Mathematical Finance
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 530ab | Stochastic Calculus and Mathematical Finance | 3-3 |
| MATH 512 | Financial Informatics and Simulation (Computer Labs and Practitioner Seminar) | 3 |
| MATH 590 | Directed Research | 1 |
| Financial Economics and Econometrics: |
| ECON 613 | Economic and Financial Time Series | 4 |
| ECON 659 | Economics of Financial Markets I | 4 |
| Elective Courses (4 courses, 12 units) | Units |
|---|
| Computational and Empirical Finance (must take at least 2 courses)*: |
| FBE 535 | Applied Finance in Fixed Income Securities | 3 |
| FBE 554 | Trading and Exchanges | 3 |
| FBE 555 | Investment Analysis and Portfolio Management | 3 |
| FBE 559 | Management of Financial Risk | 3 |
| FBE 589 | Mortgages and Mortgage-Backed Securities and Markets | 3 |
| (FBE 555 highly recommended) |
| Statistics*: |
| MATH 541ab | Introduction to Mathematical Statistics | 3-3 |
| MATH 543L | Nonparametric Statistics | 3 |
| MATH 547 | Methods of Statistical Inference | 3 |
| Numerical/Optimization/Other Methods*: |
| MATH 501 | Numerical Analysis and Computation | 3 |
| MATH 502ab | Numerical Analysis | 3-3 |
| MATH 504ab | Numerical Solution of Ordinary and Partial Differential Equations | 3-3 |
| MATH 505ab | Applied Probability | 3-3 |
| MATH 508 | Filtering Theory | 3 |
| MATH 509 | Stochastic Differential Equations | 3 |
| MATH 585 | Mathematical Theory of Optimal Control | 3 |
| Computational and Financial Economics: |
| ECON 614 | Economic and Financial Time Series II | 4 |
| ECON 652 | Economics of Financial Markets II | 4 |
| PM 511ab | Data Analysis | 4-4 |
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.
PDF reflects print version of the catalogue (beginning to East Asian Languages and Cultures)