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Home >> Program at Courant >> Courses




Courses

The Masters Degree Program consists of 11 one semester courses and a Masters Project.  Many of the courses are now offered both fall and spring semesters to accommodate the schedule of part-time students.  In the table below, the numbers in parentheses indicate the prerequisites needed for the given course.  Full-time students follow the schedule of Level 1 Fall courses, the Level 2 Spring courses, the Level 3 Fall courses.  (Click  here to see Course Sequence Advice for Part-time students.)


Courses Offered Fall Semester Courses Offered Spring Semester
Level 1
1. Derivative Securities
2.  Risk & Potfolio Mgmt with  Econometrics
3. Stochastic Calculus
4. Computing in Finance      
1. Derivative Securities
3. Stochastic Calculus
Level 2
6. Credit Markets and Models(1,4)
7. Scientific Computing (4)
 
5. PDE for Finance  (3)
6. Int Rates & FX Models(1,3,4)
7. Scientific Computing (4)
8. Advanced Risk Management (1, 2, 4)
9. Continuous Time Finance (1,3)
Level 3
10. Time Series Analysis And
       Statistical Arbitrage
(1,3,4,7)
11. Case Studies in Financial Modeling(3,4,9)
12. Computational Methods in Finance (7,9)
13. Project & Presentation
14. Fin Eng Models for Corp Finance (1,2)

15. Algorithmic Trading And Quantitative Strategies (2,4)

16. Mortgage-Backed Securities and Energy Derivatives (1,3)

17. Active Portfolio Management (1, 2, 4)


The default curriculum for full-time Mathematics in Finance MS students in the Spring semester is to take Continuous Time Finance, Scientific Computing and two of the other three  Level 2 offerings.

Under appropriate circumstances students may substitute more advanced courses for some of those listed above. Permission is granted on a case by case basis.

Click here for more information on degree requirements.

Click here for information on rooms and instructors.