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Financial Engineering - M.S. Program Requirements

The MSFE program requires the completion of 36 semester hours of coursework. The quantitative prerequisites for students applying to the program are:
  • 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.
Qualified students can be conditionally admitted on the basis of completing these summer workshops.

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
3   

66080    Derivatives I
3   
66081    Derivatives II    3   

66084    Financial Engineering
3   
66085    Fixed Income Markets
3   
MATH    50051    Topics in Probability Theory and Stochastic Processes
3   
52091    Seminar: Modeling Projects
3   

60070    Financial Mathematics
3   

62203    Computational Finance
3   
TOTAL     36

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