PDF version of this chapterMathematical Finance
Denney Research Center 141
(213) 740-2400
FAX: (213) 740-2424
Email: info@math.usc.edu
Director: Alexander Tartakovsky, Ph.D. (Mathematics)
Academic Supervisors: Jaksa Cvitanic, Ph.D. (Mathematics); Michael Magill, Ph.D. (Economics)
Staff Contact: Amy Yung
Master of Science in Mathematical Finance
The objective of this master of science program is to produce graduates with a rigorous foundation in the economic theory and mathematical modeling of financial markets. The program creates an integrated curriculum spanning four disciplines: economics, mathematics, econometrics/statistics and computational/numerical analysis. The program is designed for recent graduates in the fields of applied mathematics, physics and engineering -- or for graduates in economics, business and finance with strong mathematical backgrounds -- who wish to pursue high-tech finance careers in financial institutions, industry or government. The program should also be attractive to gifted undergraduates who are able to complete a combined B.A./M.S. degree with a specialization in financial mathematics in five years.Admission Requirements
Refer to the Requirements for Graduation section and the Graduate School section of this catalogue for general regulations. All applicants must take the GRE General Test. Complete transcripts of undergraduate and any graduate courses are required, as well as a statement of purpose and three recommendation letters. A substantial undergraduate background in mathematics is required, which should include one semester of real analysis or advanced calculus, one semester of linear algebra, and one semester of advanced probability/statistics. Candidates with weaker backgrounds may be required to take mathematics classes prior to admission in the program. An undergraduate knowledge of microeconomics, macroeconomics and partial differential equations is helpful, although it is not required for admission. Some experience in Matlab and C/C++ programming is also helpful.Foreign Language Requirement
There is no foreign language requirement.Course Requirements
Thirty units of course work are required. In addition, students are required to pass a written examination covering material from ECON 614, ECON 652 and MATH 503.The program consists of: Financial Economics and Econometrics with a minimum of 12 units -- ECON 613 (4), ECON 614* (4), ECON 652* (4), ECON 659 (4); Theory of Stochastic Processes with six required units -- MATH 503 (3), MATH 506 (3); Statistics with a minimum of three units -- ECON 614* (4), MATH 508* (3), MATH 541ab* (3-3), MATH 542L* (3), MATH 543L* (3), MATH 547* (3), MATH 650* (3), PM 544L* (3); Numerical/Optimization Methods with a minimum of three units -- MATH 458* (4), MATH 501* (3), MATH 502ab* (3-3), MATH 504ab* (3-3), MATH 585* (3), PM 520L* (3); Computational and Empirical Finance with a minimum of six units -- ECON 695* (4), MATH 512* (3), MATH 590* (1-12), FBE 535* (3), FBE 554* (3), FBE 555* (3); FBE 589* (3), FBE 599* (1-3)
Courses without asterisks are required. Courses with an asterisk are electives and have to be approved for each student by the program advisors. Other electives might be approved by the advisors.