Financial Engineering

 The derivatives security industry is a global multi-trillion dollar business in which options, swaps, and other structured products are structured, priced, hedged and traded. The functioning of this dynamic market relies on complex mathematical and financial models for pricing derivative securities. Examples include Black-Scholes, stochastic volatility models, and Heath-Jarrow-Morton among others. These valuation models rely on advanced mathematics and must be computed numerically in all but a few special cases.

The Financial Engineering track prepares students for careers in derivatives trading, structuring, and risk management. The track consists of the finance and mathematics core of the well-respected Masters in the Science of Computational Finance (MSCF) program. Students completing the track will be proficient in using cutting-edge option pricing models. They will understand the mathematical theory underlying these models and be able to implement numerical techniques for computing these models.

Required Track Courses *

Intro to Probability
Options
Multi-Period Asset Pricing
Studies in Financial Engineering
Stochastic Calculus for Finance I
Credit Derivatives
Stochastic Calculus for Finance II
Simulation for Option Pricing

* Curriculum subject to change