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Mathematical finance

This sample course of study assumes that the student has had at least one semester of calculus-based probability. If not, Math 4710 (Basic Probability) should be taken in the fall semester of the first year.

  • Year 1, Fall: CS 6210 (Matrix Computations), Math 6110/6210 (Real Analysis/Measure Theory), Math 4330 (Linear Algebra)
  • Year 1, Spring: Math 6220 (Applied Functional Analysis), ORIE 6510 (Probability), CS 522 (Computational Methods in Finance)
  • Year 2, Fall: ORIE 5600 (Financial Engineering with Stochastic Calculus), Math 6710 (Probability Theory I)
  • Year 2, Spring: Math 6720 (Probability Theory II), Math 6740 (Mathematical Statistics), ORIE 4712 (Credit Risk: Modeling, Valuation and Management)
  • Year 3, Fall: Math 7770 (Seminar in Stochastic Processes), ORIE 7590 (Selected Topics in Applied Probability)
  • Year 3, Spring: Math 7780 (Seminar in Stochastic Processes), ORIE 7591 (Selected Topics in Applied Probability)

Other relevant courses:

  • Math 6190-6200 (PDEs)
  • ORIE 6500 (Applied Stochastic Processes)
  • Econ 6090-6100 (Microeconomics)
  • NBA 5550 (Fixed-Income Securities)
  • NBA 6730-6740 (Intro to Derivatives)
  • NCC 5060 (Managerial Finance)

For more emphasis on numerical methods:

  • ORIE 4580 (Simulation Modeling and Analysis)
  • CS 6220 (Numerical Optimization)
  • CS 6240 (Numerical Solutions of Differential Equations)