Summer Session

Summer Financial Math Program Online

June 15 - July 31, 2020

Due to the impacts of the COVID-19 outbreak, Summer Session will be offering the Summer Financial Math Program via remote instruction for Summer 2020.  

Explore summer study at the intersection of mathematics, statistics, finance, economics and computer science.

The Summer Financial Math Program at the University of Chicago welcomes students with strong quantitative skills to explore opportunities in the field of Financial Math. This seven-week program for current undergraduate and post-baccalaureate students provides a rigorous introduction to modern applications in Financial Math through an interdisciplinary curriculum delivered via remote instruction by lecturers and industry experts affiliated with the Financial Math MS program at UChicago. Participants in this program will receive University of Chicago undergraduate course credit. Those who successfully complete the Summer Financial Math Program and eventually matriculate in the Financial Math MS program within the next four years may apply credit earned towards that degree program.  

Program Details

Financial Math is the application of math, statistics, and programming within the finance industry. 

Financial markets have become increasingly complex, requiring specialized skills to effectively predict opportunities for profit and manage risk.  Demand has grown steadily for people who can understand, enhance, and develop complex mathematical models.  These individuals - known as “quants” - are hired into a wide range of positions at places such as investment banks, hedge funds, trading firms, asset management companies, insurance firms, and FinTech providers.

The demand for quants is global, and individuals can choose from a variety of career paths in the industry, based on their skills and interests.  For example, quants conduct research and develop new models to support algorithmic trading at hedge funds and trading firms.  Others are performing quantitative risk analysis for large scale insurance or pension funds.  Other examples include research and development of investment strategies at banks or portfolio analytics at asset management firms.  

During the Summer FinMath program, you’ll have a chance to learn more about careers in Quant Finance through virtual company visits, an alumni panel, and presentations by our Career Development Office team.  We can’t wait to help you explore the exciting world of quantitative finance!

  • Credit: Earn undergraduate course credit and a University of Chicago transcript. Those who matriculate in the Financial Math MS program at the University of Chicago within four years of completing the Summer Financial Math Program may count their credits towards the MS. 
  • Connect: Students will have the opportunity to engage virtually with industry professionals to learn more about career opportunities in quantitative finance.  In addition to an alumni panel, students will also meet professionals who represent Chicago-area firms such as:
    • IMC Financial Markets, a leading global market maker that uses algorithmic trading and advanced technology to buy and sell securities on multiple trading venues worldwide. 
    • DRW, a trading firm with offices throughout the US, Canada, London, Amsterdam and Singapore.  Students will learn more about DRW’s unique way of combining risk management, research and technology to create optimal trading and investment strategies.
    • More employer presentations will be added throughout the spring. 

Classes will begin Monday, June 15, and meet synchronously once per week every Monday (6:00pm to 9:00pm Central US time).

We’ve designed a schedule that combines academic coursework with professional skill-building, with a strong emphasis on teamwork. You'll work and engage with people with varied interests, backgrounds, and ambitions—much like in Financial Math's MS program.

For 2020, Summer FinMath will be a combination of synchronous (real-time) and asynchronous learning.  For the real-time sessions led by program instructors, class will meet Mondays between 6:00pm and 9:00pm Central US Time. These times were chosen so that as many students as possible in the US as well as Asia may participate in the synchronous sessions. All academic class sessions and career development sessions with FinMath staff will be recorded, so that students can watch class session videos at times that work for them. The remainder of class sessions and activities will be conducted asynchronously. Optional corporate presentations will not be recorded, but will be scheduled whenever possible in the early morning Central Time so that students in other times zones can participate.  Lastly, office hours with instructors and teaching assistants will be scheduled individually with students and project groups at times that work for them. 

This course in Quantitative Portfolio Management and Algorithmic Trading teaches quantitative finance and algorithmic trading with an approach that emphasizes computation and application. The first half of the course focuses on designing, coding, and testing automated trading strategies in Python, with particular consideration to market models, infrastructure, and order execution. The second half of the course builds on this by covering case studies in quantitative investment that illustrate key issues in allocation, attribution, and risk management. Students will have the chance to learn classic models as well as more modern, computational approaches, all illustrated with application.

Students will receive instruction for the first six weeks of the program. The final week will be dedicated to the final project and exam. 

    Course Outline

    1. Returns: Premium, volatility, correlation, beta

    2. Allocation: Mean-variance analysis, risk parity, robust methods

    3. Performance Attribution: Replication, attribution, evaluating performance

    4. Risk Management Hedging, immunization, Value-at-Risk

    5. Factor Models CAPM, systematic risk, idiosyncratic risk, rationality

    6. Multi-Factor Models Value, momentum

    7. Model Selection LASSO, PCA, regression trees, ensemble methods

    Midterm Exam

    8. Overview of Trading and Markets

    9. Time series and Momentum

    10. Enhancing Trading Strategy and Data-mining

    11. Pattern recognition techniques and Decision trees

    12. High Frequency Part I

    13. High Frequency Part II and Microstructure

    14. Trading System Design

    Final Exam

     

    The fee for the 2020 Summer Financial Math Program in its online format is $5,000.

    Included in Fee 

    • All instruction
    • All books and classroom materials
    • Lifetime transcript fee

    MERIT SCHOLARSHIPS

    All applicants are automatically considered for merit-based scholarships, and candidates are notified at the time of their admissions decision whether they have received a scholarship. Scholarships are granted on a limited basis to applicants who can demonstrate through their application: 

    • Excellence in academics
    • Service to their community
    • Leadership within social or academic groups
    • A clear understanding of what they’ll gain from participation and how they’ll contribute to the UChicago Summer Session community

    *There is no formal application process for scholarships; anyone who is admitted to these programs is automatically considered for scholarship and all recipients will be notified at the time of admission.

    FINANCIAL AID

    For Visiting Students: Need-based aid is available to Visiting students who are eligible.  You can complete the Financial Aid form on your program application to request aid. Please visit the Visiting Undergraduate Students page for more information on financial aid options. 

    For Current UChicago Students: Please visit the Current UChicago Students page for more information on financial aid options. 

    The Summer Session Tuition Benefit may be applied to this program. Click here for more information. 

    DEPOSIT AND FINAL PAYMENT

    nonrefundable $1,000 deposit will be required to confirm your acceptance into the program within one week after receiving your notification of admission. The remaining balance will be due four weeks after receiving your notification of admission.

    REFUNDS

    If an admitted student has paid in full, but then decides not to attend or to withdraw, Summer Session will refund the program fee, minus the nonrefundable $1,000 deposit, through June 16, 2020. 

    The Summer FinMath Application for non-UChicago students is now open! Click below to:

    START a new application

    RETURN to an open or submitted application

     

    Current UChicago students may simply enroll through MyUChicago.edu through May 31, 2020. After May 31, contact summersession@uchicago.edu to register through June 8, 2020.

    **********************************

    Eligibility

    Students who will be entering the University of Chicago's Financial Math MS program in Autumn 2020 are not eligible to participate in the Summer Financial Math Program. 

    Application Components

    In order to complete our program application, you’ll need the following items:

    • A letter of recommendation
    • An unofficial transcript from all post-secondary institutions you have attended
    • An essay
    • Your resume
    • International students are required to submit TOEFL or IELTS scores (see International Students page for details). A copy of the entire report should be provided, not just the final score.
    • Financial Aid & Scholarship Program Application with supporting materials (if applying for need-based aid).

    Academic Prerequisites

    Required Helpful
    Introductory Probability and Statistics Introductory Programming in Python, R, or Matlab
    Linear Algebra Regression Analysis
    **Students will get a refresher on these topics at the start of the course. **These will be taught within the curriculum, but background knowledge is helpful.

    Applicants from any academic major are welcome! We are particularly interested in students with no previous background in finance who are interested in exploring Quant Finance as a career option. 

    Application Deadlines

    • Round 1: February 26, 2020
    • Round 2: March 18, 2020
    • Round 3: April 8, 2020
    • Round 4: April 29, 2020
    • Rolling Admissions: After May 1 until all spots are full 

     

    What is a typical day like?

    Students will be engaged in real-time instruction every Monday, and have assignments as well as structured group activities as part of the course. Though the program is online, it is still intensive, and will require a high level of commitment from all students throughout the program. 

    Can I participate in Summer FinMath if I am doing an internship or working part or full time?

    The Financial Math course is designed to accommodate concurrent internships and work. Hours spent on the course vary across students, but we see an average of about 10 per week. Even the synchronous class sessions are recorded to ensure full access should a student need to miss a session. TA sessions and office hours will be held at a range of days/times to accommodate those working. As we have many students in our M.S. program who simultaneously work full time, we are confident that our summer session will be a good fit for many who are working and doing internships.

    Will the course be graded?

    The course is for-credit, and students will receive a traditional letter grade. The grading policy for Summer 2020 will be updated no later than May 1, 2020. 

    What kind of companies might we hear from?

    The Financial Math team has connections at a range of companies in the Chicago area. A list of confirmed presentations will be posted in Spring 2020. 

    What should I wear?

    In an online class environment, be comfortable but still appropriately dressed. Students will participate in the course via Zoom, and video will be required so that we can keep everyone engaged. 

    Can I apply if I do not have a finance background?

    Absolutely! Students from any major are encouraged to apply, though strong quantitative (math) skills are a must. Our instructors understand the diverse backgrounds of our scholars and will teach in a way that is effective for everyone.

    Who should write a letter of recommendation?

    You will want to ask someone who can effectively evaluate your academic and/or work performance.  As a reminder, this letter is required in order for your application to be considered complete.

    What are the technology requirements for participation?

    The Summer FinMath course will host the course details via Canvas (our LMS, or Learning Management System) and deliver all instruction via Zoom, a video conferencing platform. Students will need to have their own computer equipped with speakers, a microphone, and a camera (either built-in or a webcam). Students will also need a reliable internet connection and an appropriate location to sit when participating in class sessions. A place quiet enough to hear the instructors and avoid background noise that would disturb other students, but also where you can participate actively in discussions with the instructors and other students, is ideal.  

    I've never used Zoom - how does it work?

    Students will have the opportunity to participate in training sessions before the program begins in order to orient everyone to the functions of Zoom, as well as etiquette and best practices for learning remotely. 

    Meet Our Instructors

    Mark Hendricks

    Mark Hendricks

    Mark Hendricks is the Associate Director of the Master in Financial Mathematics where he helps manage all aspects of the program. His industry experience includes quantitative research for a hedge fund, Racon Capital. He has also done consulting work in finance, (asset management, corporate, real estate,) and data analysis (retail and pharmaceuticals.)

    Mark has taught courses, reviews, and workshops at the graduate level for Financial Math, the Booth School of Business, and the Department of Economics. Among other things, he has significant experience teaching portfolio management, dynamic asset pricing, corporate valuation, and statistical estimation. Mark’s courses emphasize active learning with application and data.

    As a Ph.D. candidate for Financial Economics at the University of Chicago’s Booth School and Department of Economics, Mark won awards including a Stevanovich Fellowship and Lee Prize. Mark holds an M.A. in economics and a B.S. in Mathematics.

    Sebastien Donadio

    Sebastien Donadio

    Sebastien Donadio is currently Chief Technology Officer at Tradair. There he is in charge of leading the technology team. He has a wide variety of professional experience, including being the  head of software engineering at HC Technologies, quantitative trading strategy software developer at Sun Trading, partner at AienTech, high-frequency trading hedge fund, working as technological leader in creating operating system for the Department of Defense. He also has research experience with Bull, and an IT Credit Risk Manager with Société Générale while in France.

    Sebastien has taught various computer science courses for the past fifteen years. This time was spent between the University of Versailles, Columbia University, University of Chicago, NYU. Courses included: Computer Architecture, Parallel Architecture, Operating System, Machine Learning, Advanced Programming, Real-time Smart Systems, Advanced Financial Computing.

     

    Questions?

    Contact Summer Session at summersession@uchicago.edu