FE Curriculum, for Class Starting Fall 2015

For the class starting August 2015, the MS in Financial Engineering requires the completion of 36 points on a full time basis only. Students start with a fall session on August 20, 2015, and continue through the 2015-2016 academic year. Students may complete the program in June, August or December 2016. All courses are for 3 credits, unless stated otherwise. In addition, the Program requires its students to attend the Financial Engineering Seminar Series and submit learning journals.

The MS in Financial Engineering offers five concentrations, including: (1) Computation & Programming; (2) Finance & Economics; (3) Derivatives; (4) Asset Management; and (5) Computational Finance & Trading Systems.

To facilitate academic programming, students should complete a program plan to be reviewed by their advisor.

The 2015-2016 curriculum is presented below.

Fall 2015, Required Core and Electives (12 credits minimum)
IEORE4007 Optimization Models and Methods for Financial Engineering
IEORE4701 Stochastic Models for Financial Engineering
IEORE4706 Foundations of Financial Engineering
IEORE4720 Professional Development for Financial Engineering
FE Elective (1 minimum, 3 credits)
Financial Engineering Seminar Series

Spring 2016, Required Core and Electives (12 credits minimum)
IEORE4703 Monte Carlo Simulation
IEORE4707 Financial Engineering: Continuous Time Models
IEORE4709 Data Analysis for Financial Engineering
FE Elective (1 minimum, 3 credits)
Financial Engineering Seminar Series

Approved FE Electives 
Students may select from a variety of approved electives from the Department, Columbia Business School, and Graduate School of Arts and Sciences. Courses taken from the School of Professional Studies will not be counted towards the M.S. degree (i.e. courses with the following prefixes: ACTU, BUSI, COPR, IKNS, SUMA, FUND, and more). Please consult with your academic advisor regarding electives offered in other departments and schools prior to registration.

Fall 2015 Electives 
IEORE4403 Advanced Engineering and Corporate Economics
IEORE4500 Applications Programming for Financial Engineering
IEORE4710 Term Structure Models
IEORE4712 Behavior Finance (1.5)
IEORE4714 Risk Management, Financial System & Financial Crisis (1.5)
IEORE4727 Programming for Financial Engineering
IEORE4732 Computational Methods in Derivatives Pricing
IEORE4735 Introduction to Structured & Hybrid Products

Spring 2016 Electives
IEORE4525 Machine Learning for OR & FE
IEORE4602 Quantitative Risk Management
IEORE4630 Asset Allocation
IEORE4718 Introduction to the Implied Volatility Smile
IEORE4725 Big Data in Finance
IEORE4733 Algorithmic Trading
IEORE4734 Foreign Exchange & Related Derivatives Instruments (1.5)
IEORE4736 Experimental Finance
IEORE4739 Programming for FE 2: Implementing High Performance Financial Systems
FINCB8307-003 Advanced Corporate Finance
DROMB8112 Quantitative Finance: Models and Computation

Summer 2016 Electives
IEORE4721 Correlation Risk Modeling and Management
IEORE4722 Modeling and Market Making in Foreign Exchange (1.5)
IEORE4731 Credit Risk Modeling and Derivatives

The Department requires that students achieve grades of B- or higher in each of the three fundamental core courses offered in the first term. Poor performance in these courses is indicative of inadequate preparation and is very likely to lead to serious problems in completing the program. As a result, students failing to meet this criterion will be asked to withdraw from the program. 

*Course offerings are subject to availability


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