Mathematical Finance Master's Degree Program

Degree Requirements

The program requires completion of ten (10) three-credit courses (6 required and 4 elective) taken in residence at Rutgers, as described in the table of courses, a practical training experience within the first year, seminar in mathematical finance (3 semesters, 1/2 credit per semester), and a master's degree essay prior to graduation.

• Students may pursue the degree full-time (usually nine or more credits per semester) or part-time.
  
• The Graduate School-New Brunswick normally requires students to complete the degree within three (3) years, with a minimum of one (1) year for full-time students.
  
• Students are required to sign and follow a Code of Conduct and complete every semester a Career Information Form about their internship and job status. The Code of Conduct and Career Information Form can be found in the Forms page.
• The minimum grade requirements for graduation are described in the Satisfactory Academic Progress, Probation, and Dismissal section of our policies page.

Planning

• Visa regulations usually require international students to take nine (9) or more credits per semester.
• The degree program is designed to be completed by full-time students in three regular semesters (Fall, Spring, Fall), though some students choose to complete the program in four regular semesters. Students with exceptional preparation or taking courses in the summer semester may be able to complete the program in one year.
• Students should consult the Registrar for the deadlines for registration, add/drop, withdrawal, and refunds.
• The final exam project in Math 16:642:623, 624, or 625 can serve as the basis for the master's degree essay.
• Graduate courses taken prior to admission may be eligible for transfer credit.
• Seminars in mathematical finance at Rutgers and nearby institutions provide an opportunity to interact with leading academic and industry speakers. Students are required to register for Math 16:642:630 Seminar in Mathematical Finance (3 semesters, 1/2 credit per semester) and obtain satisfactory (S) grades for at least three semesters by participating in at least two-thirds of the events per semester designated for credit.
  
• Students are encouraged to seek financial industry internships and cooperative training programs.
  
• Students may take more than the minimum 30 credits and there are no restrictions on choices of courses taken in excess of degree requirements.
• Summer courses are not recommended, as they are rarely taught by regular faculty members and the class schedule is too compressed to allow a good learning experience.
• Except for some Business School electives, which are often taught at either the New Brunswick/Livingston or Newark campuses, courses are taught at the New Brunswick/Busch Campus.
• Most courses are offered at night (6:40-9:30 PM). We recommend taking no more than six (6) credits during the semester in which you expect to graduate if applying for full-time positions.
  
• If a special permission number (SPN) or prerequisite override is required to register for a course, please consult the Program Administrator.
• Please see the Graduate School–New Brunswick catalog for additional information.

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
Stat	16:960:563	Regression Analysis	Fall, Spring, Summer		Required. No credit with Econ 507
Econ	16:220:508	Econometrics II (pdf)	MSMF students can only take this course in the Spring semester	Econ 507 or Stat 563	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. Not offered every year
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 & 574 or 575	Strongly recommended
Math	16:642:624	Credit Risk Modeling	Fall	Math 573, 621 Corequisite: Math 622	Recommended
Math	16:642:625	Portfolio Theory and Applications	Fall	Math 621, Stat 563. Co-requisite: Econ 508	Recommended.
If additional electives needed to complete program, select from our Mathematics and Statistics courses ...
Math	16:642:611	Selected Topics in Applied Mathematics: Variational Inequalities, Obstacle and Free Boundary Problems in Mathematical Finance	Fall	Math 16:640:501 Corequisites: Math 16:640:517	Recommended for prospective Ph.D. students
Math	16:642:627	High-Frequency Finance and Stochastic Control	Fall	ECE 503, Math 573, Math 621, Stat 563 Corequisite: Econ 508	Recommended
Math	16:642:628	Topics in Mathematical Finance: Fixed income Securities and Derivative Modeling	Spring	Math 573, 621 Corequisites:Math 622	Recommended
Math	16:642:628	Topics in Mathematical Finance: Quantitative Risk Management	Fall	Math 621, 622	Recommended
Math	16:642:628	Topics in Mathematical Finance: Energy Risk, Commodities, and Derivative Modeling	Spring	Math 573, 621	Recommended
Stat	16:960:583	Methods of Statistical Inference	Fall, Spring, Summer		No credit with Stat 567 or Econ 506
Stat	16:960:567	Applied Multivariate Analysis	Spring	Stat 563	No credit with Stat 583
... 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	16:198:541	Database Systems	Spring	CS 513 and C++ or Java	Elective. No credit with ECE 569
Required seminar and special projects courses
Math	16:642:629	Special Research Projects in Mathematical Finance (1 credit)	Fall, Spring, Summer		Required in conjunction with certain internships
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	Risk and Insurance Management (pdf)	Fall	Math 621	No credit with Math 624
Bus	22:390:603	Investment Analysis and Management (pdf)	Fall, Spring, Summer	Math 621	No credit with Math 628
Bus	22:390:608	Portfolio Management (pdf)	Fall, Spring	Math 621	No credit with Math 628
Bus	22:390:611	Analysis of Fixed Income Securities (pdf)	Fall, Spring, Summer	Math 621	No credit with Math 628

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	16:960:565	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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