FAX: (213) 740-2424
Academic Supervisors: Michael Magill, Ph.D. (Economics); Jianfeng Zhang, Ph.D. (Mathematics)
Staff Contact: Amy Yung
Minor in Mathematical FinanceThis interdisciplinary minor was created for students in business, economics and mathematics, whose majors already require some of the introductory course work. Students in other programs are welcome but should expect the minor to require more units than it does for students in these programs. For more information, see Interdisciplinary Programs.
Progressive Degree Programs in MathematicsSee Mathematics for progressive degree requirements.
Master of Science in Mathematical FinanceThe objective of this master of science program is to produce graduates with a rigorous foundation in the economic theory and mathematical modeling of financial markets. The program creates an integrated curriculum spanning four disciplines: economics, mathematics, econometrics/statistics and computational/numerical analysis. The program is designed for recent graduates in the fields of applied mathematics, physics and engineering — or for graduates in economics, business and finance with strong mathematical backgrounds — who wish to pursue high-tech finance careers in financial institutions, industry or government. The program should also be attractive to gifted undergraduates who are able to complete a combined B.A./M.S. degree with a specialization in financial mathematics in five years.
Admission RequirementsRefer to the Requirements for Graduation section and the Graduate School section of this catalogue for general regulations. All applicants must take the GRE General Test. Complete transcripts of undergraduate and any graduate courses are required, as well as a statement of purpose and three recommendation letters. A substantial undergraduate background in mathematics is required, which should include one semester of real analysis or advanced calculus, one semester of linear algebra, and one semester of advanced probability/statistics. Candidates with weaker backgrounds may be required to take mathematics classes prior to admission in the program. An undergraduate knowledge of microeconomics, macroeconomics and partial differential equations is helpful, although it is not required for admission. Some experience in MATLAB and C/C++ programming is also helpful.
Foreign Language RequirementThere is no foreign language requirement.
Course RequirementsThirty units of course work are required. In addition, students are required to complete a final project requirement integrating material from all the courses. The program consists of:
Financial Economics and Econometrics: ECON 659 (4) is mandatory, and two other courses from ECON 613 (4), ECON 614 (4), ECON 652 (4);
Theory of Stochastic Processes: MATH 503 (3) is mandatory, and one course from MATH 505b (3), MATH 506 (3), MATH 509 (3);
Statistics: one course from ECON 614 (4), MATH 508 (3), MATH 512 (3), MATH 541ab (3-3), MATH 542L (3), MATH 543L (3), MATH 547 (3), MATH 650 (3), PM 511abL (3), PM 544L (3);
Numerical/Optimization Methods: one course from MATH 458 (4), MATH 501 (3), MATH 502ab (3-3), MATH 504ab (3-3), MATH 585 (3), PM 520L (3);
Computational and Empirical Finance: two courses from ECON 695 (4), FBE 535 (3). FBE 554 (3), FBE 555 (3), FBE 559 (3), FBE 589 (3), FBE 599 (1-3), MATH 512 (3), MATH 590 (1-12)
The courses in statistics/numerical/optimization methods and computational and empirical finance are considered electives and have to be approved for each student by the program advisors. Other electives might be approved by the advisors.