MSFE Curriculum, for Class Starting Fall 2016

For the class starting August 2016, 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 18, 2016, and continue through the 2016-2017 academic year. Students may complete the program in June, August or December 2017. 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 2016-2017 curriculum is presented below.

Fall 2016, Required Core and Electives (12 credits minimum)
IEORE4721 Mathematics of Financial Engineering Primer (8/24, 8/25, 8/30, 8/31)
IEORE4007 Optimization Models and Methods (FE)
IEORE4701 Stochastic Models (FE)
IEORE4706 Foundations of Financial Engineering
IEORE4720 Professional Development (FE)
FE Elective (1 minimum, 3 credits)
Financial Engineering Seminar Series

Spring 2017, Required Core and Electives (12 credits minimum)
IEORE4703 Monte Carlo Simulation
IEORE4707 Financial Engineering: Continuous Time Models
IEORE4709 Statistical Analysis and Time Series
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.

Financial Engineering Electives  Fall '16 Spring '17
IEORE4403 Quantitative Corporate Finance x
IEORE4500 Applications Programming for Financial Engineers x
IEORE4723 The Contemporary Financial Systems: Introductions for Financial Engineers (3 credits) or
IEORE4724 Risk Management and The Financial System (1.5 credits - First half of IEORE4723)
x
IEORE4727 Programming for Financial Engineering x
IEORE4732 Computational Methods in Derivatives Pricing* x
IEORE4733 Algorithmic Trading x
IEORE4736 Event Driven Finance x
DROMB8116-060 Risk Management x
IEORE4525 Machine Learning for OR & FE
x
IEORE4602 Quantitative Risk Management
x
IEORE4630 Asset Allocation
x
IEORE4718 Beyond Black-Scholes: The Implied Volatility Smile
x
IEORE4725 Big Data in Finance
x
IEORE4734 Foreign Exchange & Related Derivatives, 1.5 credits*
x
IEORE4739 Programming for FE 2: Implementing High Performance Financial Systems
x
FINCB8307 Advanced Corporate Finance
x
DROMB8112-060 Quantitative Finance: Models and Computation
x

(*) Denotes courses that require pre-requisite knowledge; please consult the instructor prior to registration.

Summer 2017 Electives
To be announced in early 2017.

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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