Program Requirements and Schedule

  • All students choosing this track must take the following:

     

    • Core financial mathematics requirements (2 courses)

    EN.553.644 Introduction to Financial Derivatives

    EN.553.645 Interest Rate and Credit Derivatives

    • Core applied mathematics requirements (3 courses)

    EN.553.613 Applied Statistics and Data Analysis

    EN.553.627 Stochastic Processes and Applications to Finance

    EN.553.639 Time Series Analysis

    Of the electives –

      • One elective must be in Applied Mathematics and Statistics
      • Two electives must be in Financial Mathematics
      • Four additional electives should be from the approved electives listing and can be Financial Mathematics, Applied Mathematics and Statistics or another approved elective.

    Selection of electives must be done with advisor and Program Director approval. We have outlined suggested electives based on Financial Area of Focus that would align with the specific areas of interest. The courses denoted with an asterisk (*) would be a required course within the specified area of focus. Students are required to take a minimum of 2 Financial Mathematics electives and 1 Applied Mathematics and Statistics Elective. They could then chose the remaining 4 required electives from the list of approved electives. If a student wishes to have a course considered that is not on the approved elective lists they must submit the course details to their Faculty Advisor or the Academic Program Coordinator and the material will be reviewed and the committee will determine if the course could be used to satisfy the program requirements.

    • Other Required Courses/Training:
      • Financial Mathematics Masters Seminar
      • Computing requirement (Financial Computing Workshop)
      • Communication skills requirement (Communication Skills Practicum, which includes Fall/Spring courses)
      • Internship (typically done during summer after first year in residence)
      • Every student must complete training on the responsible and ethical conduct of research. (Please see WSE Policy on the Responsible Conduct of Research.)
      • Every student must complete training on academic ethics.

     

    Students may wish to follow one of the approved Area of Focus plans below:

    RISK MANAGEMENT

      • EN.553.633 Monte Carlo Methods
      • EN.553.643 Financial Computing in C++ or EN.553.688 Financial Computing I
      • EN.553.646 Risk Management*
      • EN.553.647 Quantitative Portfolio Theory & Performance Analysis
      • EN.553.649 Advanced Equity Derivatives
      • Plus two appropriate, approved electives

    ASSET MANAGEMENT

      • EN.553.641 Equity Markets and Quantitative Trading
      • EN.553.642 Investment Science*
      • EN.553.643 Financial Computing in C++ or EN.553.688 Financial Computing I
      • EN.553.646 Risk Management
      • EN.553.647 Quantitative Portfolio Theory & Performance Analysis
      • EN.553.661 Optimization in Finance
      • EN.553.749 Advanced Financial Theory

    DERIVATIVES

      • EN.553.633 Monte Carlo Methods*
      • EN.553.628 Stochastic Processes & Applications to Finance II
      • EN.553.643 Financial Computing in C++ or EN.553.688 Financial Computing I
      • EN.553.648 Financial Engineering and Structured Products
      • EN.553.649 Advanced Equity Derivatives
      • EN.553.749 Advanced Financial Theory
      • EN.553.753 Commodities & Commodity Markets

    QUANTITATIVE TRADING/ALGORITHMIC TRADING/HIGH FREQUENCY TRADING

      • EN.553.636 Data Mining
      • EN.553.641 Equity Markets and Quantitative Trading*
      • EN.553.643 Financial Computing in C++ or EN.553.688 Financial Computing I
      • EN.553.661 Optimization in Finance
      • EN.553.730 Statistical Theory
      • EN.553.632 Bayesian Statistics
      • EN.553.740 Machine Learning

    FIXED INCOME & COMMODITIES

      • EN.553.628 Stochastic Processes & Applications to Finance II
      • EN.553.642 Investment Science*
      • EN.553.643 Financial Computing in C++ or EN.553.688 Financial Computing I
      • EN.553.646 Risk Management
      • EN.553.648 Financial Engineering and Structured Products
      • EN.553.753 Commodities & Commodity Markets
      • Plus one appropriate, approved elective
  • All students in the program choosing this track must take the following:

    • Core financial mathematics requirements (2 courses)

    EN.553.644 Introduction to Financial Derivatives

    EN.553.645 Interest Rate and Credit Derivatives

    • Core applied mathematics requirements (3 courses)

    EN.553.627 Stochastic Processes and Applications to Finance

    EN.553.613 Applied Statistics and Data Analysis

    EN.553.639 Time Series Analysis

     

    • Electives (7 courses)
      • One elective must be in Applied Mathematics and Statistics
      • Two electives must be in Financial Mathematics
      • Four additional electives should be from the approved electives listing and can be Financial Mathematics, Applied Mathematics and Statistics or another approved elective.

     

    • Other Required Courses/Training:
      • Financial Mathematics Masters Seminar
      • Computing requirement (Financial Computing Workshop)
      • Communication skills requirement (Communication Skills Practicum, which includes Fall/Spring courses)
      • Internship (typically done during summer after first year in residence)
      • Every student must complete training on the responsible and ethical conduct of research. (Please see WSE Policy on the Responsible Conduct of Research.)
      • Every student must complete training on academic ethics.
  • The program is designed to be completed by students in three semesters. It will begin with a late-summer orientation session and proceed through three successive semesters, utilizing the winter intersession of the first year and the summer prior to the last semester, for an internship with industry.  Students can opt to complete their degree requirements by following two various tracks.

    The Program includes the completion of the following formal requirements depending on track selected. A more detailed discussion of each item is provided.

     

    • Core financial mathematics requirements (4 courses, 553.64X)

    EN.553.642 Investment Science
    EN.553.644 Introduction to Financial Derivatives
    EN.553.645 Interest Rate and Credit Derivatives
    EN.553.648 Financial Engineering and Structured Products or EN.553.646 Risk Measurement/Management in Financial Markets

    • Core applied mathematics requirements (5 courses, excludes 553.64X)

    EN.553.627 Stochastic Processes and Applications to Finance
    EN.553.633 Monte Carlo Methods
    EN.553.613 Applied Statistics and Data Analysis
    EN.553.639 Time Series Analysis
    EN.553.661 Optimization in Finance

    Of the electives –

    • One course in Applied Mathematics and Statistics
    • One course in Financial Mathematics
    • One additional course with prior program approval

     

    Other Required Courses/Training:

    • Financial Mathematics Masters Seminar
    • Computing requirement (Financial Computing Workshop)
    • Communication skills requirement (Communication Skills Practicum, which includes Fall/Spring courses)
    • Internship (typically done during summer after first year in residence)
    • Every student must complete training on the responsible and ethical conduct of research. (Please see WSE Policy on the Responsible Conduct of Research.)
    • Every student must complete training on academic ethics.

     

    The LEGACY TRACK requirements will normally be completed according to the following schedule:

    Prior to Fall Semester of Year I (2 weeks)

    Orientation Program

    Fall Semester of Year I

    EN.553.627 Stochastic Processes and Applications to Finance
    EN.553.633 Monte Carlo Methods
    EN.553.642 Investment Science
    EN.553.644 Introduction to Financial Derivatives
    EN.553.847 Financial Mathematics Masters Seminar

    Winter Intersession (2 weeks)

    Financial Computing Workshop

    Spring Semester of Year I

    EN.553.639 Time Series Analysis
    EN.553.645 Interest Rate and Credit Derivatives
    EN.553.648 Financial Engineering and Structured Products (**optional, see below)
    Elective 1
    EN.553.847 Financial Mathematics Masters Seminar

    Summer after Year I

    Internship

    Fall Semester of Year II

    EN.553.613 Applied Statistics and Data Analysis
    EN.553.646 Risk Measurement/Management in Financial Markets (**optional if EN.553.648 was already taken, see below)
    EN.553.661 Optimization in Finance
    Elective 2
    Elective 3
    EN.553.847 Financial Mathematics Masters Seminar

     

    **Students must take either EN.553.646 or EN.553.648 to fulfill their core requirements. If both courses are taken, one of them can count as a Financial Mathematics Elective.

  • Learning Objectives for Financial Mathematics Master’s students:

    1. Gain knowledge of financial markets and asset classes, how markets are regulated, how they are structured and operate
    2. Gain knowledge of investments, portfolios, asset allocation, risk management
    3. Gain knowledge of how financial derivatives are modeled and valued
    4. Gain an ability for areas of applied mathematics that are most useful in real financial application (statistical analysis, time series analysis, optimization, Monte-Carlo methods, stochastic processes)
    5. Develop communications skills
    6. Develop computational skills
    7. Gain insight as to how this knowledge and these skills integrate in the workplace environment
  • ADVISING

    The primary source of advice and counseling about a student’s progress is the faculty advisor.

    When a student first enters the department, the student is assigned an academic advisor.  The academic advisor assists the student in selecting courses and other administrative tasks, and provides general career guidance.

     

    EVALUATION

    The department conducts semi-annual reviews of all graduate students, and notifies each student in writing of any concerns.

    At the end of each academic semester, faculty instructors for each of a student’s courses (even those outside the department) are asked to complete a written evaluation of the student’s performance.  If a student is a teaching assistant, the supervising faculty member is asked for a written performance evaluation also.

    A full-time master’s student who fails, in a given semester, to receive a grade of B- or better in at least two courses in their master’s program will be placed on Academic Probation. For a full-time master’s student on Academic Probation, failure to pass at least two courses with a B- or better in their master’s program is grounds for dismissal. Also, in any given semester, whether or not a student is on Academic Probation, they may be dismissed if they do not receive any grades of B- or better in their master’s program.

     

 

 

 

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