MSFE Curriculum 2009-10
For the class of 2009-2010, the MSFE Program requires the completion of 36 points on a full time basis only. Students start with an 8 week part I summer session (July 6- August 28, 2009), and continues through the 2009-2010 academic year. Students may complete the program in May 2010, August 2010 or December 2010.
All courses are for 3 credits, unless stated otherwise.
The curriculum below assumes that the student will complete the degree by May 2010.
Sample curriculum for:
August 2010 completion
December 2010 completion
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.
Fall: Required Core, 15 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
One elective (1.5 - 3 points)
IEOR E4403: Advanced Engineering and Corporate Economics (S. Kachani)
IEOR E4720: Topics in Quantitative Finance: Commodity Derivatives (M. Higgins)
IEOR E4274: Topics in Quantitative Finance: Hedge Funds (L. Metzger)
IEOR E4725: Topics in Quantitative Finance: Numerical Solutions of Partial Differential Equations (I. Kani)
IEOR E4726: Topics in Quantitative Finance: Inflation Derivatives (I. Kani)
IEOR E4728: Topics in Quantitative Finance: Guide to Financial Industry for Quantitative Professionals (A. Kuznetsov)
Spring, 13.5 points
Choose four from the courses below, plus one other course in consultation with faculty adviser.
DRAN B8835: Security Pricing Models (C. Moallemi)
IEOR E4500: Applications Programming for Financial
Engineering (D. Bienstock)
IEOR E4602: Quantitative Risk Management (M. Haugh)
IEOR E4630: Asset Allocation (G. Iyengar)
IEOR E4710: Term Structure Modeling (M. Haugh)
IEOR E4718: Introduction to the Implied Volatility Smile (E. Derman)
IEOR E4726: Topics in Quantitative Finance: Experimental Finance (M. Lipkin & A. Stanton)
IEOR E4731: Credit Risk Modeling and Credit Derivatives (R. Cont)