Master of Mathematical Finance

Collaborative program with the Stuart School of Business

The objective of the Master of Mathematical Finance program is to provide individuals interested in pursuing careers in financial risk management with advanced education in theoretical, computational, and business aspects of relevant quantitative methodologies. This is a collaborative program between the Stuart School of Business and the Department of Applied Mathematics, and as such, it gives students the chance to benefit from the strength of both units. Students are required to complete a total of eleven semester courses, including eight core courses and three elective courses.

Admission Requirements

Admission to the Master of Mathematical Finance program requires a bachelor’s degree in a quantitative discipline such as mathematics, quantitative finance, engineering, or statistics with a minimum cumulative GPA of 3.0/4.0. Applicants are required to have a background in undergraduate-level probability theory, multivariate calculus, and linear algebra. Background in ordinary differential equations will enhance the chance of admission to the programIf required, TOEFL scores should be a minimum of 90/250 (internet-based/computer-based test score) or the IELTS score should be a minimum of 6.5. A professional statement of goals/objectives (two pages) and a curriculum vitae must be submitted. Two letters of recommendation are required (at least one must be from academia). An interview may also be required.

Typically, admitted students score at least 156 on the quantitative portion of the GRE and at least 3.0 on the analytical writing portion. However, meeting the minimum or typical GPA test score requirements does not guarantee admission. GPA and test scores are just some of several important factors considered for admission to the program, including grades in mathematics courses, letters of recommendation, and the student’s overall record of achievements.

 

Curriculum

Core Courses (24)
MSF 505Futures/Option/OTC Derivatives3
or MSF 524 Models for Derivatives
MSF 526Computational Finance3
MATH 542Stochastic Processes3
MATH 548Mathematical Finance I3
MATH 565Monte Carlo Methods in Fin3
MATH 582Mathematical Finance II3
MATH 586Ther&Prac Fixed Income Modelng3
MATH 588Advanced Quant Risk Mgmt3
Applied Mathematics Elective Courses (3)
Select a minimum of one course from the following:3
Advanced Data Mining3
Partial Differential Equations3
Mathematical Modeling3
Machine Learning in Finance:3
Probability3
Stochastic Analysis3
Stochastic Dynamics3
Stochastic Partial Diff Equatn3
Introduction to Time Series3
Multivariate Analysis3
Adv Design of Experiments3
Statistical Learning3
Computational Mathematics I3
Computational Mathematics II3
Complexity of Numerical Prob3
Thry/Prac Modlng&Crdt Deritvs3
Num Meth for Partial Diff Equa3
Meshfree Methods3
Finance Elective Courses (3)
Select a minimum of one course from the following:3
Models for Derivatives3
Term Struc Mod & Int Rate Der3
Struct Fixed Income Portfolios3
Quant Investment Strategies3
Market Risk Management3
Credit Risk Management3
Time Series Analysis3
Bayesian Econometrics3
.NET and Database Management3
C++ with Financial Markets3
OOP & Algorithmic Trading Sys3
High Frequency Finance3
Equity & Equity Deriv Trading3
FOREX & Fixed Income Strat3
Additional Elective Course (3)
Select one course 13
Total Credit Hours33

Core Requirement

All mathematical finance students must complete the eight core classes unless they have obtained written permission from their academic adviser to substitute an alternative class for a core class.

Course Substitutions

To the extent that students have completed commensurate coursework or professional experience, substitutions to the required curriculum may be permitted, with the approval of the academic adviser.

Transfer Credit

Students may also transfer up to two classes from a graduate program at another accredited university if the student has not used the classes to satisfy the requirements for a degree at the previous university. Additional classes may be transferred with the permission of the program director.

Prerequisite Courses

Some students may be required to take prerequisite courses in mathematics, statistics, or computer programming before being admitted to a graduate course.