Univ of Southern California
University of Southern California
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Mathematical Finance

Kaprielian Hall 104
(213) 740-2400
FAX: (213) 740-2424
Email: njamison@usc.edu

Director: Jin Ha, Ph.D. (Mathematics)

Codirector: Michael Magill, Ph.D. (Economics)

Staff Contact: Nicole Jamison

Minor in Mathematical Finance

This interdisciplinary minor was created for students in business, economics and mathematics, whose majors already require some of the introductory course work. Students in other programs are welcome but should expect the minor to require more units than it does for students in these programs. For more information, see Interdisciplinary Programs.

Progressive Degree Programs in Mathematics

See Mathematics for progressive degree requirements.

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.

Admission Requirements
Refer to the Requirements for Graduation and the Graduate School section for general regulations. All applicants must take the GRE General Test. Complete transcripts of undergraduate and any graduate level 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 to the program. An undergraduate knowledge of microeconomics and of macroeconomics, and partial differential equations is helpful, although it is not required for admission. Some experience in Matlab and C/C++ programming is also useful.

Foreign Language Requirement
There is no foreign language requirement.

Course Requirements
Thirty units of course work are required, six core courses and four to five elective courses. Students are required to satisfy a summative experience for degree completion. This will be in the form of registration in 1 unit of MATH 590 Directed Research with a summative report at the end of the term. Topics of research will be determined by the program director. The program consists of:

Required Core Courses (6 courses, 18 units)Units
Mathematics and Mathematical Finance:
MATH 530abStochastic Calculus and Mathematical Finance3-3
MATH 512Financial Informatics and Simulation (Computer Labs and Practitioner Seminar)3
MATH 590Directed Research1

Financial Economics and Econometrics:
ECON 613Economic and Financial Time Series4
ECON 659Economics of Financial Markets I4

Elective Courses (4 courses, 12 units)Units
Computational and Empirical Finance (must take at least 2 courses)*:
FBE 535Applied Finance in Fixed Income Securities3
FBE 554Trading and Exchanges3
FBE 555Investment Analysis and Portfolio Management3
FBE 559Management of Financial Risk3
FBE 589Mortgages and Mortgage-Backed Securities and Markets3
(FBE 555 highly recommended)

MATH 541abIntroduction to Mathematical Statistics3-3
MATH 543LNonparametric Statistics3
MATH 547Methods of Statistical Inference3

Numerical/Optimization/Other Methods*:
MATH 501Numerical Analysis and Computation3
MATH 502abNumerical Analysis3-3
MATH 504abNumerical Solution of Ordinary and Partial Differential Equations3-3
MATH 505abApplied Probability3-3
MATH 508Filtering Theory3
MATH 509Stochastic Differential Equations3
MATH 585Mathematical Theory of Optimal Control3

Computational and Financial Economics:
ECON 614Economic and Financial Time Series II4
ECON 652Economics of Financial Markets II4
PM 511abData Analysis4-4

Prerequisites for any of the above courses can be waived based on students’ knowledge of the subject area. Approval from the program director is required.

*The elective courses in statistics/numerical/optimization/other methods and computational and empirical finance have to be approved for each student by the program directors. Other electives, not on this list, may sometimes be approved after consultation with program directors.