Program Requirements and Schedule

  • 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.  Beginning Fall 2016 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.

    LEGACY TRACK REQUIREMENTS

    ‘• Core financial mathematics requirements (4 courses, 550.44X/550.64X)

    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 550.44X/550.64X)

    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

    • Electives (3 courses)

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

    Financial Mathematics Masters Seminar

    Computing requirement (includes the Topics in Financial Computing Workshop)

    Communication skills requirement (includes the Intersession Communications Practicum and Fall/Spring Professional Communications courses as applicable)

    Summer Internship

     

    AREA OF FOCUS TRACK REQUIREMENTS

     

    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 (required)

    EN.553.645 Interest Rate and Credit Derivatives (required)

    • Core applied mathematics requirements (3 courses)

    EN.553.627 Stochastic Processes and Applications to Finance (required)

    EN.553.613 Applied Statistics and Data Analysis (required)

    EN.553.639 Time Series Analysis (required)

     

    • Electives (7 courses)

    One course in Applied Mathematics and Statistics
    Two courses in Financial Mathematics
    Four additional courses from the approved electives listing (can be Financial Mathematics, Applied Mathematics and Statistics or another approved elective)

    Financial Mathematics Masters Seminar

    Computing requirement (includes the Topics in Financial Computing Workshop)

    Communication skills requirement (includes the Intersession Communications Practicum and Fall/Spring Professional Communications courses as applicable)

    Summer Internship

     

    Selection of electives must be done with advisor 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.

    Every student must complete training on the responsible and ethical conduct of research, if applicable. (Please see WSE Policy on the Responsible Conduct of Research.)

    Every student must complete training on academic ethics.

    An overall GPA of 3.0 must be maintained in courses used to meet the program requirements. At most two course grades of C or C+ are allowed to be used, and the rest of the course grades must be B- or better.

    Substitutions and exceptions are permitted at the discretion of the Department Chair.

  • These 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
    Communications Skills Practicum

    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.550.647/EN.553.847 Financial Mathematics Masters Seminar

    Summer after Year I

    Internship

    Fall Semester of Year II

    EN.550.413/EN.553.613 Applied Statistics and Data Analysis
    EN.550.446/EN.553.646 Risk Measurement/Management in Financial Markets (**optional if EN.550.448/EN.553.648 was already taken, see below)
    EN.550.461/EN.553.661 Optimization in Finance
    Elective 2
    Elective 3
    EN.550.647/EN.553.847 Financial Mathematics Masters Seminar

     

    **Students must take either EN.550.446/EN.553.646 or EN.550.448/EN.553.648 to fulfill their core requirements. If both courses are taken, one of them can count as a Financial Mathematics Elective.

  • Students that might wish to pursue an area of focus track can use the below as suggested tracks.  Students would want to check the availability of the suggested courses in each area of focus each term.  Students may change their area of focus or do a custom program track.  Students will want to ensure that they have the required core and number of specific electives from Financial Mathematics and Applied Mathematics and Statistics accordingly.

    RISK MANAGEMENT

    EN.553.633 Monte Carlo Methods

    EN.553.643 Financial Computing in C++ or EN.553.488/EN.553.688 Financial Computing I

    EN.553.646 Risk Management* (required)

    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* (required)

    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.550.648/EN.553.648 Advanced Financial Theory

    EN.553.661 Optimization in Finance

     

    DERIVATIVES

    EN.553.633 Monte Carlo Methods* (required)

    EN.553.628 Stochastic Processes & Applications to Finance II )

    EN.553.643 Financial Computing in C++ or EN.553.488/EN.553.688 Financial Computing I

    EN.553.648 Financial Engineering and Structured Products

    EN.553.649 Advanced Equity Derivatives

    EN.550.649/EN.553.749 Advanced Financial Theory

    EN.550.653/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* (required)

    EN.553.643 Financial Computing in C++ or EN.553.488/EN.553.688 Financial Computing I

    EN.553.661 Optimization in Finance

    EN.550.630/EN.553.730 Statistical Theory

    EN.550.632/EN.553.732 Bayesian Statistics

    EN.550.640 Machine Learning

     

    FIXED INCOME & COMMODITIES

    EN.553.628 Stochastic Processes & Applications to Finance II

    EN.553.642 Investment Science* (required)

    EN.553.643 Financial Computing in C++ or EN.553.488/EN.553.688 Financial Computing I

    EN.553.646 Risk Management

    EN.553.648 Financial Engineering and Structured Products

    EN.550.653/EN.553.753 Commodities & Commodity Markets

    Plus one appropriate, approved elective

     

    CUSTOM COURSE PLAN

    Student must select two additional Financial Mathematics courses and one additional Applied Mathematics and Statistics Course. In addition they would select four additional approved courses to complete the requirements

  • 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.

 

 

 

Back to top