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MS Mathematical & Computational Finance Track

Beginning autumn 2014, we will offer an MS track in Mathematical & Computational Finance. This track supersedes the previous MS program in Financial Mathematics in the School of Humanities and Sciences and has been developed and will be directed by the same faculty leadership.

Compared to the old Financial Mathematics program, the requirements have changed slightly and now contain more classes in data science and computing, essential for modern day financial mathematics and analytics. Note that students who complete the track will receive a MS diploma in Computational & Mathematical Engineering and proof of track completion by the institute.

Please select “computational and mathematical engineering MS” under the program  and then indicate the particular track, for example, mathematical and computational finance” under “academic interest 1” on the next page. Academic interest1 should reflect your top choice and if this is the only track you are interested in, you should leave academic interest 2 and 3 blank. However, if you would like to be considered for another track, that should be indicated on the academic interest 2 field. Academic interest fields are available now.GMAT scores cannot be substituted for the GRE score requirement.

Mathematical & Computational Finance Track

The Mathematical & Computational Finance (MCF) track is an interdisciplinary program that provides education in applied and computational mathematics, statistics, and financial applications for individuals with strong mathematical skills. Upon successful completion of the MCF track in the ICME M.S. program, students will be prepared to assume positions in the financial industry as data and information scientists, quantitative strategists, risk managers, regulators, financial technologists, or to continue on to their Ph.D. in ICME, MS&E, Mathematics, Statistics, Finance and other disciplines.

The Institute for Computational and Mathematical Engineering, in close cooperation with Mathematics, Management Science and Engineering and Statistics provide many of the basic courses.

Note: This new track in the ICME M.S. Program will supersede, beginning in the fall quarter of 2014, the interdisciplinary M.S. Program (IDP) in Financial Mathematics in the School of Humanities & Sciences. 

Requirement 1: Foundational (12 units)

Students must demonstrate foundational knowledge in the field by completing the following core courses. Courses in this area must be taken for letter grades. Deviations from the core curriculum must be justified in writing and approved by the student’s ICME adviser and the chair of the ICME curriculum committee. Courses that are waived may not be counted towards the master’s degree.

The following courses are required: Units
CME 302 Numerical Linear Algebra 3
CME 304 Numerical Optimization 3
CME 305 Discrete Mathematics and Algorithms 3
CME 308 Stochastic Methods in Engineering (or an equivalent course approved by the committee) 3

Total Units

12

Selected alternatives courses: MATH236 for CME308 and MS&E211 for CME304

Requirement 2: Data Science electives (9 units)

Data Science electives should demonstrate breadth of knowledge in the technical area. The elective course list is defined. Courses outside this list can be accepted as electives subject to approval. Petitions for approval should be submitted to student services.

Take 9 units of the following: Units
STATS 240 Statistical Methods in Finance 3
STATS 241 Econometric Modeling Methodology and Applications to Financial Markets 3
STATS 243 Financial Models and Statistical Methods in Active Risk Management 3
STATS 315A Modern Applied Statistics: Learning 2-3
STATS 315B Modern Applied Statistics: Data Mining 2-3

 

Requirement 3: Finance electives (12 units)

Choose three courses in specialized areas from the following list. Courses outside this list can be accepted as electives subject to approval. Petitions for approval should be submitted to student services.

Take 12 units of the following: Units
MATH 238 Mathematical Finance 3
MATH 237 Systemic Risk 3
MS&E 342 Advanced Investment Science 3
MS&E xxx* Financial Risk Management 3
MS&E 347 Credit Risk: Models and Management 3
MS&E 348 Optimization of Uncertainty and Application in Finance 3
FINANCE 320 Debt Markets 3
FINANCE 620 Financial Markets I 3
FINANCE 621 Financial Markets II 3
FINANCE 622 Dynamic Asset Pricing 3
STATS 242 Algorithmic Trading and Quantitative Strategies 3

*refers to new courses to be implemented; courses numbers will be assigned upon scheduling

Requirement 4: Advanced Scientific Programming and High Performance Computing Core (6 units)

To ensure that students have a strong foundation in programming students are required to take 6 units of advanced programming, with at least 3 units in parallel computing. Approved courses for advanced scientific programming include:

Advanced Scientific Programming; take 3 units Units
CME 212 Advanced Programming for Scientists and Engineers 3
CME 214 Software Design in Modern Fortran for Scientists and Engineers 3
CS 107 Computer Organization and Systems 3-5
CS 249B Large-scale Software Development 3
Parallel/HPC Computing (take at least 3 units required) Units
CME 213 Introduction to parallel computing using MPI, openMP, and CUDA 3
CME 342 Parallel Methods in Numerical Analysis 3
CS 149 Parallel Computing 3-4
CS 315A Parallel Computer Architecture and Programming 3
CS 315B Parallel Computing Research Project 3
CS 316 Advanced Multi-Core Systems 3

CS 344C, offered in previous years, may also be counted

3

For DS students, the 1-unit course in MapReduce offered by ICME annually is also highly recommended. Courses outside this list can be accepted as electives subject to approval. Petitions for approval should be submitted to student Services. Students who do not possess strong computational and/or programming background may need to take a prerequisite course such as CME211 or an equivalent course such as CS106A/B or CS106X.

Requirement 5: Practical component (6 units)

Students are required to take 6 units of practical component that may include any combination of: Units
MS&E 443 Active Portfolio Management 3
MS&E 445 Projects in Wealth Management 3
STATS 238/LAW 564 Policy and Strategy Issues in Financial Engineering 3
STATS 239A, B Financial and Risk Modeling Workshop 3
STATS 297 Practical Training 3
LAW 288 Governance and Ethics 3