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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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