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Program in Mathematics of Finance and Risk Management
The program in Mathematics of Finance and Risk Management (or Mathematics of Finance for short) is designed to provide a broad education in the quantitative aspects of risk management and finance. Today's financial instruments require sophisticated mathematical techniques for their valuation. These techniques come from the fields of probability, statistics and differential equations.
Prerequisite to concentration in Mathematics of Finance is one of the pair of courses 215 & 217, 285 & 217, or 295 & 296. In addition, each student must complete two introductory courses in Economics (Econ 101 and 102), and acquire a working knowledge of a high-level computer language (e.g. Fortran, C or C++) at a level equivalent to completion of EECS 183.
The concentration program must include at least ten courses: 4 basic courses (II.), 4 special Mathematics of Finance courses (III.), and 2 related courses (IV.) as described below.
II. Basic Courses
Basic courses consist of one from each of the following groups completed with a grade of at least C-:
- Differential Equations: Math 286 or 316
- Probability: Math 525
- Statistics: Stats 426
- Analysis: Math 351, or 451
More advanced students, such as those who have completed Math 396, may substitute higher level courses with the approval of a major advisor.
III. Special Courses
The special Mathematics of Finance courses must include Math 423, 474, 471 or 472 (472 is preferred), and 526. Careful planning is essential.
IV. Related Courses
To complete the major program each student should elect two additional intermediate or advanced courses related to Financial Mathematics. Some, but not all, of the courses numbered 300 and above offered by Accounting, Computer Science, Economics, Finance, Industrial and Operations Engineering, and Statistics are appropriate here. Some specific approved courses are:
|422||Risk Mgmt & Insurance||FIN 302||Financial Decisions|
|427||Retire Plns & Empl Benefits||FIN 317||Corp Financing Decisions|
|462||Mathematical Models||FIN 408 &||(1.5 Credits Each)|
|623||Computational Finance||FIN 409||Capital Markets AND Fixed Inc Sec|
|ECON 401||Inter Micro Theory||IOE 310||Intro Optim Methods|
|ECON 402||Inter Macro||IOE 452||Corporate Finance|
|ECON 409||Game Theory||BL 305||(Bus Ad) Legal Envir Bus|
|ECON 452||Intro to Econometrics||PHIL 361||Ethics|
|ECON 453||Advanced Intro Stats||PHIL 414||Math Logic|
|ECON 454||Advanced Stat & Metrics||PHIL 429||Ethical Analysis|
- All Accounting courses 300 and above, except 471
- Some Statistics courses numbered above 400
Other courses may sometimes be appropriate and in all cases approval of the advisor in Financial Mathematics is required.