Computational Finance Program
MS Degree in Mathematics with Specialization in Computational Finance
Our program is primarily tailored to applicants with undergraduate degrees in mathematics. Applicants with other undergraduate backgrounds are considered, when they have completed an upper division linear algebra course and an upper division real analysis course from an undergraduate mathematics program, or when they have had high performance in graduate applied mathematics courses and show promise of doing well in our required mathematics courses.
34 credit hours. Two-year intensive program.
- Required Math (excluding Math Finance) Courses (15 cr.)
Probability and Analysis:
MA/STAT 519
MA 544 or [ MATH 504 and MATH 538 ]
Linear Algebra MA 554 or MA 511
Partial Differential Equations MA 523
Methods of Applied mathematics:3 or more credits from the following list:
MA 611, CS 514, CS 515, CS 614, CS 615, STAT 528
- Required Core CF courses (16 cr.)
Mathematics of Finance MA 515
Adv. Probability, Options, and Num. Methods MA 516
Simulation Design and Analysis IE 581
7 or more credit hours approved by the CF committee from the following list:
Options and Futures MGMT 641 (2 cr.)
Security Analysis MGMT 642 (2 cr.)
Financial Risk Management MGMT 643 (2 cr.)
Portfolio Management MGMT 614 (2 cr.)
Introduction to Investment Science II STAT 598Z.SP03 (2 cr.)
Financial Engineering IE 590A (3 cr.)
Intermediate Financial Engineering IE 690D (3 cr.)
Spreadsheet Modeling and Simulation MGMT 690S/570 (2 cr.)
Seminar in Financial Markets MGMT 616 (3 cr.)
Seminar in Financial Markets MGMT 617 (3 cr.)
Design and Analysis of Financial Algorithms STAT 598W (3 cr.)
Venture Capital And Investment Banking MGMT 644 (2 cr.)
- Elective courses. 3 credit hours.
3 or more credit hours of courses related to CF and approved by the CF committee. These can be courses from any department or school. The CF advisor will help students make a selection. Possible department to choose from include: Management, Finance, Economics, Statistics, Computer Science, Agricultural Economics, Industrial Engineering. Possible topics include: advanced finance seminar, portfolio management, security analysis, macroeconomics, international monetary problems, financial time series, Bayesian statistics in finance, Monte-Carlo methods.
A typical degree plan for a MS in Mathematics with CF specialization would include the following classes:
MA 519, STAT 598 Y or IE 590 A, MA 515, IE 581, MA 511, MA 544, MA 516, MGMT 616 or ECON 535 or ECON 608, MGMT 643, MGMT 690 S, MA 611, MA 523
Ph.D. in Mathematics with an emphasis on Finance.
The Department of Mathematics offers the possibility of granting a Ph.D. for original research in Mathematics with applications to Finance. Contact the chair of the graduate program, Fabio Milner, Professor Jin Ma, or Professor F.G. Viens for more details.