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Master of Science Program

Quantitative and Computational Finance at Georgia Tech Homepage

Quantitative & Computational Finance
School of Industrial and
Systems Engineering
Georgia Institute of Technology
765 Ferst Drive, NW
Atlanta, Georgia 30332-0205
Phone: 404.894.2300
Fax: 404.894.2301

College of Management
Georgia Institute of Technology
800 West Peachtree Street NW
Atlanta, GA 30308-0520
Phone: 404.894.2600
Fax: 404.894.1552

School of Mathematics
Georgia Institute of Technology
686 Cherry Street
Atlanta, GA 30332-0160
Phone: 404.894.2700
Fax: 404.894.4409


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 20 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 Finance    		 ISYE/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.

    There are three Electives Categories.

    1. 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
    2. 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
    3. 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
      Included as Elective is `Advanced Topics in QCF'. It is strongly recommended that students who do not have previous course work in economics take MGT 6813 'Economic Analysis for Managers' or its equivalent.
  • 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.

There is a 'Thesis Option' that allows students to write a thesis. This thesis is to be written under the direction of a Georgia Tech faculty member (possibly with the additional direction by others in academia or in financial or corporate sector) and is allowed to count for up to 6 credit hours of the student's QCF Free Electives Requirement. The QCF Executive Committee either approves or rejects the thesis topic and the substitution of the student's thesis document for some or all of these 6 credit hours.