Courses

Academic Year 2010-2011

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 2. Risk & Potfolio Mgmt with  Econometrics 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.