MSFE Curriculum 2008-09
For the MSFE class of 2008-2009, 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 7 - August 29, 2008), continues
through the 2008-2009 academic year and ending with a 6 week Part II
summer session (May 26 - July 2, 2009). All courses are
for 3 credits, unless stated otherwise.
Summer Part I: Required Core, 7.5 points
IEOR E4701: Stochastic Models for Financial Engineering (R. Cont)
IEOR E4702: Statistical Tools for Financial Engineering (S. Kou)
IEOR E4706: Foundations of Financial Engineering (S. Kou (7/8 - 7/31),L. Tilman (8/4 - 8/27))
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 (G. Iyengar)
IEOR E4703: Monte Carlo Simulation (G. Iyengar)
IEOR E4707: Financial Engineering: Continuous Time Models (R. Cont)
IEOR E4709: Data Analysis for Financial Engineering (R. Cont)
Spring, 12 points
Choose three from the courses below, plus one other course (a soft course will be allowed) -- All 3 credits each
DRAN B8835: Security Pricing Models (M. Broadie)
IEOR E4403: Advanced Engineering and Corporate Economics (S. Kachani)
IEOR E4500: Applications Programming for Financial
Engineering (D. Bienstock)
IEOR E4602: Quantitative Risk Management (S. Kou or J. Blanchet)
IEOR E4708: Seminar on Important Papers in Financial
Engineering (E. Derman)
IEOR E4710: Term Structure Modeling (R. Cont)
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 E4727: Topics in Quantitative Finance: Asset Allocation (G. Iyengar)
IEOR E4729: Topics in Quantitative Finance: Computational Methods in Derivatives Pricing (A. Hirsa)
IEOR E4731: Credit Risk and Credit Derivatives (R. Cont, W. Morokoff)
Summer Part II: Electives, 4.5 points
The Department offers industry specific courses in Foreign Exchange and Related Derivative Instruments, Hedge Fund Management, Risk Management, etc. Specific offerings may vary each term.