MS in Math with Concentration in Financial Mathematics

Introduction

The Department of Mathematics offers the MS in Mathematics with a Concentration in Financial Mathematics. It is a two-year full-time degree program designed to provide the mathematical background need by quantitative analysts in modern finance. It requires a total of 36 credit hours, including a master's thesis.

Curriculum

Prerequisites

An applicant should have taken most of the following courses or equivalents prior to admission to the program:

• Math 2085: Linear Algebra.
• Math 2065: Ordinary Differential Equations.
• Math 3355: Probability.
• Math 4031: Advanced Calculus I.
• Math 4035: N-Variable Advanced Calculus.
• Math 4340: Partial Differential Equations.

Additionally, applicants should have computer literacy in the form of knowledge of a computer programming language such as C, or familiarity with mathematical software such as MATLAB, Mathematica, or Maple.

Coursework

The MS with Concentration in Financial Mathematics requires successful completion of the courses listed below. These provide 18 credit hours of Mathematics at the 7000 level and above (including thesis research), 9 hours of Mathematics at the 4000 level, and 9 hours of 4000 and 7000 level Finance courses. Approval of the mathematics department is required for any course substitutions.

Curriculum for MS in Math with Concentration in Financial Mathematics
First Year, Fall	First Year, Spring
Math 7311: Real Analysis (3hrs) Math 7365: Applied Stochastic Analysis (3hrs) Fin 7633: Financial Markets (3hrs)	Math 4058: Elementary Stochastic Processes (3hrs) Math 7366: Stochastic Analysis (3hrs) Fin 7826: Investment Analysis and Portfolio Theory (3hrs)
Second Year, Fall	Second Year, Spring
Math 7360: Probability Theory (3hrs) Math 4065: Numerical Analysis (3hrs) or Math 4064: Numerical Linear Algebra (3hrs) Fin 4850: Financial Derivatives (3hrs)	Math 4066: Numerical Analysis II (3hrs) Math 8000: Thesis Research (6hrs)

Advisory Committee and Final Exam

Each candidate will have an advisory committee consisting of three graduate faculty members, at least two of whom, including the thesis advisor, who is the chair of the committee, must be from the mathematics department. Candidates for the degree need to pass an oral final examination consisting primarily of a master's thesis defense before the completion of studies.

Program Advisors

Advisors for this program include:

P. Sundar

Any of these faculty members can be contacted for additional information.