The MS QCF Program
Summary
- An intensive program in finance and financial instruments with quantitative emphasis - formulation and testing of models, and computational emphasis - implementation of models.
- An interdisciplinary program with Home Units of the College of Management, School of Mathematics and School of Industrial and Systems Engineering. Administered through an Executive Committee with a Program Director. Approximately 50 students per incoming class.
- A full-time August-through-December, 16-month program in Fall, Spring and Fall Semesters with six core courses (18 credit hrs) and six electives (18 credit hrs)
- Required core courses
Finance and Investments MGT 6078 Stochastic Processes in Finance I ISYE/MATH 6759 Numerical Methods in Finance MATH 6635 Derivative Securities MGT 6081 Design and Implementation of Systems
to Support Computational FinanceISYE/MATH 6767 Fixed Income Securities ISYE/MATH/MGT 6769 - Three Electives Categories, through which the students obtain additional foundational background and techniques for application, and build personalized areas of specialization.
- Additional Foundational Background. Students choose at least one of the following.
Stochastic Processes in Finance II MATH 6235 Financial Optmization Models ISYE 6673 Management of Financial Institutions MGT 6090 - Techniques for Application. Students choose at least two of the following.
Empirical Finance MGT 7061 Statistical Techniques of Financial Data Analysis ISYE/MATH 6783 The Practice of Quantitative and Computational Finance ISYE/MATH/MGT 6785 - Free Electives. Students choose at least three
additional electives from the above Electives Categories
or from other courses. Students are encouraged to choose
electives to develop expertise within a specific area such
as
- statistical data analysis
- risk management/optimization
- economic analysis
- model implementation
- finance
- Additional Foundational Background. Students choose at least one of the following.
- Program prerequisites: completion of a Bachelor's degree, basic programming skills, knowledge of the calculus (multivariate calculus, linear algebra and differential equations) and knowledge of undergraduate probability and statistics. The MS QCF applicant should also have significant mathematical talent, demonstrated through the student's performance on previous coursework, and in GRE or GMAT testing.