Masters Programs: Financial Engineering

Curriculum


Starting July 2005, the program requires the completion of 36 credits, of which 18 are required credits and the remaining 18 are elective. The courses will be taken over a 12 month period of full-time studies, starting with a 6 week part I summer session (July 5 - August 12, 2005), continuing through the 2005-2006 academic year and ending with a 6 week Part II summer session (approximately May 22 - June 30, 2006). All courses are for 3 credits, unless stated otherwise.

Summer Part I: 2 Courses (Required Core)
1. SIEO W4606: Stochastic Models for Financial Engineering
2. IEOR E4007: Optimization Models and Methods for Financial Engineering

Fall: 4 Courses (Required Core)
3. IEOR E4403: Advanced Engineering and Corporate Economics
4. IEOR E4703: Monte Carlo Simulation
5. IEOR E4706: Financial Engineering: Discrete-Time Asset Pricing
6. IEOR E4707: Financial Engineering: Continuous-Time Asset Pricing

Spring: 12 Credits Required; at least two courses to be chosen from among the following:
IEOR E4500: Applications Programming for Financial Engineering
IEOR E4708: Topics in Financial Engineering
IEOR E4709: Data Analysis for Financial Engineering
IEOR E4710: Term Structure Models
IEOR E4718: Topics in Derivatives Pricing
IEOR E4731: Credit Risk and Derivatives

Summer Part II: 6 Credits Required
IEOR E4720: Quantitative Issues in Asset Management
IEOR E4721: Modeling Equity Derivatives in Java
IEOR E4722: Mortgage Backed Securities
IEOR E4726: Experimental Finance

A variety of courses are also available from other Departments and Schools at Columbia including the Graduate School of Business, the School of International and Public Affairs, the Departments of Computer Science, Mathematics, Statistics and Economics.