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Courses


The Masters Degree Program consists of 11 one-semester courses and a Masters Project.  Many of the courses are offered both fall and spring semesters to accommodate the schedule of full-time as well as 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 Summer Semester
Core Level 1
  1. Derivative Securities
  2. Risk and Portfolio Mgmt with Econometrics
  3. Stochastic Calculus
  4. Computing in Finance
  1. Derivative Securities
  2. Risk and Portfolio Mgmt with Econometrics
  3. Stochastic Calculus
  1. Stochastic Calculus
Core Level 2
  1. Scientific Computing (4)
  2. Continuous Time Finance (1,3)
  3. Project & Presentation
  1. Scientific Computing in Finance (4)
  2. Continuous Time Finance (1,3)
  3. Project & Presentation
 
Electives
  1. Time Series Analysis & Statistical Arbitrage (1, 3, 4, 5)
  2. Advanced Econometric Modeling and Big Data (1, 2, 4)
  3. Nonlinear Problems in Finance: Models and Computational Methods (5, 6)
  4. Data Science in Quantitative Finance (2, 4, 5)
  5. Counter Party Credit:  Valuation Adjustments, Capital, and Funding (1, 17)
  6. Fixed Income Derivatives: Models & Strategies in Practice (1, 4)
  7. Credit Anayltics: Bonds, Loans, and Derivatives (1, 4)
  1. Active Portfolio Management (2, 4)
  2. Interest Rate & Fx Models (1, 3, 4)
  3. Advanced Risk Management (1, 4)
  4. Algorithmic Trading & Quantitative Strategies (2, 4)
  5. Advanced Topics in Equity Derivatives (1, 3, 4)
  6. Market Microstructure (2, 4)
  7. Securitized Products & Structured Finance(1,3)
  8. Energy Markets & Derivatives (1, 3)
 

 

The default curriculum for full-time Mathematics in Finance MS students in the Spring semester is to take Continuous Time Finance, Scientific Computing for Finance 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.

 

Course Descriptions and Course Schedules

Detailed course descriptions and course schedules are available here.