University of Southern California
Department of Economics and Department of Mathematics (CMS)
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University of Southern California |
Department of Economics and Department of Mathematics (CMS) |
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Professional Master of Science in Mathematical Finance |
The Department of Economics and the Department of Mathematics (Section of Computational Mathematics and Statistics) at the University of Southern California are inviting applications for a master’s degree in Mathematical Finance Early application deadline for the Fall semester is December 15 and regular admission deadline is March 15. Any applications filed after March 15 may not be reviewed. It is also possible to start in the Spring semester but it may be harder to find sufficient courses for a full-time load. Spring deadline is October 15.
*Academic Supervisors:
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Applicants must take the General
Record Examination General Test. The GRE test can be replaced
with GMAT. For qualified applicants this requirement can be
waived by the Program Director, request must be submitted in writing. Complete transcripts of
undergraduate and any graduate level courses are required.
Applications should also include three (3) letters of
recommendation, a personal statement and a one-page Resume/CV. A
substantial undergraduate background in mathematics is required,
which should include at least one semester of real analysis or advanced
calculus, one semester of linear algebra and a calculus based
course in Probability Theory, at the level of USC's Math 407.
Candidates with a weaker background may be required to take
mathematics classes prior to admission in the program. An
undergraduate knowledge of microeconomics and of econometrics is
helpful, although it is not required for admission. Some
experience in Matlab and C/C++ programming is also useful.
*Application Procedure:
*Financial Aid:
There is NO financial support
available for this program.
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General program and course requirements are on this
page.
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*Economics 613. Economic and Financial Time Series I. Simultaneous equation models, dynamic structural econometric models, vector autoregressions, causality, forecasting, univariate and multivariate nonstationary times series, tests for unit roots, cointegration, autoregressive conditional heteroscedasticity models, time series models with changes in regime.
*Economics 614. Economic and Financial Time Series II. Stock returns, predictability and volatility, random walk and variance-bounds tests, estimation of capital asset, multifactor, and derivative pricing models, term structure of interest rates.
*Economics 659. Economics of Financial Markets I. Equilibrium model of finance economy; absence of arbitrage; complete and incomplete markets; asset pricing theory: representative agent pricing, Capital Asset Pricing Model, martingale property of security prices.
*Economics 652. Economics of Financial Markets II.Financial market equilibrium and partial equilibrium asset pricing in discrete and continuous time; properties of equilibria with and without complete markets: theory of option prices: Black-Scholes pricing formula; term structure of interest rates; hedging strategies and managing market risk using options, futures and swaps; hedging exchange-rates risks.
*Economics 695. Internship in Mathematical Finance. Internship for students in the Mathematical Finance Master’s program. Practical training in real market environments. Real-world first-hand experience in implementing trading strategies. Application of mathematical finance to real financial markets.
*Mathematics 503. Stochastic Calculus for Finance. Stochastic differential equations, connection with PDEs, Girsanov changes of measure; continuous-time financial mathematics: pricing European, American and exotic options; modeling fixed income markets; portfolio optimization.
*Mathematics 512. Financial Informatics and Simulation. Projects based course using computer software for solving practical problems of risk management, financial modeling, option pricing and portfolio management.
*Mathematics 502a. Numerical Analysis. Computational linear algebra; solution of general nonlinear systems of equations; approximation theory using functional analysis; numerical solution of ordinary and partial differential equations.
*Mathematics 506. Stochastic Processes. Basic concepts with examples illustrating applications; Markov chains and processes; birth and death processes; detailed treatment of one-dimensional Brownian motion; martingales; stochastic integration and Ito's rule.
*Mathematics 541b. Introduction to Mathematical Statistics. Hypothesis testing, Neyman-Pearson lemma, consistency, power, linear models, regression, analysis of variance, discrete data, nonparametric methods.
*Mathematics 547. Methods of Statistical Inference. Statistical decision theory: game theory, loss and risk functions; Bayes, minimax, admissible rules; sufficiency, invariance, tests of hypotheses, optimality properties. Inference for stochastic processes.
*Mathematics 585. Mathematical
Theory of Optimal Control. Deterministic control: calculus of
variations; optimal control; Pontryagin principle; multiplier
rules and abstract nonlinear programming; existence and
continuity of controls; problem of Mayer; dynamic programming.
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*Administrative Services Coordinator:
Amy Yung,
Department of Mathematics
University of Southern California
Los
Angeles, CA 90089-2532
Tel (213) 740-8168
Fax (213) 740-2424
amy@usc.edu
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*The Master of Science in
Computational Finance at Carnegie Mellon University.
*Computational Finance
at the Oregon Graduate Institute.
*Mathematics
of Finance at Columbia University.
*Mathematical Finance
at the University of Toronto.
*Masters
Program in Mathematics in Finance at New York University.
*Sloan School of Management
at the Massacusssetts Institute of Technology.
*Master of Science in
Financial Mathematics at the University of Chicago.
*Master of
Science in Financial Mathematics at Stanford University.
*Master of Science in
Quantitative Financial Economics (MSQFE) at Oklahoma State
University.
*International Association of
Financial Engineers
*Master's of Financial
Engineering at the Haas School of Business, UC Berkeley.
*Master
of Science in Financial Engineering at Kent State University.
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Information On Former Students
* Jonathan Hacon (Class of 2002), Credit Lyonnais, London
* Anand Krishnan (Class of 2002), Associate Equity Research Analyst, Morgan Keegan
* Ludovic Phalippou, PhD Candidate in Finance INSEAD, France
* Sowmdeb Sen, Raymond James Finance, Eagle Asset Management division, www.rjf.com
* Slava Tikhonov, Financial Engineer, MKI Risk
* Marina Marena, Assistant Professor, Universita del Piemonte Orientale, Italy
* Mark Kuebler, Credite-Suisse, Frankfurt, Germany
* Xia Zhang, International Financial Services, New York
* Atul Gupta, Risk Management, Citigroup Credit Cards, Irving, Texas (akgind@yahoo.com)
* Ilia Bakhtourine, Erst & Young CIS, Mergers and Acquisitions (Ilia.Bakhtourine@ru.eyi.com)
* Pancheng Wang, Countrywide Credit Industries
* Anita Shu, Bond Analyst, GMAC-RFC
* Christina Yu, Provident Advisors
* Doug Adams, TransMarket Group L.L.C, Chicago
* Chulhee Lee, ITT Gilfillan
* Lu Yu, Nicholas Applegate Capital Management, San Diego
* Jouliet Ghazarian, Financial Analyst, Countrywide Bank
* Fianne Chen (Graduated May 2002), Risk Management Consultant, Wells Fargo Home Mortgage (fiannechen@gmail.com)
* Stephen Ng, Deutsche Bank, Orange County
* Victor Piterbarg (class 2004), Bank of America, New York
* Rheanna Meng, CRA International Pasadena
* Stanislav Melnikov, Countrywide Financial
* Raymond Sasaki, Fortis Bank ray.sasaki@us.fortis.com
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