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4. 主要课程

Guidelines for student programs.

Requirements:

Each of the following eight courses is required for master’s and doctoral students unless the student has equivalent credit previously or has the Director's permission for a substitute:

  MAP 5601, Introduction to Financial Mathematics (3, Fall)  
  MAP 5611, Introduction to Computational Finance (3, Spring)  
  ECO 5281, Financial Economics I (3, Spring)  
  FIN 5515, Investment Management Analysis (3, Fall, Spring)  
  STA 5326, Distribution Theory and Inference (3, Fall)  
  MAD 5932, Methods for Interdisciplinary Applications (3, Spring)  
  MAP 6621 Financial Engineering I (3, Fall)  
  MAP 6437, Current Topics in Financial Mathematics (3, Spring)  
   
The student will register and complete, in each Fall and Spring semester prior to earning the MS degree, a 1-hour professional seminar, expected to result in at least 3 terms with “S”,   MAT 5939r, Financial Mathematics Proseminar (1, Fall, Spring)  
   
The following course is required if available in an appropriate semester in the student’s program. If a substitute is made it will normally be MAA 5616 or other theoretical course (MAA 5606 with special permission) approved by the student’s Supervisory Committee and the Director of Financial Mathematics:   STA 5807, Stochastic Processes (3, Summer May 5–June 15)  
   

The student must take two additional approved Mathematics courses (for a total of seven Mathematics courses) chosen from among those listed below, or others with permission of the Director of Financial Mathematics.

Electives:

Courses to complete a Master's program must be chosen from the additional listings below; the concentration in actuarial science must include both courses marked +. Courses marked * are highly recommended (and may be required) for PhD-intending students; see doctoral candidacy.

ECO 5425, Time Series Analysis (3, Spring) (With permission of the Director and Supervisory Committee, instead of or in addition to MAD 5932. May have MAD 5932 as prerequisite.)

STA 5856, Time Series and Forecasting (3, Fall) (With permission of the Director and Supervisory Committee; not in addition to MAD 5932.)

*MAP 5345-5346 Elementary PDE I & II (3 each, Fall-Spring)

*MAA 5616-5617 Measure & Integration I & II (3 each, Fall, Spring) [required for the PhD degree]


*MAA 6416, Topics in Stochastic Calculus (3, odd-year Springs)

ECO 5282, Financial Economics II (3, Fall) or another course chosen by the Economics Graduate Advisor for Financial Mathematics and the Director.

FIN5605, Multinational Financial Management (3, Spring) or another course chosen by the Finance Graduate Advisor for Financial Mathematics and the Director.

RMI 5935 or 5345, (3) or another course chosen by the RMI Graduate Advisor for Financial Mathematics and Director.

RMI 5011, RMI 5710, or RMI 5225 for actuarial concentration with permission.

+MAP 5177, Actuarial Models (3, Fall)
  and MAP 5178, Actuarial Models II (3, Spring)
  NOTE: Must take both courses to receive degree credit. MAP 5177 is a prerequisite for MAP 5178.


MAA 5406-5407 Complex Analysis I–II (3 each, Fall-Spring)

MAD 5420 Numerical Optimization (3)

MAP 6437 Monte Carlo Methods in Financial Mathematics (3, Spring, even years)

MAA 5306-5307 Advanced Calculus I–II (MAA 5306 not for degree credit or letter grade. Financial Mathematics degree credit for MAA 5307 with permission from Director and Associate Chair, 3 each, Fall-Spring)

MXX 5xyz, 6xyz Other mathematics courses are sometimes appropriate; students are notified and/or should ask the Director about ones they spot which appear applicable, e.g., Professor Gallivan teaches a Numerical Linear Algebra in some semesters; Professor Ökten has taught a Monte Carlo course with financial applications, etc.

MAT 5845r, Internship in Financial Mathematics, (1) (London Program 1-3 hrs. TBA)

At most 1 of:  STA 5447 Probability Theory (3, Spring)
STA 5327 Statistical Inference (3, Spring)
Other advanced applied statistics course if approved by Director.



Computer Science: A suitable graduate course, perhaps Neural Networks. Must be approved by Director and Graduate Advisor for Computer Science.

Note. Terms and instructors of course offerings are typical but subject to scheduling constraints; they are listed here to help students make overall tentative plans for their programs. The student must check the University offerings with class hour and room schedules when they are released each term.