Program Courses
Required Courses:
FIN5120 Continuous Time Finance: Applied probability models and stochastic calculus. Focus on continuous-time models in finance.
FIN5108 Derivatives: Derivative markets, their market structure, theoretical pricing and practical use for risk management and investment purposes.
ECON8009 Econometrics: Classical linear regression model. Topics include multicollinearity, heteroscedasticity, and autocorrelation.
MSOM5111 Optimization Methods: Applied mathematical modeling and optimization techniques. Analytical tools for decision-making. Attention paid to financial engineering applications.
FIN5501 International Financial Markets: Developments in international financial markets. Historical trends from a financial product and transactional point-of-view.
FIN5105 Advanced Option Theory: Advanced derivative pricing with financial engineering applications. Analytical and numerical option valuation techniques.
STAT8114 Time Series Analysis & Forecasting: Theory and application of time series models illustrated with forecasting problems.
FIN5103 Financial Risk Management: Enterprise-wide solutions for managing market, credit and regulatory risks and related operational controls.
FIN5106 Interest Rate Options: Framework to evaluate interest rate derivatives. Modern risk management of fixed income derivative portfolios.
FIN5182 Independent Study: MSFE students pursue an applied financial engineering project based on program coursework.
