Mathematics of Finance and Risk Management

The program in Mathematics of Finance and Risk Management (or Mathematics of Finance for short) is designed to provide a broad education in the quantitative aspects of finance and risk management. Today's financial instruments require sophisticated mathematical techniques for their valuation. These techniques come from the fields of probability, statistics, and differential equations.

Printable Mathematics of Finance & Risk Management Subplan Checklist - Click Here

I. Prerequisites

The prerequisite for the concentration in Mathematics of Finance is one of the following pairs of courses: 205 & 217, 215 & 217, 285 & 217, or 295 & 296. In addition, each student must complete two introductory courses in Economics (Econ 101 and 102), and acquire a working knowledge of a high-level computer language (e.g. Fortran, C or C++) at a level equivalent to completion of EECS 183.

The concentration program must include at least ten courses: 4 basic courses (II.), 4 special Mathematics of Finance courses (III.), and 2 related courses (IV.) as described below.

II. Basic Courses

Basic courses consist of one from each of the following groups completed with a grade of at least C-:

• Differential Equations: Math 286 or 316
• Probability: Math 525
• Statistics: Stats 426
• Analysis: Math 351 or 451

More advanced students, such as those who have completed Math 396, may substitute higher-level courses with the approval of a major advisor.

III. Special Courses 

The special Mathematics of Finance courses must include Math 423, 474, 472, and 526.  Careful planning is essential. 

IV. Related Courses

To complete the major program, each student should elect two additional intermediate or advanced courses related to Financial Mathematics. Some, but not all, of the courses numbered 300 and above offered by Accounting, Computer Science, Economics, Finance, Industrial and Operations Engineering, and Statistics are appropriate for this purpose. Some specific approved courses are:

• Math 327 Evol Math Concepts
• Math 422 Risk Mgmt & Insurance
• Math 427 Retirement Plans
• Math 462 Mathematical Models
• Math 623 Computational Finance
• ACC all courses 300 and above
• DATASCI 406 Computational Method
• DATASCI 415 Data Mining
• DATASCI 451 Bayesian Data Analy
• DATASCI 470 Intro Design of Exp
• DATASCI 503 Stat Machine Learning
• ECON 401 Inter. Micro Theory
• ECON 402 Inter. Macro
• ECON 409 Game Theory
• ECON 452 Intro to Econometrics
• FIN 302 Financial Decisions
• FIN 317 Corp Financing Decisions
• FIN 408 AND 409 (1.5 Credits Each)Capital Markets AND Fixed Inc. Sec.
• IOE 310 Intro Optim. Methods
• IOE 452 Corporate Finance
• STATS 413 Appl Regression
• STATS 480 Survey Sampling
• STATS 500 Regression Analysis
• STATS/DATASCI 501 Adv Regress Anl
• STATS 505/ECON 671 Econometric An
• STATS/DATASCI 531 Analysis Time Series
• Some Statistics courses numbered above 400

Other courses may sometimes be appropriate, and in all cases, approval of the advisor in Financial Mathematics is required.