MSFE is a full-time 36-point program. Students start in August and may complete the program in June, August or December of the following year. All courses are 3 credits unless stated otherwise.

IEOR Course Listing

See full IEOR course listing and schedule.

Financial Engineering Seminar Attendance & Learning Journals

Each semester the IEOR Department hosts the Financial Engineering Practitioners Seminar series. You are required to attend and submit a one-page learning journal for all Financial Engineering Practitioners Seminars. 

Students are also required to attend the Financial Engineering Seminar Series and submit learning journals.

The program offers seven concentrations, including:

  1. Asset Management 
  2. Computation & Programming
  3. Computational Finance/Trading Systems
  4. Derivatives
  5. Finance & Economics
  6. Financial Technolgy
  7. Machine Learning for Financial Engineering

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

Core Curriculum

Fall and Spring Required Core and Electives

Fall Requirements (First Fall Term; 12 credits minimum)

IEORE4799 MSFE Quantitative and Computational Bootcamp (0-credit)
IEORE4007 Optimization Models and Methods (FE)
IEORE4701 Stochastic Models (FE)
IEORE4706 Foundations of Financial Engineering
ENGIE4000 Professional Development and Leadership (0-credit)
FE Elective (1 minimum, 3 credits)
Financial Engineering Seminar Series

Spring Requirements (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 MS 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 Spring
IEORE4403 Quantitative Corporate Finance (or IEOR E4578 Corporate Finance, Accounting & Investment Banking) x  
IEORE4500 Applications Programming for Financial Engineers x  
IEORE4525 Machine Learning for Financial Engineering & Operations Research x x
IEORE4710 Fixed Income & Term Structure Modeling x  
IEORE4722 Stochastic Control & Financial Applications x  
IEORE4726 Applied Financial Risk Management x  
IEORE4727 Programming for Financial Engineering x  
IEORE4731 Credit Risk Modeling and Derivatives x  
IEORE4732 Computational Methods in Derivatives Pricing* x  
IEORE4735 Structured & Hybrid Products x  
IEORE4742 Deep Learning for OR & FE x x
DROMB8116-060 Risk Management   x
IEORE4602 Quantitative Risk Management   x
IEORE4630 Asset Allocation   x
IEORE4718 Beyond Black-Scholes: The Implied Volatility Smile   x
IEORE4725 Big Data in Finance (not offered Spring 2019)    
IEORE4729 Model Based Trading: Computational Models of Analysis & Execution x  
IEORE4733 Algorithmic Trading    
IEORE4734 Foreign Exchange & Related Derivatives, 1.5 credits*   x
CSORE4231 Analysis of Algorithms I   x
FINCB8307-060 Advanced Corporate Finance   x
DROMB8112 Quantitative Finance: Models and Computation   x

Summer Electives

IEOR E4721 Correlation Risk Modeling & Management
IEOR E4722 Modeling & Market Making in Foreign Exchange, 1.5 credits
IEOR E4723 Alternative Investments, 1.5 credits
 

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 may be asked to withdraw from the program. 

Note: Course offerings are subject to availability

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