Example courses of study in mathematical finance

This sample course of study assumes that the student has had at least one semester of calculus-based probability. If not, Math 471 (Basic
Probability) should be taken in the fall semester of the first year.

Year 1, fall: CS 621 (Matrix Computations), Math 611/621 (Real Analysis/Measure Theory), Math 433 (Linear Algebra)

Year 1, spring: Math 622 (Applied Functional Analysis), ORIE 651 (Probability), CS 522 (Computational Methods in Finance)

Year 2, fall: ORIE 568 (Financial Engineering with Stochastic Calculus), Math 671 (Probability Theory I)

Year 2, spring: Math 672 (Probability Theory II), Math 674 (Mathematical Statistics), ORIE 567 (Credit Risk: Modeling, Valuation and Management)

Year 3, fall: Math 777 (Seminar in Stochastic Processes), ORIE 768 (Selected Topics in Applied Probability)

Year 3, spring: Math 778 (Seminar in Stochastic Processes), ORIE 769 (Selected Topics in Applied Probability)

Other relevant courses:

Math 619-620 (PDEs)
ORIE 650 (Applied Stochastic Processes)
Econ 609-610 (Microeconomics)
NBA 555 (Fixed-Income Securities)
NBA 673-674 (Intro to Derivatives)
NCC 506 (Managerial Finance)

For more emphasis on numerical methods:

ORIE 580 (Simulation Modeling and Analysis)
CS 622 (Numerical Optimization)
CS 624 (Numerical Solutions of Differential Equations)