MSFE Curriculum - December 2010 Completion

This is a sample curriculum for a student who wishes to complete the program by December 2010.  The Program starts with an 8 week part I summer session (July 6- August 28, 2009).

Summer Part I: Required Core, 7.5 points.

IEOR E4701: Stochastic Models for Financial Engineering
IEOR E4702: Statistical Tools for Financial Engineering
IEOR E4706: Foundations of Financial Engineering

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
IEOR E4703: Monte Carlo Simulation
IEOR E4707: Financial Engineering: Continuous Time Models
IEOR E4709: Data Analysis for Financial Engineering

Spring: 12 points.
Choose four from the courses below, plus one other course in consultation with faculty adviser.

IEOR E4602: Quantitative Risk Management
IEOR E4630: Asset Allocation (G. Iyengar)
IEOR E4708: Seminar on Important Papers in Financial Engineering (E. Derman)
IEOR E4710: Term Structure Modeling
IEOR E4718: Introduction to the Implied Volatility Smile (E. Derman)
IEOR E4725: Topics in Quantitative Finance: Numerical Solutions of Partial Differential Equations (I. Kani)
IEOR E4726: Topics in Quantitative Finance: Experimental Finance (M. Lipkin & A. Stanton)
IEOR E4731: Credit Risk and Credit Derivatives (I. Kani)

Other courses include Foreign Exchange and Related Derivative Instruments, Hedge Fund Management, Risk Management, etc. Specific offerings may vary each term.

Summer: 1.5 points.
Internship optional.

Fall 2010: 3 points (or 4.5 points if no internship during the summer).

Choose elective from IEOR, Mathematics, Statistics, Graduate School of Business, SIPA, etc., internship optional.