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M.S. 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 (9 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.

 

Units

The following courses are required:

 

CME 302

Numerical Linear Algebra

3

CME 304

Numerical Optimization 1

3

or CME 364A

Convex Optimization I

CME 308

Stochastic Methods in Engineering (or an equivalent course approved by the committee) 2

3

or MATH 236

Introduction to Stochastic Differential Equations

Total Units

9

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.

 

Units

Take 9 units of the following:

 

STATS 240

Statistical Methods in Finance

3-4

STATS 241

Econometric Modeling Methodology and Applications to Financial Markets

3-4

STATS 243

Financial Models and Statistical Methods in Active Risk Management

3-4

STATS 315A

Modern Applied Statistics: Learning

2-3

STATS 315B

Modern Applied Statistics: Data Mining

2-3

Requirement 3: Finance electives (9-12 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.

 

Units

Take three or four of the following:

 

FINANCE 320

Debt Markets

4

FINANCE 620

Financial Markets I

3

FINANCE 621

Financial Markets II

4

FINANCE 622

Dynamic Asset Pricing Theory

4

MATH 237

Default and Systemic Risk

3

MATH 239

Computation and Simulation in Finance

3

MATH 238

Mathematical Finance

3

MS&E 347

Credit Risk: Modeling and Management

3

MS&E 348

Optimization of Uncertainty and Applications in Finance

3

STATS 242

Algorithmic Trading and Quantitative Strategies

3

Requirement 4: Advanced Scientific Programming and High Performance Computing Core (6-9 units)

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

 

Units

Advanced Scientific Programming; take 3-6 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 (at least 3 units required)

 

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 316

Advanced Multi-Core Systems

3

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

3

Requirement 5: Practical component (6-9units)

Students are required to take 6 units of practical component that may include any combination of:

 

Units

CME 244

Project Course in Mathematical and Computational Finance

1-6

CME 245

Topics in Mathematical and Computational Finance

1

MS&E 445

Projects in Wealth Management

3-4