Mathematics (MA)

Course usage information

MA-501   C++ for Numerical ApplicationsCredits: 3   

Prerequisite: Permission of the director of the MSFM or department chair.

Term Offered: All Terms

Course Type(s): None

Teaches C++ in the UNIX/Cygwin development environment. It specializes on practicalities of coding large applications utilizing software libraries containing numerical methods such as LAPACK/TNT/GSL and data structures such as STL.

Course usage information

MA-510   Numerical Methods for Financial MathematicsCredits: 3   

Prerequisite: MA-501, passed with a grade of C- or higher.

Term Offered: Spring Term

Course Type(s): None

Teaches numerical methods aimed at implementing the mathematics developed in financial engineering. This includes practical implementation in C++ of numerical methods used in finance such as tree-based methods, finite differences, and Monte Carlo simulation.

Course usage information

MA-520   Introduction to Financial MathematicsCredits: 3   

Prerequisite: Permission of the director of the MSFM or department chair.

Term Offered: Fall Term

Course Type(s): None

An introduction that combines the topics of finance to mathematics. Topics include: introduction to pricing of derivative securities markets; futures, swaps; options; and bonds.

Course usage information

MA-530   Stochastic CalculusCredits: 3   

Prerequisite: Permission of the director of the MSFM or department chair.

Term Offered: Fall Term

Course Type(s): None

Exposes students to some of the techniques from stochastic analysis that are employed in mathematical finance. This includes the importance in the revolution that has taken place in the financial markets over the last twenty-five years. Topics include developing the relationship between Brownian motion and stochastic calculus.

Course usage information

MA-540   Statistical Theory in Finance and EconomicsCredits: 3   

Prerequisites: MA-520 and MA-530, both passed with a grade of C- or higher.

Term Offered: Spring Term

Course Type(s): None

Covers topics related to multiple regression techniques, including testing the assumptions required for each to be valid. This includes applications to yield curve smoothing, pricing, and investment models. Also covered are techniques for the analysis and modeling of time series data, forecasting and market risk measures. In addition, factor analysis, structural equation modeling, and other multivariate techniques will be covered.

Course usage information

MA-550   Computation and Simulation in FinanceCredits: 3   

Prerequisites: MA-520 and MA-530, both passed with a grade of C- or higher.

Term Offered: Fall Term

Course Type(s): None

Teaches the most fundamental aspect of financial mathematics and numerical implementation from a practical business. Topics include Black Scoles equations; Tree-based and Monte Carlo methods and products.

Course usage information

MA-595   Financial Mathematics PracticumCredits: 3   

Prerequisite: MA-540 passed with a grade of C- or higher, and permission of the director of the MSFM or department chair.

Term Offered: All Terms

Course Type(s): None

Team work on substantial projects submitted by corporate sponsors. Students address practical quantitative problems from first formulation to final presentation, making full use of their modeling and computing skills. Projects will result in a final written report, formal defense, and presentation to corporate sponsor, faculty and other students in the course.

Course usage information

MA-598   Special Topics in MathematicsCredits: 3   

Term Offered: All Terms

Course Type(s): None

The subject matter varies with the interest of the students and the professor teaching the course. The exact nature of the topic covered in any given semester is indicated in the student's transcript. For the course to count for credit toward a particular graduate program outside mathematics, prior permission of the chair of graduate studies in that program must also be obtained.

Course usage information

MA-599   Independent Study in MathematicsCredits: 3   

Term Offered: All Terms

Course Type(s): None

Independent study in a topic not substantially treated in a regular graduate course; weekly consultation. Prior permission of directing professor and the chair of the department is required. For the course to count for credit toward a particular graduate program outside mathematics, prior permission of the chair of graduate studies in that program must also be obtained.