivatives, Corporate Finance, Empirical Studies 
HSU, Su-Chu Assistant Professor(Ph.D. in Money and Banking, National Chengchi University) Management for Financial and Insurance Institutions 
HUANG, Yu-Lieh Associate Professor(Ph.D. in Economics, National Taiwan University) Mathematical Finance, Quantitative Method 
LEE, Sing-Chi  Associate Professor(MBA in Finance, New York University) Financial non-life insurance 
LIN, Che-Chun Professor(Ph.D. in Finance, University of Texas at Arlington) Financial Asset Securitization, Mortgage-related Derivatives 
LYU, Jye-Cherng Professor(MBA, Northwestern University) Fianacial management, Innovation 
MA, Jui-Chen Associate Professor(Ph.D. in Government Management, University of Peking) Circular Economy、Real Estate Finance 
MCALEER, Michael Distinguished Chair Professor(Ph.D. in Economics, Queen's University) Econometrics, Quantitative Finance, Time Series Analysis, Financial Econometrics, Statistics, Risk Management, Financial Modelling and Management 
SO, Leh-Chyan Associate Professor(Ph.D. in International Business, National Taiwan University) Asset Pricing, Financial Engineering, International Finance 
TSAI, Lih-Wen Lecturer(Ph.D. in Accounting, National Chengchi University) Insurance Pricing, Longevity Risk Management, Financial Institutions Management 
TSAI, Tzu-Hao Associate Professor(Ph.D. in Finance, National Taiwan University) Insurance Pricing, Longevity Risk Management, Financial Institutions Management 
TZENG, Chi-Feng Assistant Professor(Ph.D. in Accounting and Finance, Lancaster University) Financial Engineering, Financial Econometrics, Risk Management 
WANG, Shin-Huei Associate Professor(Ph.D. in Economics, University of Southern California) Time Series Analysis, Portfolio Management, Asset Pricing 
YU, Shih-Ti Professor and Chairman(Ph.D. in Economics, University of Rochester) Empirical Research on Accounting and Finance, Financial Micro-Econometrics 

Curriculum

Undergraduate

NTHU Requirements, for students of all departments (28 credits)
College Chinese (2 credits)
English (6 credits)
General Courses (20 credits)
Required Courses of College of Management (24 credits)
Principles of Economics I (3 credits)
Principles of Economics II (3 credits)
Accounting I (3 credits)
Accounting II (3 credits)
Financial Management (3 credits)
Management (3 credits)
Introductory Study of Law (3 credits)
Introduction to Civil & Commercial Law or Introduction of Technology Law (3 credits)
QF Requirements (59 credits)
Calculus I (4 credits)
Calculus II (4 credits)
Statistics I (3 credits)
Statistics II (3 credits)
Introductory Course in Quantitative Finance (3 credits)
Microeconomics I (3 credits)
Macroeconomics I (3 credits)
Advanced Calculus I (3 credits)
Advanced Calculus II (3 credits)
Derivatives Market (3 credits)
Corporate Finance (3 credits)
Derivatives Pricing (3 credits)
Business Finance or Investment (3 credits)
Mathematical Statistics I (3 credits)
Mathematical Statistics II (3 credits)
Linear Algebra (3 credits)
Data Structures (3 credits)
Introduction to Programming (3 credits)
Introduction to Information Engineering (3 credits)
Other Selective Course (17 Credits)
 

Master Degree 

Finance : Curriculum of Master Program ( 39 credits & 4 credits for Thesis ) 

Prerequisite ( 6 Credits )
Derivatives Pricing (3 credits)
Investment (3 credits)
Required Courses (12 Credits)
Topics in Corporate Finance (3 credits)
Financial Risk Management (3 credits)
Financial Econometrics (3 credits)
Financial Product Design and Pricing (3 credits)
Required Selective Courses (0 Credits)
Seminar
Selective Courses (27 Credits)
Thesis (4 Credits)
 
 
Financial Engineering : Curriculum of Master Program (33 credits & 4 credits for Thesis)
Prerequisite (3 Credits)
Derivatives Pricing (3 credits)
Required Courses (15 Credits)
Mathematical Finance (3 credits)
Financial Risk Management (3 credits)
Financial Econometrics (3 credits)
Financial Product Design and Pricing (3 credits)
Stochastic Financial Theory (3 credits)
Required Selective Courses (0 Credits)
Seminar
Required Selective Courses (3 Credits)
Management
Selective Courses (15 Credits)
Thesis (4 Credits)
 
 

Graduate Requirements

For Undergraduate students,128 credit hours 

For Master degree students,33-39 credit hours and a thesis

Financial Aids For University scholarship information, please link to http://oga.nthu.edu.tw/cont.php?id=93&m=m26&mm=mm41&tc=5&lang=en
 

Contact Information

For information specifically related to the Dept. of Quantitative Finance, please contact
 
Chairman Shih-Ti Yu at styu@mx.nthu.edu.tw and Office at qf@my.nthu.edu.tw, 
 
Address :101, Section 2, Kuang Fu Road, Taiwan, 300, ROC.
 
For further information on the Dept./Institute, you can also link to http://www.qf.nthu.edu.tw/bin/home.php?Lang=en

 

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