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Courses

Courses are normally offered every year during the semesters indicated. The schedules for courses offered by the Departments of Mathematics, Statistics, and Electrical and Computer Engineering (for ECE 503) rarely vary, but the schedules for the remaining courses are provided for guidance only; those courses may be rescheduled or cancelled by their offering units without advance notice. Always confirm times with the online schedule of classes when planning your program.

Unit Course Title Semesters Prerequisites Comments
Four (4) required courses
Math 16:642:621 Mathematical Finance I Fall   Required
Math 16:642:622 Mathematical Finance II Spring Math 621 Required
Econ 16:220:507 pdf Econometrics I (44 KB) Fall   Required. No credit with Stat 563
Econ 16:220:508 Econometrics II Spring Econ 507 No credit with Stat 565 or ISE 530
Select two (2) of the following three required courses
Math 16:642:573 Numerical Analysis I Fall   Required
Math 16:642:574 Numerical Analysis II Spring   Required
Math 16:642:575 Numerical Solution of Partial Differential Equations Spring Math 573 or 574 Required.
Strongly recommended elective
ECE 16:332:503 Programming Methodology for Numerical Computing and Finance (C++) Fall   Strongly recommended
Select one (1) or more of the following electives
Math 16:642:623 Computational Finance Spring Math 573, 621, ECE 503
Corequisites: Math 622 & 575
Strongly recommended
Math 16:642:624 Credit Risk Modeling Fall (odd years) Math 573, 621
Corequisite: Math 622
Recommended
Math 16:642:625 Portfolio Theory and Applications Fall Math 621, Econ 507.
Co-requisite: Econ 508
Recommended.
If additional electives needed to complete program, select from our Mathematics and Statistics courses ...
Math 16:642:611 or 612 Selected Topics in Applied Mathematics: Variational Inequalities, Obstacle and Free Boundary Problems in Mathematical Finance Fall (odd years) Math 16:640:501
Corequisites:
Math 16:640:517
Recommended for prospective Ph.D. students
Math 16:642:628 Topics in Mathematical Finance: Energy Risk, Commodities, and Derivative Modeling Fall (even years) Math 573, 621 Recommended
Math 16:642:627 High-Frequency Finance and Stochastic Control Fall (even years) ECE 503, Math 573, Math 621, Econ 507
Corequisite:
Econ 508
Recommended
Math 16:642:626 Fixed income Securities and Derivative Modeling Spring (odd years) Math 573, 621
Corequisites:Math 622
Recommended
Math 16:642:628 Topics in Mathematical Finance: Quantitative Risk Management Fall Math 621, 622 Recommended
Stat 16:958:535 Advanced Statistical Methods in Finance Spring    
Stat 16:960:540 Statistical Quality Control Summer    
Stat 16:958:565 Financial Time Series Analysis Spring    
Stat 16:960:583 Methods of Statistical Inference Fall, Spring, Summer   No credit with Stat 567 or Econ 506
Stat 16:960:587 Interpretion Data II Spring    
Stat 16:960:567 Applied Multivariate Analysis Spring Stat 563 No credit with Stat 583
Stat 16:960:588 Data Mining Fall Stat 567, 587  
Stat 16:960:641 Analytics for Business Intelligence Fall, Spring, Summer Stat 575  
Stat 22:960:641 Topics: Analytics for Business Intelligence Fall, Spring
(Livingston)
   
... or from the following CS and ECE courses
ECE 16:332:566 Introduction to Parallel and Distributed Programming Fall Consult online schedule Elective
ECE 16:332:567 Software Engineering I Fall ECE 503 Elective
ECE 16:332:569 Database System Engineering Infrequent   Elective. No credit with CS 541
CS 16:198:536 Machine Learning Spring    
CS 16:198:541 Database Systems Spring CS 513 and C++ or Java Elective. No credit with ECE 569
CS 22:198:603 Business Data Management Fall
(Livingston)
   
CS 26:198:622 Machine Learning Spring
(Newark)
   
CS 22:198:660 Business Analytics Programming Spring
(Newark)
   
CS 26:198:685 Special Topics in Information Systems: Big Data MGMT, Analysis, and Application Spring
(Newark)
   
Required seminar and special projects courses
Math 16:642:629 Special Research Projects in Mathematical Finance (1 credit) Fall, Spring, Summer   Only Required if employer insists on a student getting academic credit for their internship
Math 16:642:630 Seminar in Mathematical Finance (1/2 credit) Fall, Spring   Required


Business Electives

Courses may be offered at the New Brunswick or Newark campus. Unless an urgent scheduling reason exists, students should take electives offered by the Department of Mathematics instead. Students must consult the Program Administrator before attempting to register for any business course.

Unit Course Title Semesters Prerequisites Conditions
Bus 22:390:601 pdf Risk and Insurance Management (20 KB) (pdf) Fall Math 621 No credit with Math 624
Bus 22:390:603   pdf Investment Analysis and Management (58 KB) (pdf) Fall, Spring, Summer Math 621  
Bus 22:390:608   pdf Portfolio Management (24 KB) (pdf) Fall, Spring Math 621 No credit with Math 625
Bus 22:390:611   pdf Analysis of Fixed Income Securities (21 KB) (pdf) Fall, Spring, Summer Math 621 No credit with Math 626


Course Substitutions

If students cannot take a required course during the semester when it is offered, they may select one of the alternatives below with the advance permission of the Mathematical Finance Program Director. Credit will not be given for both the required course and any of its alternates.

Unit Course Title Semesters Prerequisites Replaces
Econ 16:220:506 Advanced Economics Statistics (pdf) Fall Math 477 Stat 583
Econ 16:220:507 Econometrics I (pdf) Spring Math 477 or Econ 506 Stat 563
ISE 16:540:530 Forecasting and Time Series Analysis Infrequent Econ 506 or Stat 563 Econ 508
Stat 16:960:563 Regression Analysis Fall, Spring, Summer   Econ 507
Stat 16:960:565 Applied Time Series Analysis Spring Stat 563 Econ 508
Stat 16:960:586 Interpretation of Data I Fall, Spring Math 477 or Stat 583 Stat 563

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HillCenter

Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at) rci.rutgers.edu
Phone: +1.848.445.3920
Fax: +1.732.445.5530