Students are required to complete 33 credit hours to earn the M.S. in Analytical Finance degree. Course work is sequenced; students begin the program in the summer or fall semester.
Summer
| GBUS 422 | Derivatives and Risk Management (3) |
Fall
| ECO 415 | Econometrics (3) |
| GBUS 473 | Advanced International Finance (3) |
| IE 426 | Optimization Models and Applications (3) |
| IE 441 | Financial Engineering Project (3) |
| MATH 467 | Financial Calculus I (3) |
Spring
Students with equivalent courses from an undergraduate degree program will be given credit for fulfilling the field requirements and will be permitted to replace the credits from the list of approved electives with the program director’s approval.
Course Descriptions
ECO 415. Econometrics I (3)
Computer applications of standard econometric techniques using regression analysis in a single-equation context. Discussion of problems of multicollinearity, heteroscedasticity and autocorrelation. An introduction to simultaneous equation models, identification and estimation problems. Prerequisite: ECO 401 or equivalent.
ECO 424. Advanced Numerical Methods (3)
This course focuses on techniques that apply directly to economic analyses. A particular emphasis on problems in finance. The course teaches students how to use EXCEL macros and advanced VBA (the industry standard). It is designed for decision making in business settings. Prerequisite: GBUS 420.
GBUS 421. Advanced Investments (3)
Advanced topics relating to valuation/security analysis and portfolio/risk management. Prerequisites: GBUS 419 and GBUS 420 or Designated Finance Faculty Representative approval.
GBUS 422. Derivatives and Risk Management (3)
The theory and application of a variety of derivative instruments (options, futures contracts, etc.) used in corporation finance and the financial services industry. The focus is on the risk management application vs. a rigorous development of option pricing theory and similar topics. Prerequisites: GBUS 419 and GBUS 420, or Designated Finance Faculty Representative approval.
GBUS 473. International Finance (3)
Consideration of problems arising from the risks associated with international investing and multinational corporation finance (currency, political, etc.). Focus is on (a) investing in international market given the institutional constraints and differences between domestic markets, and (b) managerial issues relating to corporations, investors, and financial institutions. Prerequisites: GBUS 420 and GBUS 419, or Designated Finance Faculty Representative approval.
IE 426. Optimization Models and Applications (3)
Modeling and analysis of operations research problems using techniques form mathematical programming. Linear programming, integer programming, multi-criteria optimization, stochastic programming and nonlinear programming using an algebraic modeling language. This course is a version of IE 316 for graduate students, with research projects and advanced assignments. Closed to students who have taken IE 316. Prerequisite: IE 220 or equivalent background.
IE 441. Financial Engineering Projects (3)
Analysis, design and implementation of solutions to problems in financial services using information technology, mathematical modeling, and other financial engineering techniques. Emphasis on real-world problem solving, problem definition, implementation and solution evaluation.
IE 447. Stochastic Programming and Portfolio Analysis (3)
Finding optimal decisions in problems such as portfolio management and financial planning. Emphasis on implementation and tools for solving difficult stochastic programming instances and application of stochastic programming to financial portfolio analysis. Requires basic knowledge of linear programming, elementary analysis, and probability.
MATH 467. Financial Calculus I (3) fall
Basic mathematical concepts behind derivative pricing and portfolio management of derivative securities. Development of Arbitrage Pricing Theory in the context of the binomial model and Black-Sholes model. Option pricing in more realistic scenarios. Introduction to the theory of Brownian motion and Ito calculus (Stochastic Calculus). Prerequisites: Math 23, 43, or 205, 12 or 231, or consent of instructor.
MATH 468. Financial Calculus II (3) spring
Topics on continuous-time martingales, Brownian motion and Ito calculus. The absence of arbitrage opportunities and the existence of equivalent martingale measures, the pricing of contingent claims. Quantitative methods for portfolio management with the Capital Asset Pricing Model and Merton’s continuous time dynamic models. Models for the random evolution of the term structure of interest rates. Prerequisites: Math 402, or Math 463 and 467, or consent of instructor.
STAT 410. Probability and Its Applications (3)
Random variables, characteristic functions, limit theorems; stochastic processes, Kolmogorov equations; Markov chains, random walks. Prerequisite: Math 309 or consent of the department chair. (MA)
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