This page is compiled from a survey conducted by Jim Finnegan, "A Survey of Educational Programs in Financial Engineering", Financial Engineering News, Iss. 26, June/July 2002. It comprises both US programs and non-US programs, worldwide.
An Adobe Acrobat (.pdf) version is also available here.
BOSTON UNIVERSITY
Master of Arts in Mathematical Finance
DESCRIPTION: The M. A. program is built around the crux of mathematical concepts that led to the development of the Black and Scholes option pricing method and have grown into powerful computational techniques for hedging risk, portfolio optimization, modeling of interest rates, bond-pricing, investment/ acquisition valuation and investment timing. Also, students gain knowledge in probability, statistics, stochastic calculus, time series, free boundary problems for PDE's, numerical methods for PDE's, general optimization algorithms, C++, Mathematica and Matlab.
PROGRAM SIZE: Number of students: 14; Number of faculty: 8
DURATION AND DEGREES: Full-time option: 11 months (10 courses over 3 semesters). Part-time option: 2 years. Degree Conferred: Master of Arts in Mathematical Finance.
AREAS OF SPECIALIZATION: Financial engineering is commonly thought of as a set of tools for developing various derivative instruments. In addition to solid knowledge in derivatives and fixed income securities, this program provides training in general optimization, neural networks, and statistical methods, which are instrumental in modern portfolio optimization and risk management.
TYPICAL GRADUATE CAREER PATHS: Graduates of the program are prepared to work not only with derivatives, but also in a variety of other areas of finance, such as investment strategy development, fixed income securities, economic policy development, financial software development, portfolio management, risk modeling, and asset allocation.
PREREQUISITES AND ENTRY PROCESS: Calculus I, II and III (CAS MA 123, 124, 225 or equivalent); linear algebra (CAS MA 242 or equivalent); differential equations (CAS MA 226 or equivalent); basic programming skills (CAS CS 111 or equivalent).
ASSOCIATED PROGRAMS: Certificate Program in Mathematical Finance.
UNIQUE FEATURES: The program has a close working relationship with the Boston Security Analysts Society and several investment firms in the financial community. Faculty involved with the program: Gail Carpenter, Marvin Freedman, Ashis Gangopadhyay, Eric Kolaczyk, Andrew Lyasoff, Murad Taqqu, Tanya Zlateva. Adjunct Faculty includes Robert R. Reitano, PhD, FSA. Dr. Reitano is Senior Vice President and Chief Investment Strategist for John Hancock Financial Services. He has won an Annual Prize of the Society of Actuaries, and two biennial F. M. Redington Prizes awarded by the Investment Section of the Society of Actuaries.
CONTACT INFORMATION: Ms. Lois Solomon, Mathematical Finance Program Boston University, Mathematics Dept., 111 Cummington St., Boston, MA 02215. Phone: (617) 353-0943 http://www.bu.edu/mathfn
CARNEGIE MELLON UNIVERSITY
Master of Science in Computational Finance
DESCRIPTION: The Master of Science in Computational Finance program (MSCF) is focused on the use of quantitative methods and information technology in the field of finance. In addition to providing a solid foundation in the fundamentals of quantitative finance, our graduates possess the high-level skills and the conceptual framework required to find innovative and effective solutions for the challenges faced by the ever-changing and increasingly complex financial services industry. There is both a New York City and Pittsburgh campus.
PROGRAM SIZE: Pittsburgh: 40 Students; New York: 75 Students
DURATION AND DEGREES: Full-Time: 12 month, May to May, four courses per mini-semester. Degree Conferred: Master of Science in Computational Finance. Part-Time: 24 month, May to May, two courses per mini-semester. Degree Conferred: Master of Science in Computational Finance. Certificate: 10 month, July to May, one course per mini-semester: Certificate in Finance, Math or Statistics.
AREAS OF SPECIALIZATION: Risk management, statistical arbitrage, asset management, trading support, derivative securities application and pricing.
TYPICAL GRADUATE CAREER PATHS: MSCF graduates pursue many career paths within the financial services industry. Whether developing new derivative hedging strategies for a hedge fund, building a risk management model for a financial institution, running an equity portfolio at a mutual fund, doing fixed income research or managing a swaptions trading desk, our graduates find opportunities almost exclusively within the financial services industry.
PREREQUISITES AND ENTRY PROCESS: Prerequisites include a basic ability to program in a general purpose programming language such as C and at least two full semesters of study in differential and integral calculus, the caliber of which is required of engineering, math or science majors. Applicants lacking these skills may still be considered, provided they take steps to acquire the necessary skills before entering the program and satisfy the admissions committee requirements.
UNIQUE FEATURES: Carnegie Mellon University is world-renowned for its Computer Science research, its prominent math and engineering schools, and is home to one of the nation's top business schools (GSIA). The Computational Finance program represents a true "joint venture" between four colleges within the University, each providing approximately one quarter of the program's course content (GSIA, the Mathematical Sciences Department, the Department of Statistics and the H. John Heinz III School of Public Policy and Management.) Faculty teaching in the program include Steve Shreve, David Heath (the co-creator of the Heath Jarrow Morton interest rate model), John Lehoczky (a well-known Bayesian statistician) and Sanjay Srivastava (professor of finance, entrepreneur and founder of the securities trading and tutorial software).
CONTACT INFORMATION: Ms. Norene Mears, Computational Finance Program, Graduate School of Industrial Administration, Carnegie Mellon University, Pittsburgh, PA 15213. Phone/ Fax: (412) 268-7358/( 412) 268-7930. Email: nm10@andrew.cmu.edu. http://student.gsia.cmu.edu/mscf/ Or, Ms. Gaitrie Bos, Carnegie Mellon New York, 55 Broad Street, 5th floor, New York, NY 10004. Phone/ Fax: (212) 584-0925/ 0940. Email: gbos@ andrew.cmu.edu
CLAREMONT UNIVERSITY
Financial Engineering Management Program
DESCRIPTION: The Master of Science in Financial Engineering (MSFE) is the primary graduate degree offered through the Financial Engineering Management Program. The MSFE is an intensive degree oriented to the development and management of strategic financial products. The program is administered jointly by the Peter F. Drucker Graduate School of Management and the Mathematics Department of Claremont Graduate University.
PROGRAM SIZE: Enrollment in the MSFE degree program is limited to approximately 25 students per year. Courses are taught by faculty members in the Peter F. Drucker Graduate School of Management and the Mathematics Department, with program co-directors in Management and Mathematics. In addition, the program draws on the faculties of mathematics and economics throughout the seven colleges that comprise the Claremont University Consortium.
DURATION AND DEGREES: The MSFE can be completed in 3 semesters of full-time coursework, though many students elect to go at a slightly slower pace. The MSFE can also be completed on a part-time basis. A Ph. D. in Financial Engineering is under development, but not currently available. A number of students elect to pursue dual degrees that combine the MSFE with a second master or Ph. D., primarily in management, economics, or information science. The MSFE also is available through concurrent degree arrangements with several foreign universities.
AREAS OF SPECIALIZATION: The MSFE at Claremont is unique. We seek to blend the technical mathematical capabilities essential to financial engineering with financial management and leadership capabilities that are essential to effective and responsible risk management. To achieve this balance, students take approximately half of their coursework in classes that include MBA students and are expected to develop and exhibit strong leadership capabilities, as well as technical competency, at every opportunity. In terms of technical training, we emphasize derivatives pricing, American options, free boundary problems, path dependent options, new venture finance, real options, strategic uses of derivative products, and risk management. The program makes extensive use of computational approaches to design and evaluate financial claims.
TYPICAL GRADUATE CAREER PATHS: MSFE students at CGU have widely varied backgrounds. They include, at one extreme, students who already have Ph. D. s in such areas as astrophysics, chemistry, and computer science, and may be working in upper level management before joining the program. At the other extreme are students with particularly strong academic records and other evidence of maturity who enter directly from science, mathematics, or economics-based undergraduate programs. Students with limited work experience generally seek internships during the program. We seek to place students in permanent positions in Investment Management, Corporate Finance, Consulting, Risk Management, Hedging, Asset Allocation, and Fixed Income Management.
PREREQUISITES AND ENTRY PROCESS: An applicant should have a strong record of achievement in a quantitatively oriented undergraduate discipline. Ideal candidates will be interested in advanced mathematical concepts and have the potential to function effectively in a professional management environment. An applicant who cannot demonstrate proficiency in calculus (up to and including multivariate calculus) and linear algebra may be required to complete appropriate prerequisite courses as a condition of acceptance. Applicants must submit GMAT or GRE scores, and are admitted in September and January of every academic year. Applicants for the fall are encouraged to apply before February 15, and for the spring before November 1, but applications are accepted on a rolling basis.
ASSOCIATED PROGRAMS: A number of students pursue dual degrees generally with the MBA program, or Ph. D. in Economics or Information Science. Dual degree requirements vary but generally reduce the combined time required for completing both degrees by one year. We offer an accelerated program where undergraduates of the Claremont Colleges are able to reduce the combined time for completing the undergraduate and graduate degrees by approximately one semester. A concurrent MSFE/ MFA is offered with ISTEM in Monterrey, Mexico. A concurrent MSFE/ MBA is offered with Universidad Anahuac del Sur in Mexico City.
UNIQUE FEATURES: Few, if any, other universities are able to achieve the balance we offer in the Financial Engineering Management program at Claremont Graduate University. We combine a flexible, non-departmentalized management program with a mathematics program that emphasizes applications. With this unique structure and the resources of the University, we deliver a focused, yet practical multi-disciplinary education in financial engineering that is both critically important to management and hard to duplicate at other universities.
OTHER INFORMATION: Program Co-Directors: Richard L. Smith, Professor of Financial Management, Peter F. Drucker Graduate School of Management, and John Angus, Professor of Mathematics; Chair, Department of Mathematics
CONTACT INFORMATION: Ms. Kate Nash, Coordinator, Financial Engineering Management Program, Claremont Graduate University, 1021 North Dartmouth Avenue, Claremont, CA 91711 Phone: (909) 607-6007. Fax: (909) 621-8543). Email: fineng@cgu.edu http://www.cgu.edu/fineng See also, http://drucker.cgu.edu/
COLUMBIA UNIVERSITY
Master of Science in Financial Engineering
DESCRIPTION: The Financial Engineering M. S. program is designed for students wishing to obtain positions in the securities, banking, and financial management/ consulting industries, and as analysts in corporate treasury and finance departments of general manufacturing and services firms. Students are provided with a rigorous training in stochastic modeling, optimization, computation (including numerical and simulation techniques), and coverage of finance markets and applications. Columbia's proximity to Midtown Manhattan and Wall Street offers strong student-industry contact and excellent job opportunities.
PROGRAM SIZE: There are currently approximately 70 students in the MSFE program representing nearly 20 countries. There are 12 full-time, 13 adjunct and 7 affiliated faculty members in the Department of Industrial Engineering and Operations Research (IEOR).
DURATION AND DEGREES: The Master of Science in Financial Engineering (MSFE) is a 30-credit program requiring ten courses that is offered by the Department of Industrial Engineering and Operations Research at Columbia University. The program may be completed in one academic year, although some students prefer to complete the degree over 3 semesters. The program may also be completed part-time, and the core courses are held in the late afternoon and early evening to accommodate part-time students.
AREAS OF SPECIALIZATION: The faculty members of the Industrial Engineering and Operations Research Department are actively engaged in a number of research areas. These include option and derivatives pricing, interest rate modeling, risk management, portfolio optimization, asset liability management, credit risk modeling and numerical methods, including Monte Carlo simulation and dynamic programming.
TYPICAL GRADUATE CAREER PATHS: Graduates of the Financial Engineering program work in financial services and management consulting. Most find positions in fixed income, credit risk management, portfolio analysis, derivatives, decision management, or financial modeling. Graduates are hired as either analysts or associates. Students are also encouraged to seek summer internships, which are usually found through on-campus internship fairs and at the Center for Career Services at Columbia. The Industrial Engineering and Operations Research Department also employs a full-time academic and career advisor.
PREREQUISITES AND ENTRY PROCESS: The basic preparation is a bachelor's degree with a major in mathematics, engineering, computer science, eco-nomics, statistics, physics, or other technical discipline. A minimum grade point average of 3.0 in an undergraduate program is required. In addition, applicants to the financial engineering program are expected to have attained a high level of mathematical and computer programming skills. All applicants are required to take the aptitude test of the Graduate Record Examination (GRE). The Test of English as a Foreign Language (TOEFL) is also required of all candidates from countries in which English is not the official spoken language. Applicants must provide two letters of recommendation.
ASSOCIATED PROGRAMS: Joint MS in FE/ MBA: Students in this program are granted both the Master of Science in Financial Engineering and MBA degrees. Applicants must be accepted for both the MS in Financial Engineering degree and the MBA degree at the Columbia School of Business. The admissions processes are completely separate. Certain courses may be applied toward both degrees thereby shortening the length of time required to complete the two degrees from six semesters to five.
UNIQUE FEATURES: The Industrial Engineering and Operations Research Department at Columbia University has a distinguished faculty that includes a member of the National Academy of Engineering, and Guggenheim and Sloan Fellows. Several faculty members have been awarded National Science Foundation Career and Presidential Young Investigator Awards, as well as receiving the John Von Neumann Theory Prize, the Franz Edelman Award and the George Nicholson Award from INFORMS. (INFORMS is the Institute for Operations Research and Management Science.)
OTHER INFORMATION: The Department of Industrial Engineering & Operations Research is a key part of the Center for Applied Probability (CAP), and the Computational Optimization Research Center (CORC), both of which are National Science Foundation funded Centers at Columbia University. The Department also has very close ties with the Decision, Risk and Operations Division at Columbia Business School, where several faculty members are also active in the field of financial engineering.
CONTACT INFORMATION: Anne Mongillo, Academic and Career Advisor, Department of Industrial Engineering and Operations Research, 331 S. W. Mudd Building, Columbia University, New York, NY 10027. Phone: (212) 854-0757/ 2942. http://www.ieor.columbia.edu/finance.html
CORNELL UNIVERSITY
Master of Engineering (M. Eng.) in Operations Research and Industrial Engineering
(Financial Engineering Option)
DESCRIPTION: Financial engineering is the application of engineering methods to financial problems. Tools in probability, statistics, and optimization allow financial engineers to meet the needs of businesses by measuring and managing their financial risks and by designing and analyzing sophisticated financial contracts. The increasing complexity of markets fuels demand for professionals who possess understanding of the financial problems they pose, the mathematical tools to solve these problems, and the computer skills to implement these solutions. Cornell's financial engineering program combines coursework in the finance, mathematics and computation of portfolio management and derivative securities with a team-based master's project for a real client in the industry.
PROGRAM SIZE: The School of Operations Research and Industrial Engineering has approximately 20 faculty members, six of whom are directly involved in research and teaching related to Financial Engineering. Professors Philip Protter of the College of Engineering and Robert Jarrow of the Johnson Graduate School of Management lead the program. Seven faculty members in Computer Science, Management, Economics and Statistics also participate in Financial Engineering at Cornell. Thirty-five Master of Engineering students are accepted to pursue the Financial Engineering Option each year. Some of the 40 PhD. students have chosen to concentrate their research in this area as well.
DURATION AND DEGREES: The Master of Engineering program can be completed by most well-prepared students in two semesters, from the end of August to the end of May. Students from undergraduate fields other than Operations Research may require additional course work in the prior summer or in an additional semester to complete the program. Upon com-pletion students are awarded a Master of Engineering in Operations Research and Industrial Engineering and a Dean's Certificate in the Financial Engineering Option.
AREAS OF SPECIALIZATION: Cornell is the cradle of financial engineering, in the modern sense. The first academic meeting in the subject took place here on May 29, 1989. That meeting brought most of the researchers in the field together for the first time, and yielded two results of note: the journal Mathematical Finance was born, the first research journal in the field, and Cornell's program in financial engineering was conceived. Robert Jarrow and David Heath together advised students for several years before formalizing the program in 1995. Today we have a highly active research group in mathematical finance and financial engineering. In the Cornell tradition of breaking down interdisciplinary barriers, this activity spans large areas of Cornell, including the Operations Research Department, the Theory Center, the Department of Economics and the Johnson Graduate School of Management.
TYPICAL GRADUATE CAREER PATHS: The program offers students the training they need to succeed in a career as a financial engineer. Such careers traditionally include, derivatives research or marketing at an investment bank, portfolio management at an investment fund or insurer, hedging or proprietary trading at an investment bank and risk management. The program is also excellent preparation for any job applying operations research methodologies to financial operations, such as revenue management (for instance, at hotels or airlines) and credit card operations. An engineer should know how to function in a business environment, and Cornell's program helps build skills valuable in business through the masters project, which emphasizes teamwork and communication of solutions to real-world problems. While Cornell has excellent Career Services facilities and makes special efforts in employer awareness, placement is not guaranteed. International students should not count on obtaining employment in the US.
PREREQUISITES AND ENTRY PROCESS: Applicants apply for a Master of Engineering, specifying OR& IE as the field of study and Financial Engineering as the option. (There is a special application form that is different from the standard Graduate School form). Since this option is in high demand, some students are admitted to the M. Eng. program but not to the financial engineering option. A strong technical or scientific back-ground, quantitative GRE scores above 740, a grade point average higher than B, a statement of purpose reflecting an informed interest in the field and its professional uses, and excellent letters of recommendation contribute to the chances of admission. Prerequisites include four semesters of college calculus, a second level computer science course, and a calculus-based course in probability and statistics. Financial aid is highly limited.
ASSOCIATED PROGRAMS: The Theory Center, a university-wide computational science support center, provides leadership in computational finance methods, in terms of education, research, and industry consulting. With the cooperation of the Operations Research Department and the Johnson School the Center maintains a data archive used by students and teachers. The Operations Research Department has close relations with a variety of firms in Manhattan who sponsor research projects at Cornell. The Economics, Statistics and Mathematics Departments and the Center for Applied Mathematics have researchers and Ph. D. students actively working in the area, and resources are shared among all of the departments. The Mathematics Department also supports the community through seminars and colloquia. The Johnson Graduate School of Management has a worldwide reputation of excellence in finance and houses the Parker Center for Investment Research. Seminar programs and colloquia bring to the campus a wealth of scholars and industry leaders, including such Wall Street figures such as Sanford Weill of Citigroup and Jeff Parker of CCBN.
UNIQUE FEATURES: Professor Robert Jarrow is a coeditor of Mathematical Finance and an associate editor of the Journal of Financial and Quantitative Analysis, the Financial Review, Review of Financial Studies, Review of Derivatives Research, Journal of Fixed Income and the Review of Futures Markets. He was a Mobil scholar in 1993 and a member of the Merrill Lynch Academic Advisory Council. In 1997 he was named IAFE Financial Engineer of the year.
OTHER INFORMATION: Professor Thomas Coleman is Director of the Cornell Theory Center (CTC), and CTC-Manhattan, a computational finance con-sulting center in New York City. The CTC is home of the largest Windows high-performance cluster computing complex in the world. Professor Philip Protter is the co-author of a calculus text and a probability text, and the author of Stochastic Integration and Differential Equations. (Springer-Verlag), and of numerous papers in these fields. He is Associate Editor of several journals, including Finance and Stochastics and Mathematical Finance, and the co-organizer of many conferences.
CONTACT INFORMATION: Kathy King, School of Operations Research and Industrial Engineering, 201 Rhodes Hall, Cornell University, Ithaca, New York 14850. (607) 255-9128. http://www.orie.cornell.edu
F LORIDA STATE UNIVERSITY
Program in Financial Mathematics, Department of Mathematics
DESCRIPTION: The interdisciplinary program in Financial Mathematics first enrolled students in 1998 and now offers strong graduate programs in computational and mathematical finance. Flexibility in the course choices beyond a required core and a wide range of auxiliary professional devel-opment opportunities sharpen practical skills and build on individual strengths. The students in the program bond as a cohesive group as they trek across to the "B-Buildings" to share classes with MBAs and, inciden-tally, become familiar with that culture. They also take classes with graduate students from the other math areas and from the participating depart-ments: Half the master's degree courses are from computer science, economics, finance, risk management and insurance, and statistics. Ongoing course and curriculum development are a faculty priority to maximize the utility of the program.
PROGRAM SIZE: M. S.-30; Ph. D. (have completed MS) 4. All instruction is from full-time faculty in the professorial ranks; a number have previous financial sector experience (e. g., Federal Reserve, investment banks and funds, energy marketers) and/ or serve as consultants or members of company and governmental boards. Teaching, advising, and research or administrative effort designated to FinMath: 5. Additionally, 20 graduate faculty are involved from the six participating departments, and the 33 other graduate mathematics faculty provide support by teaching program students and serving on advisory and student committees.
DURATION AND DEGREES: M. S. in Financial Mathematics: 12-24 months, typically 20 months for students with (highly competitive) financial aid. Ph. D. in Financial Mathematics: as typical for a math PhD, depends on entry level and progress.
AREAS OF SPECIALIZATION: For Ph. D. dissertations, students may be directed or co-directed program faculty from mathematics or Courtesy Faculty from other participating departments. Also, if the student independently has sound ideas for research, there will likely be a faculty member willing to direct. The faculty members who are currently directing students are working in fixed income securities, risk models, and appundergraduate degree in math or, in addition to an undergraduate degree in economics, finance, statistics, computer science, or another quantitative area, there must be high achievement in math courses through multivariate calculus, linear algebra, differential equations, probability and statistics.
ASSOCIATED PROGRAMS: The requirements of this Financial Mathematics inter-disciplinary program were built partly on, and students have access to, the offerings of the well established, often highly ranked, graduate programs in computer science, economics, finance, risk management and insurance, and statistics. The students share fundamental courses (e.g., Measure and Integration, Partial Differential Equations) with students from the department's other offerings: Applied Mathematics, Biomedical Mathematics, Pure Mathematics. The doctoral candidacy requirements explain this relationship: http://www.math.fsu.edu/~smith/Guides/phdcandidacy.html Florida State University is classified as a Carnegie Rank I Research University.
UNIQUE FEATURES: The initial program planning prior to first student enrollment in 1998 considered the advice of FSU graduates, mostly PhDs in mathematics, who were successfully working in the financial sector. The apparent isolation of the campus from financial centers is much mitigated because this group, now enlarged to cover many specialties in the field and designated as the Financial Sector Advisors to the program, play an active role in providing opinions and information. The Financial Mathematics Festival, each spring, is a small conference which brings working professionals to talk about both problems in finance and mathematics encountered on their jobs and about the work environment. http://www.math.fsu.edu/~smith/FinancialMathFestivals.html Most of the program faculty were trained in pure math and initially did research there. One faculty member is working on a book on the foundations of discrete mathematical finance.
OTHER INFORMATION: See also http://www.math.fsu.edu/Academics/Graduate/ and http://www.math.fsu.edu/cgi-bin/grad_app.cgi
CONTACT INFORMATION: Graduate Admissions, Mathematics, Attn: Ms. Grace Brock, Program Assistant, Department of Mathematics, Florida State University, Tallahassee, FL 32306-4510. brock@math.fsu.edu Phone/ Fax: (850) 644-2278/ 4053. http://www.math.fsu.edu/~smith/Guides/finmath.html
GEORGIA INSTITUTE OF TECHNOLOGY
Master of Science in Quantitative and Computational Finance
DESCRIPTION: The main objective of the Master of Science degree program in Quantitative and Computational Finance at Georgia Tech is to provide students with the practical skills and theoretical understanding they need to be leaders in the formulation, implementation and evaluation of the models used by the financial sector to structure transactions, manage risk and construct investment strategies.
PROGRAM SIZE: About 25 students are admitted each year. Currently there are 35 students in the program at various levels of completion. Most of these are full-time, a few are part-time. There are about 30 faculty participating in the program and its development from Management, Mathematics, and Industrial and Systems Engineering, with half of these teaching QCF curriculum courses.
DURATION AND DEGREES: Students take 36 semester credit hours; there are 6 required courses, 3 constrained electives, and 3 free electives. Many students finish in a Fall, Spring, Fall semester plan; some students finish in 4 or more semesters. Students graduate with the Master of Science in Quantitative and Computational Finance degree. At this point in time, there have been 11 MS QCF degrees conferred.
AREAS OF SPECIALIZATION: Students take required courses in finance (Finance & Investments, Derivative Securities, Fixed Income Securities) and in mathematical and computer modeling centered in finance (Numerical Methods in Finance, Stochastic Processes in Finance, Design and Implementation of Systems to Support Computational Finance). Students take constrained electives from additional modeling courses centered in finance with emphases in optimization, stochastic processes, risk management, statistical techniques, empirical finance, and practice of QCF. Students can use their free electives to develop specialized expertise in areas such as pricing and portfolios; portfolio management; financial modeling and numerical implementation; financial modeling and financial IT networking; or in other areas of finance, economics, mathematics, statistics and computer technology.
TYPICAL GRADUATE CAREER PATHS: Graduates have taken diverse career paths. These positions include work in pricing and modeling in energy markets, corporate valuation and modeling; credit risk management; and portfolio management in the equity and in the fixed income sectors. Other graduates are combining the MS QCF degree with PhD work in areas of mathematical finance, financial modeling, and traditional areas of finance, engineering and mathematics.
PREREQUISITES AND ENTRY PROCESS: Applicants should have working knowledge of (i) the calculus (usually 4 semesters through differential equations); (ii) calculus-based probability and statistics; and (iii) the fundamentals of programming. Students who have not had previous coursework in economics will be strongly encouraged to fill this gap. Of course, applicants should have a high level of mathematical talent and strong interest in finance. It is also recommended that applicants have some experience beyond the Bachelors degree; this could be non-academic work, graduate studies, or other pertinent activities. Entry process information is given at the QCF website.
ASSOCIATED PROGRAMS: Students can combine study for the MS QCF degree with study within several other programs at Georgia Tech. These include a dual-degree option with the MBA-type program, and dual-degree options with many PhD programs in areas such as Mathematics, Finance, Economic Decision Analysis, Stochastics, Statistics, Optimization and Engineering. Students establish contacts with several professional finance organizations in the Atlanta area and attend the meetings of these groups..
UNIQUE FEATURES: The Georgia Tech MS QCF program has benefited from support from the Alfred P. Sloan Foundation Professional Science Masters Program since its inception (see http://www.sciencemasters.com/) One visible aspect of this participation has been the creation at Georgia Tech of 10 new focused courses that were created for the QCF curriculum. This concentration of resources for the QCF program was possible because of the strong interdisciplinary nature of the program, with participation, commitment and resources from the School of Mathematics, the School of Industrial and Systems Engineering, and the DuPree College of Management at Georgia Tech. This interdisciplinary commitment brings into the program an enormous concentration of expertise from many areas of mathematics, statistics, engineering, finance, business, and information technology. Faculty expertise includes areas traditional to finance and economics, and areas of financial modeling with connections to disciplines such as stochastics, statistics, optimization, numerical analysis, and analysis. Specific research activity includes areas such as the energy markets, auctions, interest rate modeling, derivative and fixed income securities, risk management, pricing and hedging, and portfolio management.
OTHER INFORMATION: Students enter the MS QCF program through any one of these three academic units. This brings a great diversity of backgrounds, interests and talents into the program. Students use the new QCF Laboratory/ Trading Area as a focal point not only for coursework and speaker programs but also for day-to-day networking. Students find other opportunities to network within many QCF-related student organizations, within several speaker programs, and within many professional finance organizations in the Atlanta area.
CONTACT INFORMATION: Professor Robert Kertz, MS QCF Program Director, School of Mathematics, Georgia Institute of Technology, Atlanta, Georgia, 30332-0160, USA. (404) 894-4311, kertz@math.gatech.edu , http://www.qcf.gatech.edu
ILLINOIS INSTITUTE OF TECHNOLOGY
Masters of Science in Financial Markets (MSFM)
DESCRIPTION: Masters program in financial markets with a concentration in Financial Engineering and Programming (FEP)
PROGRAM SIZE: 100 students in MSFM program, 25 students in FEP program, 4 full time faculty, and 20 adjunct faculty.
DURATION AND DEGREES: Program takes 15 months. Degree awarded is Master of Science in Financial Markets
AREAS OF SPECIALIZATION: Concentrations in 9 areas including Financial Engineering and Programming, Fixed Income Markets, Trading, Portfolio Management, and Equity Markets.
TYPICAL GRADUATE CAREER PATHS: Quantitative Analysis and Risk Management among many.
PREREQUISITES AND ENTRY PROCESS: Must have a bachelors degree and GMAT or GRE exam results. Application available on the website.
UNIQUE FEATURES: Our MS program was the first graduate degree relating to modern capital markets. Our faculty includes former executives from Chicago's largest exchanges and investment banks.
CONTACT INFORMATION: Ben Van Vliet, Center for Law and Financial Markets, Illinois Institute of Technology, 565 West Adams Street, Chicago, IL 60661 USA. Phone: (312) 906-6513. E-mail: bvanvliet@clfm.iit.edu, http://www.clfm.iit.edu
KENT STATE UNIVERSITY
Master of Science in Financial Engineering (MSFE)
DESCRIPTION: The interdisciplinary Master of Science in Financial Engineering (MSFE) is awarded by the Departments of Finance and Mathematics at Kent State University. It is designed for students with a strong quantitative background with the goal of becoming risk management officers or traders. The program is a demanding one requiring the fulfillment of 36 credit hours of coursework, including an industry-based project. It combines the strengths of strong quantitative skills from mathematics, including probability and numerical computing, joined with risk management and valuation skills from finance. The program emphasizes applied skills in financial engineering, while still providing a necessary theoretical background. The suggested coursework fits within the guidelines established by the International Association of Financial Engineers.
PROGRAM SIZE: Kent State's MSFE is designed for 25 full-time students. The program will welcome its first class in September 2002.
DURATION AND DEGREES: This program is one calendar year in duration, with coursework beginning in September and continuing through the summer months.
AREAS OF SPECIALIZATION: The MSFE coursework has been developed based on industry input from the major investment banking firms in New York and Chicago. The courses are geared to provide students with a blend of applied skills and theory. The program includes 21 credit hours in finance, 3 credit hours in economics and 12 hours in mathematics. The final modeling course provides a synthesis of previous coursework by modeling an "industry assigned" project.
TYPICAL GRADUATE CAREER PATHS: Graduates of the MSFE program can expect to obtain positions with financial institutions, utilities, major corporations, the government and the financial markets themselves.
PREREQUISITES AND ENTRY PROCESS: Students seeking an MSFE from Kent State University apply to the Graduate School of Management. Applicants will need to submit GRE or GMAT scores, three letters of recommendation, a resume, official transcripts and statement of goals and objectives, along with a one-page application form and nonrefundable processing fee of $30. Test of English as a Foreign Language (TOEFL) may also be required. Interested candidates may also apply online at http://business.kent.edu/msfe The deadline for applications for the MSFE program is July 15. Note for International Students: International students must obtain an International Student Application from the Graduate School of Management or International Admissions Office at (330) 672-2444. Quantitative prerequisites for students applying to the program include very specific knowledge/ competencies in calculus, linear algebra, ordinary differential equations, probability, statistics and computer programming. Please see http://business.kent.edu/MSFE/pre-requisites.asp for more specific information. For candidates with specific quantitative deficiencies, summer workshops and courses are available. Contact the Graduate School of Management or program director for more information regarding these prerequisites.
ASSOCIATED PROGRAMS: Kent State University offers an M. B. A. and Ph. D. in business and master's and doctoral degrees in mathematics.
UNIQUE FEATURES: Faculty for the MSFE program offer a blend of both industry experience along with high levels of academic scholarship. A Master's project will be assigned to students as part of a required field experience that will involve direct discussions with a contributing firm. A high-level trading floor comparable to those found at the leading financial institutions is planned as an integral part of the MSFE program. This trading floor will allow students to simulate real trading environments with its planned access to the major exchanges training systems. Using the same data feeds and trading software used by major investment banking firms will allow students to replicate trading strategies and derivative security analysis.
OTHER INFORMATION: This is a new program. We look forward to welcoming our first class of MSFE students in September 2002.
CONTACT INFORMATION: Dr. Mark E. Holder, assistant professor of finance and director, Master of Science in Financial Engineering, Graduate School of Management, P. O. Box 5190, Kent State University, Kent, OH 44242-0001 USA. Phone:( 330) 672-2282. Email: MSFE@kent.edu, http://business.kent.edu/msfe
MASSACHUSETTS INSTITUTE OF TECHNOLOGY
The Financial Technology Option (FTO)
DESCRIPTION: The Financial Technology Option (FTO) Certificate program is designed to produce business leaders trained in both technology and finance. Pursued concurrently with an MIT graduate degree program, the FTO equips students with the knowledge and skills necessary to apply the latest financial theories and technologies in a variety of contexts within the financial services industry.
PROGRAM SIZE: Thirty-eight students were enrolled in the FTO in 2001-2002, the first full year of the program. The program is expected to expand to approximately 50 students following the admission in August 2002 of the next round of applicants. Ten faculty are currently affiliated with the program.
DURATION AND DEGREES: The FTO is a certificate program design to be pursued concurrently with an MIT graduate degree program. The target audience includes Ph. D. students in engineering and other technology related fields, MBA students, and Ph. D. students in Financial Engineering. A Certificate of Participation is awarded to students who satisfy the eight subject requirements. The length of the program is flexible and is based primarily on the student's graduate degree program schedule. The Certificate is awarded when the student receives the graduate degree diploma.
AREAS OF SPECIALIZATION: Derivatives pricing, portfolio management, risk management, financial optimization, financial systems infrastructure (databases, networks, telecommunications), and trading technology.
TYPICAL GRADUATE CAREER PATHS: Investment management, proprietary trading, treasury operations, risk management, commercial banking, investment banking, marketing, accounting, insurance, venture capital, and management consulting.
PREREQUISITES AND ENTRY PROCESS: Applicants to the FTO must be enrolled in a graduate degree program at MIT; the FTO requirements are pursued concurrently with the degree program requirements. Applicants must carry a minimum GPA of 4.3 (out of 5.0). Graduate students from any graduate department at MIT are eligible to apply. The majority of FTO students major in an engineering discipline, management and finance, or other related technology fields.
ASSOCIATED PROGRAMS: The MBA program track in Financial Engineering; offered by the MIT Sloan School of Management.
UNIQUE FEATURES: Prof. Andrew W. Lo, co-chair of the FTO program and director of MIT's Laboratory for Financial Engineering, is a 2002 recipient of a Guggenheim Fellowship. Prof. Lo's other awards include the 2001 IAFE/ Sungard Financial Engineer of the Year Award, Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, and awards for teaching excellence from both the University of Pennsylvania Wharton School of Business and from MIT.
OTHER INFORMATION: The FTO program is made possible by the very generous support of the Merrill Lynch/ MIT Partnership, a multi-year strategic collaboration. This joint initiative has resulted in rich educational and research opportunities for current and future global business leaders and entrepreneurs.
CONTACT INFORMATION: Debra A. Luchanin, Assistant Director, FTO Program, bldg. E56-390, MIT, 28 Memorial Drive, Cambridge, MA 02142. (617) 452-2790. http://web.mit.edu/fto/
OKLAHOMA STATE UNIVERSITY
Master of Science in Quantitative Financial Economics
DESCRIPTION: Finance, Economics, Mathematics and Statistics coursework comprising the MSQFE Program is designed to enable students to participate in the decision processes and develop solution techniques for applications encountered in current and future financial environments. The program focuses on the analytical methods necessary for effective participation in the fields of risk management and financial engineering.
PROGRAM SIZE: The MSQFE Program has 31 students split between the class admitted Fall 2001 and the class admitted for Fall 2002. The MSQFE Program utilizes faculty teaching/ research expertise from the Finance, Economics, Mathematics, Statistics and Agricultural Economics Departments at Oklahoma State University.
DURATION AND DEGREES: The MSQFE Program requires completion of 11 courses that are typically spread over two school years. Students completing the MSQFE program earn a Master of Science of Quantitative Financial Economics.
AREAS OF SPECIALIZATION: The MSQFE program capitalizes on the unique combination of skills and interests of Oklahoma State University faculty. The Finance Department has an evolving expertise in the functional areas central to MSQFE. The recent gift of a trading floor by the Dynegy Company provides a unique environment in which to carry out the program's instruction and research. The Williams Institute of Quantitative Finance, funded through a gift by the Williams Companies, promotes the development and dissemination of quantitative financial applications. Dr. Craig Pirrong is the Watson Family Chair in Risk Management, and is recognized internationally for his expertise in electricity pricing and energy derivatives. Dr. Ramesh Rao is the Paul C. Wise Chair of Finance, and is recognized for his expertise in corporate finance.
TYPICAL GRADUATE CAREER PATHS: The MSQFE Program is new. The first class of students was admitted in Fall of 2001. This group will graduate in May of 2003. Twenty-five students were admitted to the Program for Fall 2002. Students in the Program have received assistantships/summer internships from energy/commodity companies and quantitative investment advisors.
PREREQUISITES AND ENTRY PROCESS: To be admitted to the MSQFE Program, students must be graduates of a 4-year college or university and supply the Graduate College of Oklahoma State University with official transcripts. Students must submit either official GMAT (minimum total score 650) or GRE (minimum total score 1950) exam scores with their application to the MSQFE Program. Complete details on applying to the MSQFE Program and the Graduate College of Oklahoma State University can be found at our website.
ASSOCIATED PROGRAMS: Center for Risk Management, College of Business at Oklahoma State University, http://www.bus.okstate.edu/fin/riskmgmt/ Williams Institute of Quantitative Finance, College of Business Oklahoma State University, http://www.bus.okstate.edu/williams/ Ph. D. Finance, Department of Finance, Oklahoma State University, http://www.bus.okstate.edu/fin/dept/ Graduate Programs, College of Business Administration, Oklahoma State University, http://www2.bus.okstate.edu/
UNIQUE FEATURES: Dynegy Trading Floor is a unique learning environment. Relevant research and information sources with capabilities of studying dynamic financial processes. Craig Pirrong, Watson Family Chair of Commodity and Financial Risk Management and Director, Risk Management Center. Williams Institute of Quantitative Finance. A cooperative venture between the Williams Company of Tulsa Oklahoma and the College of Business at Oklahoma State University for the purpose of advancing understanding of quantitative finance issues in the academic and business communities. Center for Risk Management. A cooperative venture between the College of Business at Oklahoma State University and business partners for the purpose of producing/disseminating/applying cutting edge research in the area of risk management.
OTHER INFORMATION: 8 research assistantships funded by the Williams Companies of Tulsa Oklahoma are allocated through a competitive process to students in the MSQFE program. The College of Business also provides financial support for students in the Program.
CONTACT INFORMATION: Mendy Haskin, Coordinator, Williams Institute for Quantitative Finance, 112 College of Business, Stillwater, OK 74078. (405) 744-2801. haskinm@okstate.edu http://www.bus.okstate.edu/msqfe/
OREGON HEALTH & SCIENCE UNIVERSITY
Master of Science in Computational Finance, OGI School of Science & Engineering
DESCRIPTION: OGI's Master of Science in Computational Finance is the world's only Financial Engineering program based in a Computer Science Department. Launched in Fall 1996, OGI's MSCF offers a carefully designed curriculum that seamlessly integrates essential topics in quantitative finance, applied mathematics, statistics and computing. Quantitative finance coursework includes investment analysis, portfolio management, derivatives pricing, financial time series and risk management. Many state-of-the-art topics are introduced, such as active portfolio management, credit risk, energy markets, behavioral finance, high frequency data and hedge fund strategies. OGI students receive rigorous training in financial mathematics, statistical analysis and computing and gain extensive experience with C++, MATLAB, S-PLUS, and BARRA On Campus.
PROGRAM SIZE: Students: 20 Full Time, plus 10 Part Time MSCF candidates. Faculty: OGI's MSCF program is unusual in that it features three highly regarded faculty whose teaching responsibilities are dedicated entirely to the Computational Finance program. A typical full time student takes 15 courses over 4 quarters, taught by 8 to 12 different professors. Approximately 20 OGI faculty and adjuncts teach required or elective courses of interest to MSCF students each year.
DURATION AND DEGREES: Duration: 12 Months (4 Quarters), September to August. Degree: Master of Science in Computational Finance
AREAS OF SPECIALIZATION: OGI's MSCF curriculum is distinguished by its emphases on computing and statistical analysis. The Finance Core courses include extensive project work in financial data analysis and computational model building. These are supported by rigorous courses in financial mathematics, statistics, programming and computer science. OGI's curriculum includes the standard topics of financial engineering, plus specialty course work in active portfolio management, energy and credit risk, high frequency data, hedge fund strategies, financial market behavior, statistical computing, financial time series, simulation, database systems, and machine learning.
TYPICAL GRADUATE CAREER PATHS: OGI MSCF graduates succeed at securing excellent positions in quantitative finance, software engineering and information systems. Financial industry career paths chosen have included risk management, derivatives modeling, quantitative asset management, energy markets, credit analysis, corporate treasury, venture capital, financial software, IT, hedge fund strategies, arbitrage and trading. See http://compfin.cse.ogi.edu/careers/ for more information and examples of alumni professional successes. Comments from MSCF graduates can be found at http://compfin.cse.ogi.edu/whatsaying.html
PREREQUISITES AND ENTRY PROCESS: Prerequisites include a bachelor's degree in science, engineering, mathematics, statistics, or a quantitative social science. Mathematical prerequisites are advanced calculus, linear algebra, and basic statistical inference. Familiarity with differential equations is recommended. Applicants should be fluent in at least one programming language.
ASSOCIATED PROGRAMS: OGIOs Master of Science in Computational Finance is the worldOs only financial engineering program offered by a Department of Computer Science. MSCF students can take relevant elective courses in various OGI programs, including computational finance, computer science, applied computing, probability and statistics, applied mathematics, engineering and management science. OGIOs Computational Finance program was founded in Fall 1996.
UNIQUE FEATURES: OGIOs Computational Finance program is an innovator. Launched in Fall 1996, it was one of the first MS programs in financial engineering, and is the world's only FE program offered by a Department of Computer Science. OGIOs MSCF features a mature and highly polished curriculum, with exceptional strength in computing and statistics. Professor John Moody, Program Director, has been nominated to serve as Co-Chair the IEEE Computational Intelligence in Financial Engineering conference (Hong Kong, March 2003). He was previously Program Co-Chair of the Computational Finance 2000 conference (London Business School).
OTHER INFORMATION: In developing the MSCF over the past six years, OGI faculty have solicited extensive input from leading industry practitioners and acted on extensive feedback from alumni. OGI has designed the MSCF curriculum to reflect these industry needs. As the world's only financial engineering program based in a computer sN: Ms. Shelly Charles, Program Administrator, Computational Finance Program, OGI School of Science & Engineering at OHSU, 20000 NW Walker Road, Beaverton, Oregon 97006 USA. (503) 748-1257. shelly@cse.ogi.edu and http://compfin.cse.ogi.edu/
POLYTECHNIC UNIVERSITY OF NEW YORK
Masters of Science in Financial Engineering (MSFE)
DESCRIPTION: Graduate programs that bring together three key areas: finance and related business disciplines, quantitative analysis (mathematics and statistics) and information technology (telecommunications and IT) to prepare quantitative based financial professionals and business focused IT professionals for the global financial services industry.
PROGRAM SIZE: Students: 185; Faculty: 12
DURATION AND DEGREES: MSFE : 2 years (full time) to 3 years (part time) which includes two track options: Capital markets or Financial technology management. In addition, advanced graduate certificates are available in Financial engineering (15 credits), Risk management (18 credits), and Financial technology management (18 credits).
AREAS OF SPECIALIZATION: Two tracks are available in the MSFE degree. The Capital Markets track is geared towards structuring and marketing complex financial products, developing sophisticated trading and risk management strategies and engineering solutions for a wide variety of complex financial problems faced by corporations, state and local governments. In the Financial Technology track, these individuals provide the critical bridge between the capital market personnel, the operations personnel and the technologists responsible for supplying the full range of technological support that is vital for the proper functioning of a modern financial marketplace. The effective management of these interfaces as a strategic partner is essential to maintain competitiveness in global markets.
TYPICAL GRADUATE CAREER PATHS: The Capital Markets track prepares graduate for positions in investment advisory firms, in financial risk management, on trading and arbitrage desks, in product structuring groups, in derivatives groups and in information technology firms that support the analytical decision-making and trading activities of financial institutions. The Financial Technology track is designed to prepare working professionals in financial services who aspire to a diverse range of information technology management careers. These professionals need a solid knowledge of financial products and the markets in which these products are transacted along with a sophisticated foundation in information technology, technology strategy, electronic business and innovation management.
PREREQUISITES AND ENTRY PROCESS: Microeconomics, Macroeconomics, Calculus I and II, Probability and Statistics, Exposure to a programming language, Knowledge of spreadsheets. Baccalaureate. GPA of 3.1 or higher and 80th percentile on GRE/ GMAT (example).
ASSOCIATED PROGRAMS: Master of Science in Management, and Master of Science in Computer Science.
UNIQUE FEATURES: The FE program offers students advanced on-line and lap-top accessible capability to complement and enhance overall learning. Such cutting-edge technology is employed particularly in the Capstone Financial Engineering Project Course, where FE students access our state-of-the-art Wireless Local Area Network (LAN) at 55 Broad St. With this unique and flexible platform, they experience the excitement and powerful educational benefits of an active "real life" trading floor. Moreover, the FE Program provides anytime/ anywhere access to Internet and web-based analytical tools, extending the FE learning experience far beyond the classroom.
OTHER INFORMATION: Professionals who graduate from our Program have a solid foundation in modern finance and state-of-the-art knowledge of financial instruments and markets, accounting and tax rules, and information technology. In other words, we prepare financial professionals with a broad knowledge base and strong specific skills to deal with real-world problems and develop creative and effective solutions. Several of our graduates are pursuing Ph. D. studies in Management Science, Operations Research and Finance at universities that include Stanford University and Columbia University.
CONTACT INFORMATION: Cheryl Robinson, Administrative Assistant, Financial Engineering Program, Polytechnic University, 6 Metrotech Center, Brooklyn, NY 11201 USA. http://www.fe.poly.edu
PRINCETON UNIVERSITY
Operations Research and Financial Engineering
DESCRIPTION: This is a department that offers programs in optimization, probability, statistics, and financial engineering. The programs blend mathematics and economics with engineering. The programs are geared for professional masters education; the doctoral program is more theoretical and research oriented.
PROGRAM SIZE: On an average year, the Department has 120 undergraduate students and 40 graduate. Of the graduate students, about 25 are in the PhD program, and 15 in the masters.
DURATION AND DEGREES: The Master in Engineering (M. Eng) is a one year degree. The Master of Science in Engineering (MSE) is a two year degree. The Doctor of Philosophy (PhD) takes four to five years.
AREAS OF SPECIALIZATION: Risk management, Optimization Under Uncertainty, Financial Mathematics, Pricing in Incomplete Markets, Weather Derivatives, and Mathematical Methods in Finance.
TYPICAL GRADUATE CAREER PATHS: Our graduates get positions in academia, investment banks and other financial institutions.
PREREQUISITES AND ENTRY PROCESS: A bachelor's degree in engineering, sciences, or mathematics is normally required for admission to the graduate program. Applicants should submit the results of the Graduate Record Examination (GRE). International students from non-English-speaking countries whose bachelor's degrees are not from an English-language institution should also submit the results of Test of English as a Foreign Language (TOEFL).
ASSOCIATED PROGRAMS: Master of Finance program offered through the Bendheim Center for Finance.
UNIQUE FEATURES: The program faculty have distinguished research records and many awards, especially in academic fields. Also, most of the faculty are associated with the Bendheim Center for Finance, which coordinates finance related activities at Princeton University.
CONTACT INFORMATION: Department of Operations Research and Financial Engineering, Room E-220, Engineering Quadrangle, Princeton University, Princeton, NJ 08544 USA. http://www.orfe.princeton.edu/
STANFORD UNIVERSITY
Finance and Economics
DESCRIPTION: This program is within the Department of Management Science & Engineering, Stanford University, offering M. S. and Ph. D. degree study. The program emphasizes solid conceptual principles and practical applications in a wide variety of areas. Of particular interest are issues in financial engineering and in business problems using real options and related techniques.
PROGRAM SIZE: The basic courses in Investment Science have enrollments of approximately 250 students. The finance and economics program has about 30 M. S. students and 12 Ph. D. students. The Department has 25 faculty of which approximately 6 are involved in the area.
DURATION AND DEGREES: Students in the Department can concentrate in the area. The M. S. degree requires 1 year of full-time study. The Ph. D. requires approximately 4 years.
AREAS OF SPECIALIZATION: Financial engineering, investment science, real options, optimization, probability, simulation, dynamic systems, decision analysis, and microeconomic theory.
TYPICAL GRADUATE CAREER PATHS: Academic appointments, Investment banking, management consulting in high-tech industry, principals in start-up companies, investment managers, policy analysts.
PREREQUISITES AND ENTRY PROCESS: Normal university admission. See web page for details.
ASSOCIATED PROGRAMS: Students typically take courses in the Stanford Graduate School of Business, the Mathematics Department, and the Economics Department as well as the Department of Management Science & Engineering.
UNIQUE FEATURES: Program director: Professor David G. Luenberger.
CONTACT INFORMATION: Lori Cottle, Degree Programs and Graduate Financial Support, Admissions, Management Science and Engineering, Terman Engineering Center, 3rd Floor, Stanford University, Stanford, California 94305-4026. lcottle@stanford.edu Phone: (650) 725-1633. http://www.stanford.edu/dept/MSandE/
UNIVERSITY OF CALIFORNIA AT BERKELEY
Haas School of Business, Master's in Financial Engineering (MFE)
DESCRIPTION: The Berkeley MFE provides its students with a one-year professional graduate program culminating in the degree of Master's in Financial Engineering, awarded by the Haas School of Business, UC Berkeley. The program trains future managers to employ sophisticated quantitative analysis, financial economics, and computer modeling concepts to solve real-world problems.
PROGRAM SIZE: The program accepts 60 students each year. The MFE faculty is drawn from the finest finance professors within the University of California system. At present that includes the full finance faculty at UC Berkeley, two professors from UCLA, and one from UC Irvine.
DURATION AND DEGREES: The program is 12 months in duration. Successful candidates receive a Master's in Financial Engineering, awarded by the Haas School of Business, UC Berkeley.
AREAS OF SPECIALIZATION: Corporate Finance and Financial Economics; Asset Pricing and Capital Markets; Derivatives Pricing and Markets; Risk Management; Computational Methods in Finance; Portfolio Construction and Dynamic Asset Allocation; Commodity and Real Options; Behavioral Finance; Securitized Asset Structures and Markets; Empirical Methods in Finance; Equity, Fixed Income and Currency Markets; and Case Studies in Financial Innovation
TYPICAL GRADUATE CAREER PATHS: Students enter careers with investment and commercial banks, insurance companies, financial consulting companies, investment management companies, corporate financial departments, and government. Beginning assignments include capital markets trading and trading support, risk management, project evaluation, securities design and pricing, financial consulting and litigation support, and portfolio man-agement.
PREREQUISITES AND ENTRY PROCESS: At a minimum, a bachelor's degree from an accredited institution, comparable to the bachelor's degree from Berkeley; a minimum of 3.0 GPA in upper division work; GMAT or GRE; a strong quantitative background, including, at a minimum, linear algebra, multivariate calculus, statistics and probability; sufficient training to undertake graduate study in the chosen field; three to five years business experience is desirable but not mandatory.
ASSOCIATED PROGRAMS: The MFE program is housed within Berkeley's Haas School of Business. MFE students enjoy the full support structure of this world-renowned MBA program. For students needing to refresh their mathematics skills, a pre-MFE 'Mathematical Foundation for Financial Engineers' course is offered.
UNIQUE FEATURES: The program is housed within the Haas School of Business affording students the complete environment and infrastructure the school's MBA program. The program includes a 10-week project orientated internship program. The faculty includes two former Presidents of the American Finance Association, one winner of the Financial Engineer of the Year Award given by the International Association of Financial Engineers, two editors in chief of top academic derivatives journals, four with their own published books on derivatives (which are used as texts in the courses). Each faculty member has a research record in a key area important to the program, for example, fixed income security pricing, numerical analysis for derivatives, mortgage-backed securities, risk management, the mathematics of continuous-time finance, option valuation, behavioral finance, accounting for derivatives, and real options, and the general economic theory of investments
OTHER INFORMATION: Students attending the MFE program live and work within the environment not only of a world-renowned business school, but also within the world's most distinguished school for graduate education, UC Berkeley.
CONTACT INFORMATION: Masters in Financial Engineering Program, Haas School of Business, University of California at Berkeley, 545 Student Services Building #1900, Berkeley, CA 94720-1900. Phone: (510) 642-4417. http://www.haas.berkeley.edu/MFE
UNIVERSITY OF MICHIGAN
Financial Engineering Program
DESCRIPTION: The Financial Engineering Program is an interdisciplinary program across School of Business Administration (Finance), College of Engineering (Electrical Engineering and Computer Science, Industrial and Operations Engineering) and the College of Literature, Science and the Arts (Economics, Mathematics, Statistics, Center for the study of complex systems). The program was established in 1997. Program goal is to develop individuals who will use the strong quantitative skills of advance mathematical modeling and computer technology to develop products and services for financial markets and service industry, insurance and risk management industry and industry conducting operations and information systems.
PROGRAM SIZE: Numbers: Students, 76; faculty associated with program, 17; alumni, 46.
DURATION AND DEGREES: The program may be completed within two to three terms. Degree Conferred: Master of Science in Financial Engineering
AREAS OF SPECIALIZATION: Capital markets, insurance/ risk management systems, and operations and information systems.
TYPICAL GRADUATE CAREER PATHS: Student completing the degree find careers in investment banking, managing mutual and hedge funds, in corporate finance, in energy companies, in government, in consulting, in finance technology companies, etc.
PREREQUISITES AND ENTRY PROCESS: Prerequisite for entry: Two years of college mathematics with training in multivariable calculus, differential equations and linear algebra. Two terms of calculus-based probability and statistics. Basic microeconomic theory/ time value of money/ interest. An introductory finance course. An introductory accounting course. Resume (average GPA-3.6), and GRE (average-1970) or GMAT (average-690) , plus three recommendation letters. Application information is available on the web page.
CONTACT INFORMATION: InterPro-Financial Engineering Program, University of Michigan, 1539 H. H. Dow , 2300 Hayward Street, Ann Arbor, MI 48109-2136. Phone: (734) 763-0480. http://interpro.engin.umich.edu/fep
INTERNATIONAL PROGRAMS
CITY UNIVERSITY OF HONG KONGMaster of Science in Financial Engineering
DESCRIPTION: The program emphasizes on sophisticated mathematical techniques, information technology and up-to-date knowledge in financial theory. It aims to equip participants with knowledge required to make sound and better financial decisions, and meet the challenges in fast developing financial industry.
PROGRAM SIZE: The program admits about 35 students each year. The Department of Economics and Finance has around 30 full time faculty.
DURATION AND DEGREES: This is a credit based program. The minimum credits needed to graduate is 30. The students have the flexibility to finish the program at their own paces. Typically, it takes two years of part-time study.
AREAS OF SPECIALIZATION: Pricing derivative securities, pricing interest rate derivatives, portfolio management, risk management, advanced mathematical finance, hand-on experience on numerical computation.
TYPICAL GRADUATE CAREER PATHS: Most of students are practitioners and managers in financial industry. Some of them are senior managers in financial firms and banks.
PREREQUISITES AND ENTRY PROCESS: Applicants must hold a recognized first or second class honors degree in business, science, or engineering, or equivalent, and have at least three years of post-qualification and/or professional experience in financial-related activities.
ASSOCIATED PROGRAMS: Department of Economics and Finance also offers Master of Science in Finance and Master of Science in Banking.
UNIQUE FEATURES: MS in Financial Engineering-Derivative, market microstructure, economic theory, international trade, industrial economics and Chinese economies are among the most prominent research areas in the Department of Economics and Finance.
CONTACT INFORMATION: School of Continuing and Professional Education, LG/ F, Academic Exchange Building, City University of Hong Kong Tat Chee Avenue, Kowloon, Hong Kong. Phone: (852) 2788-7088 http://www.cityu.edu.hk/ce/enrol/que
CITY UNIVERSITY BUSINESS SCHOOL - UK
Master of Science in Mathematical Trading and Finance (MTF)
Master of Finance, Economics & Econometrics (MFEE)
DESCRIPTION: The MTF program is designed to provide students who already possess excellent mathematical skills with a rigorous foundation in financial theory and practice to enable them to participate fully in this demanding market. The MFEE program is designed for those who have already gained a strong background in economics, finance, statistic or some quantitative science.
PROGRAM SIZE: The MTF is 50 students; the MFEE is 20 students
DURATION AND DEGREES: 12 months full-time, 2 years part-time (Both Masters degrees)
AREAS OF SPECIALIZATION: Mathematical Trading and Finance, and Finance, Economics, and Econometrics.
TYPICAL GRADUATE CAREER PATHS: For both degrees-Risk management, quan-titative finance, financial econometrics, forecasting, financial modeling, corporate finance, insurance, real estate, and investment management.
PREREQUISITES AND ENTRY PROCESS: Excellent first degree (2: 1 or above) or equivalent professional qualification. Tested English language competence (If English is not native language). GMAT (in some cases). Preferably some work experience (MSc MTF). Two references.
UNIQUE FEATURES: Our portfolio of 16 world-class specialist masters courses contains the strongest and largest academic grouping in Europe in the fields of risk management, insurance and actuarial science. The School's research is rated 5 (on a scale of 1 to 5) (2001 national Research Assessment Exercise) and the School's teaching achieved the near perfect score of 23 out of 24 in the 2001 national assessment of teaching quality.
OTHER INFORMATION: For the MTF: The growing importance of derivatives in trading, portfolio management and risk management has generated a need for professionals who are not only comfortable with the mathematical methods used in pricing these instruments, but are also able to understand the benefits and risks that the use of them entails. On joining the course, students become members of the International Association of Financial Engineers (IAFE), entitling them to receive the Association's journal, to attend its events and to network with its working members. Students are also given the opportunity to liaise with companies for short-term assignments or for their summer projects. For the MFEE: A deep understanding of economics, the techniques of financial analysis and econometrics are key to an accurate evaluation of events in financial markets and the successful management of risk. The MFEE degree will take you through those parts of recent macro-and microeconomic theory relevant to the analysis of financial markets as well as through advanced financial theory. A distinguishing feature of the MFEE degree is that it provides advanced training in econometric methods and their application to financial markets. MFEE students will leave with programming skills and the ability to undertake empirical research with financial market data, and this will greatly enhance their prospects in an industry, which demands quantitative skills from its staff.
CONTACT INFORMATION: Admissions Office, Specialist Masters Programme, City University Business School, Frobisher Crescent, Barbican Centre, London EC2Y 8HB, UK. For MTF enquiries, Email irmi@city.ac.uk For MFEE enquiries, Email biffee@city.ac.uk, http://www.business.city.ac.uk Phone: 44 (0) 20 7040 8680. Fax: 44 (0) 20 7040 8685.
DUBLIN CITY UNIVERSITY - IRELAND
Masters of Science in Investment and Treasury
DESCRIPTION: This two-year part-time program, designed jointly by Dublin City University, the Irish professional body, and the Irish financial industry association, provides advanced education in the conceptual frame-works, analytical tools, information sources and regulation relevant to investment and treasury management.
PROGRAM SIZE: 30 students, an average of three modules per semester.
DURATION AND DEGREES: Two years (four semesters).
AREAS OF SPECIALIZATION: All modules in this program are core. The emphasis is on the analytical tools required for work in this general area of financial services, namely investment and treasury management.
TYPICAL GRADUATE CAREER PATHS: Nearly all entrants are already working in, or are about to enter, jobs in financial service companies. They are in early-to-mid career stages. Completion of the M. Sc. in Investment and Treasury provides accelerated career development opportunities.
PREREQUISITES AND ENTRY PROCESS: Honours degree in business, or Honours degree other than in business, and currently employed in the financial services industry, or other qualifications (including professional qualifications) and at least three years of experience working in financial services.
UNIQUE FEATURES: There are a number of awards available to students on this program, including a prize for the best dissertation, offered by a local stock broking company, another for the best result in treasury management, awarded by the National Treasury Management Agency.
OTHER INFORMATION: This is a part-time program for people working in financial service companies. The classes take place two afternoons per week, and on Saturdays.
CONTACT INFORMATION: Masters of Science in Investment and Treasury, Dublin City University Business School, Prof. Liam Gallagher, Dublin City University, Dublin 9, Ireland. 00-353-1-7005265, Liam.Gallagher@dcu.ie http://www.dcu.ie/business/postgrad.html
ST. GALLEN -SWITZERLAND
Master in Quantitative Economics and Finance (MiQEF)
DESCRIPTION: MiQEF offers a graduate education in economics, quantitative methods, and finance. Its focus is on the application of well-understood methodology to practical problems. The program is research-oriented with high scientific standards and operates in an international setting. The language of instruction and examination is English.
PROGRAM SIZE: The program will start in October 2003 for the first time. No more than 30-40 students per year will be admitted in the program. There is a permanent faculty of seventeen professors in the economics department, nine of which will teach in the program.
DURATION AND DEGREES: The program comprises three semester. The Degree Conferred: A Master of Arts in Quantitative Economics and Finance (and lic. oec. HSG)
AREAS OF SPECIALIZATION: Students may choose to specialize in either economics or finance, or a combination of both. As students may also choose courses from a network of partner universities, there may be the option to specialise in econometrics. Possible fields of specialisation are for exam-ple derivative markets, asset pricing, empirical macroeconomics or applied microeconomics.
TYPICAL GRADUATE CAREER PATHS: After successful completion of the program, students become highly qualified economists with special skills in the area of quantitative methods and their application in economics and finance. Therefore, MiQEF prepares for careers that require special skills in economics, finance and quantitative methods. The demand for people with these skills is currently high and increasing by the day. Possible employers are international companies, insurance companies, banks, especially investment and central banks, national and international non-governmental organisations, consultancies focusing on economic policy and finance, public administration, economic research institutes, or universities (e.g., demanding PhD programs).
PREREQUISITES AND ENTRY PROCESS: Good Bachelor of Arts (BA), Bachelor of Science (BSc) or equivalent degree, curriculum vitae, authenticated copy of your high school leaving certificate, authenticated copy of your undergraduate degree, original transcript or mark sheet of your undergraduate degree, English language test if English is not your first language (TOEFL, IELTS), Graduate Record Examination (GRE), general test, two academic references. Decisions on admissions are made on the basis of academic merit and available places.
ASSOCIATED PROGRAMS: Master of Science in Quantitative Economics of the University of Frankfurt, Germany
UNIQUE FEATURES: Distinguished faculty.
OTHER INFORMATION: There will be the possibility of exchange terms within the Quantitative Economics European Network (QUEEN). The objective of QUEEN is to develop a high standard of education in quantitative economics, to share resources and to offer a common master's degree in quantitative economics which is complementary to the home degrees of the participating universities. The network will comprise a core of about 3-4 universities that offer a master's program in quantitative economics (in English) and that co-ordinate their activities.
CONTACT INFORMATION: Ms. Conny Wunsch, University of St. Gallen, Dufourstrasse 48, 9000 St. Gallen, Switzerland. Phone: 41 71 224 23 25, Fax: 41 71 224 22 98. E-Mail: miqef@unisg.ch, http://www.studium.unisg.ch/miqef
UNIVERSITY LAVAL - QUEBEC, CANADA
Master of Science in Financial Engineering (M. Sc. Fin. Eng.)
DESCRIPTION: By means of a rigorous curriculum of advanced courses in finance, mathematics, econometrics, numerical methods and computing, the program provides a deep understanding of global financial markets, instruments and institutions and sophisticated applications to the analysis and design of derivatives as well as to risk management.
PROGRAM SIZE: Number of students-4; Number of Faculty-13
DURATION AND DEGREES: 16-month program lNTRY PROCESS: At a minimum an undergraduate degree in a technical discipline such as engineering, mathematics, etc. or quantitative track in economics and business. Candidates without adequate background in mathematics, statistics and programming are required to take upgrading courses before entering the program.
ASSOCIATED PROGRAMS: Ph. D. Finance, MBA, Masters of Science Finance, Masters of Science Mathematics, MBA Management Science, Ph. D. Economics.
UNIQUE FEATURES: Combination of master and doctoral level courses in financial and asset pricing theories, econometrics, numerical methods and computer sciences.
OTHER INFORMATION: Modern laboratory equipped with large data banks (DataStream, etc.) and computing facilities. Substantial financial aid from the School of Business, the Department of finance and the Institut de finance mathematique de Montreal. Visit: http://www.fsa.ulaval.ca/seci/bourses, http://www.fsa.ulaval.ca/dept/fsa/bourse.htm, http://www.ifm2.uqam.ca/ifm2/bourses.htm
CONTACT INFORMATION: Direction des programmes de deuxieme cycle, Faculty des sciences de l'administration, University Laval, Quebec, (Quebec), G1K 7P4, Canada. Phone: (418) 656-7325. Fax: (418) 656-2624. Websites: http://www.fsa.ulaval.ca/formation/2ecycle/ and http://www.fsa.ulaval.ca/formation/2ecycle/programmes/msc/professionnel/ingfin/ E-mail: msc@fas.ulaval.ca
UNIVERSITY OF READING - UK
Masters of Science in Financial Engineering and Quantitative Analysis
DESCRIPTION: Masters programme in mathematical and quantitative financewith applications to financial engineering and risk management
PROGRAM SIZE: 18 students; 13 full-time staff; 7 adjunct staff.
DURATION AND DEGREES: 12 months, Masters of Science in Financial Engineering and Quantitative Analysis
AREAS OF SPECIALIZATION: Financial engineering, structured equity derivatives, and risk management.
TYPICAL GRADUATE CAREER PATHS: Hedge fund research, derivatives modeling, and financial analyst.
PREREQUISITES AND ENTRY PROCESS: First degree in mathematics, statistics, physics, engineering, economics and econometrics or any strongly quantitative discipline.
ASSOCIATED PROGRAMS: Quantitative Finance, Masters of Science in International Securities Investment and Banking, and Masters of Science in Risk Management Operations and Regulation.
UNIQUE FEATURES: Our faculty members include Professor Carol Alexander, author of Market Models: A Guide to Financial Data Analysis, Dr Harry Kat, author of Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, and Dr Salih Neftci, author of An Introduction to the Mathematics of Financial Derivatives.
CONTACT INFORMATION: MSc Admissions Co-ordinator, ISMA Centre, The University of Reading, PO Box 242, Reading , United Kingdom, RG6 6BA. 44 118 931 6299. applications@ismacentre.rdg.ac.uk , http://www.ismacentre.rdg.ac.uk
UNIVERSITY OF TORONTO - ONTARIO, CANADA
Master of Mathematical Finance
DESCRIPTION: A one-year professional masters program, with a four-month industrial internship. Courses are taught by faculty from all areas of the University, including Mathematics, Statistics, Computer Science, Economics, Engineering, and the Rotman School of Business. A series of workshops is taught by lecturers from the financial industry.
PROGRAM SIZE: 30 students, 10 faculty.
DURATION AND DEGREES: The 12-month program begins the third week of August. Courses run through December. The internship is January through April. Classes resume at the end of April and run through July. Degree is the Master of Mathematical Finance.
AREAS OF SPECIALIZATION: The general theme is the science of risk management and financial management, with mathematics as an essential component.
TYPICAL GRADUATE CAREER PATHS: Quantitative financial analysis in the broadest sense. Graduates are now working in investment banks and financial management firms, as well as insurance and software houses.
PREREQUISITES AND ENTRY PROCESS: Admission depends on mathematical background and work experience. Mathematics should be at the level of a bachelor's degree, including real analysis, linear algebra, and ordinary differential equations; grades and letters of recommendation should be strong. Some background in statistics and computer programming is also very useful. Work experience in the financial industry is not a formal requirement but is extremely useful; experience in related areas will be evaluated as appropriate.
ASSOCIATED PROGRAMS: Regular Master of Science and Ph. D. programs in mathematics, computer science, statistics, engineering, and actuarial science; MBA and PhD programs at the Rotman School of Management.
UNIQUE FEATURES: We have an unusual degree of breadth across the University, drawing on resources from all major academic units.
OTHER INFORMATION: Robert Almgren, Director
CONTACT INFORMATION: Mathematical Finance Program, University of Toronto, 21 Classic Avenue, Toronto, Ontario M5S 2Z3 Canada. Phone: (416) 946-5206. Address will change Fall 2002; see web page for latest information. http://www.math.toronto.edu/finance
UNIVERSITY OF THE WITWATERSRAND - JOHANNESBURG, SOUTH AFRICA
Programme in Advanced Mathematics of Finance
DESCRIPTION: Graduate programme in the mathematics of financial engineering. Fourth Year, Master's Degree and Doctoral studies may be undertaken.
PROGRAM SIZE: Fourth Year students: 45; Master's degree students: 7; Doctoral candidates: 1; Full-time faculty: 3; Part-time faculty: 1
DURATION AND DEGREES: Fourth year Programme, One year (full-time), Two years (part-time), Degree: BSc (Honours). Master's Programme: Two years (full-time), Four years (part-time) Degree: Masters of Science. Doctoral Programme: Three years (full-time), Degree: Ph. D.
AREAS OF SPECIALIZATION: Research has been conducted in most areas of applied and theoretical financial mathematics. Current areas of focus include port-folio optimisation and Levy processes.
TYPICAL GRADUATE CAREER PATHS: Most of our graduates have entered investment banking although some have actuarial undergraduate training and have been employed by insurance companies. The areas within investment banking have been varied but include quantitative research and development, risk monitoring and modeling, trading and allied support.
PREREQUISITES AND ENTRY PROCESS: Candidates for the Fourth Year of study must have a suitable undergraduate degree in one of the following areas: Mathematics, Applied Mathematics, Statistics or an Engineering discipline. Candidates for MSc studies must have a degree in Financial Mathematics (not Finance, not Economics). Candidates for PhD studies must have an MSc (or Master's) degree in Financial Mathematics.
OTHER INFORMATION: We are co-hosting an international conference in 2002. Mathematics in Finance, Berg-en-Dal, Kruger National Park, South Africa, 4 to 9 August, 2002, http://www.mif.up.ac.za/
CONTACT INFORMATION: Programme in Advanced Mathematics of Finance, School of Computational & Applied Mathematics, University of the Witwatersrand -Johannesburg, Private Bag 3, WITS, 2050 South Africa. (+ 27)-11-717-6104 http://www.cam.wits.ac.za/mfinance
UNIVERSITY OF WARWICK - UK
Masters of Science in Financial Mathematics
DESCRIPTION: One year full-time programme providing a thorough and stimulating preparation for careers in financial institutions, in financial engineering, risk or investment management, or corporate finance. The Master of Science in Finacial Mathematics is run jointly by the following Departments at the University of Warwick: Warwick Business School, the Mathematics Institute, the Department of Statistics and the Department of Economics. All were awarded the highest ratings for research of national and international excellence in the 1996 Research Assessment Exercise.
PROGRAM SIZE: There are 40 places available on the Programme each year.
DURATION AND DEGREES: One year full-time degree conferred as a Masters of Financial Mathematics (Or Diploma after 9 months).
AREAS OF SPECIALIZATION: The programme aims to develop problem solving skills in financial engineering using techniques of stochastic analysis, numerical methods and programming, and econometrics and time series analysis. Units on economics and optimisation taught specially for this programme give it a broader focus than many other computational finance programmes.
TYPICAL GRADUATE CAREER PATHS: Includes careers in Financial engineering, risk management, investment management, corporate finance, and academic/doctoral studies.
PREREQUISITES AND ENTRY PROCESS: Applicants should have (or expect to obtain) a first or upper-second class honours bachelor's degree from a British university, or equivalent from an overseas university. Applicants require a strong quantitative background in mathematics, science or engineering.
ASSOCIATED PROGRAMS: Master of Science in Economics and Finance.
UNIQUE FEATURES: The Programme benefits from its proximity to the Financial Operations Research Centre, also directed by Professor Stewart Hodges who is the Programme Director. About a third of the students each year undertake projects for financial institutions.
OTHER INFORMATION: Programme design and orientation are informed by teaching faculty in close contact with the financial community through consultancy and research.
CONTACT INFORMATION: Miss Katherine Davies. Programme Secretary, MSc Financial Mathematics, Mathematics Institute, University of Warwick, Coventry CV4 7AL United Kingdom. Phone: 44( 0) 24 7652 4246, Fax: 44( 0) 24 7652 4182, E-mail: postgrad@ maths.warwick.ac.uk, http://www.wbs.warwick.ac.uk/students/masters
UNIVERSITY OF YORK - ONTARIO, CANADA
Financial Engineering
DESCRIPTION: This program is of interest to students with strong quantitative backgrounds in economics, mathematics, statistics, computer science, science and engineering. Financial Engineering is a Collaborative Diploma Program between the Schulich School of Business, the Faculty of Arts' Department of Mathematics & Statistics and supported by the Department of Computer Science. The Schulich School of Business also offers Financial Engineering courses as an MBA Specialization or a Post-MBA Certificate in Advanced Management.
PROGRAM SIZE: Current enrolment is 35 students. Faculty teaching FinEng Courses -5. Total Associated Faculty with Financial Engineering research and interests -14
DURATION AND DEGREES: The program is completed concurrently with either an MBA degree or an MA in Mathematics and Statistics. A Diploma in Financial Engineering is conferred along with the degree earned. Taken concurrently with the MBA degree the Diploma can normally be earned in 5 school terms. Taken concurrently with the MA degree the Diploma can earned in 4-5 school terms.
AREAS OF SPECIALIZATION: Financial Engineering graduates will have theoretical knowledge and specialized skills to develop new financial instruments and to understand the role of financial instruments within the broader economic and business contexts. Graduates will find career opportunities in the financial industry with banks, investment firms, brokerage houses and other financial institutions, as well as risk management departments of large corporations and consulting firms. The Financial Engineering Training includes 3 core courses in Financial Instruments and 4 additional courses, in Programming, Numerical Analysis and Mathematical Finance. Graduates must also complete a 10-week internship or research project.
TYPICAL GRADUATE CAREER PATHS: Graduates will work in Financial Institutions, Insurance Companies, Banks, Brokerage Houses, or Risk Management and Consulting Companies
PREREQUISITES AND ENTRY PROCESS: All candidates for this program must be approved by the Program Director based on (1) undergraduate degree, usually in Engineering, Mathematics or Economics, and (2) successful completion of most of the following undergraduate courses: Microeconomics, Calculus 1 & 2 -single and several variables, Statistics and Probability, Linear Algebra, Foundations of Computer Science.
ASSOCIATED PROGRAMS: MBA degree in Finance, MA degree in Mathematics and Statistics, and MA degree in Economics.
UNIQUE FEATURES: Senior Faculty that are teaching in the program: W. Cook, Associate Dean of Research, Professor of Management Science, E. Prisman, Program Director -Nigel Martin Chair in Finance, Professor of Finance, and T. Salisbury, Chair, Dept of Math and Stat, Professor of Mathematics and Statistics. The faculty associated with the FinEng program have been active in researching and publishing in leading journals in the field. The research interests of the faculty include: Mathematical financial economics; exotic option pricing, insurance derivatives, Methodological and commercial use of symbolic computation for financial models; tax effects in the derivative and fixed income markets; arbitrage models; fixed income securities term structure estimation and immunization, Brownian motion, Markov processes and its implication to financial markets, Value and incentive effects of executive stock options, pricing and efficiency of exchange-traded funds, subordinated binomial option pricing models, weather derivatives; general equilibrium asset pricing, Continuous Time and Discrete Time Asset Return Models, including Ito diffusion processes, jump-diffusion processes, stochastic volatility processes and ARCH/ GARCH processes; Modeling of Term Structure Dynamics of Interest Rates and Exchange Rate Dynamics; Risk Measurement and Management. New computer software and specialized textbooks for this field have been created specifically for the Financial Engineering Program at Schulich.
OTHER INFORMATION: The Internship is an important part of the Financial Engineering Program. It is a minimum 10-week placement in an employment position. It is the opportunity for a qualified Graduate in this field of study to perform the required tasks of an employment position as a regular employee.
CONTACT INFORMATION: Schulich School Of Business, York University, 4700 Keele Street Toronto, ON M3J 1P3 Canada. Information: (416) 736-5690 or fnen@schulich.yorku.ca Admissions: (416) 736-5060 or admissions@schulich.yorku.ca (MBA). Admissions@yorku.ca (MA). http://www.yorku.ca/fineng