Graduate

MSFE Curriculum 2007-08

For the MSFE class of 2007-2008, the MSFE Program requires the completion of 36 points on a full time basis only. Students start with a 8 week part I summer session (July 9 - August 28, 2007), continues through the 2007-2008 academic year and ending with a 6 week Part II summer session (approximately May 26 - July 3, 2008). All courses are for 3 credits, unless stated otherwise.

Summer Part I: Required Core, 6 points

IEOR E4701: Stochastic Models for Financial Engineering (W. Whitt)
IEOR E4702: Statistical Tools for Financial Engineering (S. Kou)
IEOR E4799: Foundations of Finance (L. Tilman)

The Department requires that students achieve grades of B- or higher in each of the three fundamental core courses offered in the first summer. 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; however, students may transfer to other programs within the Department at the discretion of their academic adviser.

Fall: Required Core, 12 points

IEOR E4007: Optimization Models and Methods for Financial Engineering (D. Bienstock)
IEOR E4703: Monte Carlo Simulation (K. Sigman)
IEOR E4706: Financial Engineering: Asset Pricing and Investment (S. Stoikov)
IEOR E4707: Financial Engineering: Continuous Time Models (R. Cont)

Spring: Required Core, 3 points

IEOR E4709: Data Analysis for Financial Engineering (S. Stoikov)

Spring: Electives (select 3 from the following)

DRAN B8835: Security Pricing Models (C. Moallemi)
IEOR E4500: Applications Programming for Financial Engineering (D. Bienstock)
IEOR E4708: Seminar on Important Papers in Financial Engineering (E. Derman)
IEOR E4710: Term Structure Modeling (A. Hirsa)
IEOR E4718: Introduction to the Implied Volatility Smile (E. Derman)
IEOR E4726: Topics in Quantitative Finance: Experimental Finance (M. Lipkin & A. Stanton)
IEOR E4729: Topics in Quantitative Finance: Structured Products: Pricing Models and Risk Management (I. Kani)
IEOR E4731: Credit Risk and Credit Derivatives (W. Morokoff)

Summer Part II: Electives, 6 points

The Department offers industry specific courses in Experimental Finance, Foreign Exchange and Related Derivative Instruments, Hedge Fund Management, Numerical Methods of PDE, Risk Management, etc. Specific offerings may vary each term.