- Calculus: differentials, infinite series, Taylor’s formula, partial derivatives, multiple integrals.Linear Algebra: matrices, vectors, determinants, linear systems of equations, linear independence, bases, eigenvalues, eigenvectors.
- Ordinary Differential Equations: 1st-order ODEs, solution techniques, initial value problems, exponential growth/decay, logistic model equilibrium, steady state 2nd-order linear constant-coefficient ODEs.
- Probability: continuous and discrete distributions, multivariate distributions and independence, ordinary and conditional expectations, Central Limit Theorem.
- Statistics: regression analysis including detection of and solutions to various violations of classic regression assumptions (heteroskedasticity, autocorrelation, multicollinearity and simultaneity).
- Computer Programming: programming ability in a highlevel language such as C, C++, Fortran (77 or 90/95), Basic, Visual Basic or Matlab.
- Economics: basic micro- and macroeconomic topics including supply and demand functions, market structure and the role of money.
FINANCIAL ENGINEERING PROGRAM REQUIREMENTS (36 credits)
Course Title Credits
ECON 62056 Time Series Analysis 3
FIN 66061 Financial Management I 3
66066 Advanced Security and Investment Theory 3
66075 Legal Aspects of Financial Engineering
66080 Derivatives I
66081 Derivatives II 3
66084 Financial Engineering
66085 Fixed Income Markets
MATH 50051 Topics in Probability Theory and Stochastic Processes
52091 Seminar: Modeling Projects
60070 Financial Mathematics
62203 Computational Finance