Financial Engineering (MS)

The M.S. program in Financial Engineering is offered on a full time basis only. Financial Engineering is intended to provide a unique technical background for students interested in pursuing career opportunities in financial analysis and risk management. In addition to the basic requirements for graduate study, students are expected, on entry, to have attained a high level of mathematical and computer programming skills, particularly in probability, statistics, linear algebra, and the use of a programming language such as C, Python, or Java. Previous professional experience is highly desirable but not required.

Graduate studies in Financial Engineering consists of 36 points (12 courses), starting the fall semester. Students may complete the program in May, August, or December of the following year. The requirements include six required core courses and additional elective courses chosen from a variety of departments or schools at Columbia.

Required Core Courses
IEOR E4007OPT MODELS ＆ METHODS FOR FE
IEOR E4701STOCHASTIC MODELS FOR FIN ENG
IEOR E4703MONTE CARLO SIMULATION METHODS
IEOR E4706FOUNDATIONS FR FINANCIAL ENGIN
IEOR E4707FE CONTINUOUS TIME MODELS
IEOR E4709STATISTICAL ANALYSIS AND TIME SERIES

In addition, students are required to attend IEOR E4798 Financial Engineering Practitioners Seminar Series and submit learning journals.

Financial Engineering has seven concentrations:

  1. Asset Management;
  2. Computation and Programming;
  3. Computational Finance and Trading Systems;
  4. Derivatives;
  5. Finance and Economics;
  6. Financial Technology; and
  7. Machine Learning for Financial Engineering.

A sample schedule is available in the Department office and on the IEOR website at ieor.columbia.edu. Students select electives from a group of specialized offerings in both the fall and spring terms. They may select from a variety of approved electives from the Department, Columbia Business School, and the Graduate School of Arts and Sciences.

Financial Engineering1

(36 points)

Fall Semester
Choose nine points from the following required core courses: 2
IEOR E4007
OPT MODELS ＆ METHODS FOR FE
IEOR E4701
STOCHASTIC MODELS FOR FIN ENG
IEOR E4706
FOUNDATIONS FR FINANCIAL ENGIN
IEOR E4798
Financial Engineering Practitioners Seminar Series
IEOR E4799
MSFE Quantitative and Computational Bootcamp
Plus Financial Engineering electives, 3-6 points 3
Spring Semester
Required core courses (9 points): 2
IEOR E4703MONTE CARLO SIMULATION METHODS
IEOR E4707FE CONTINUOUS TIME MODELS
IEOR E4709STATISTICAL ANALYSIS AND TIME SERIES
Plus Financial Engineering electives, 3–6 points 3
Summer and/or Fall Semester
(For remaining credits) 2
CSOR W4231ANALYSIS OF ALGORITHMS I
IEOR E4311Derivatives Marketing ＆ Structuring
IEOR E4500APPLICATIONS PROGRAMMNG FOR FE
IEOR E4525MACHINE LEARNING FE ＆ OPR
IEOR E4602QUANTITATIVE RISK MANAGEMENT
IEOR E4630ASSET ALLOCATION
IEOR E4710TERM STRUCTURE MODELING
IEOR E4718INTRO-IMPLIED VOLATILITY SMILE
IEOR E4722TOPICS IN QUANT FINANCE
IEOR E4723TOPICS IN QUANTATIVE FINANCE
IEOR E4726TOPICS IN QUANTATIVE FINANCE
IEOR E4729TOPICS IN QUANTATIVE FINANCE
IEOR E4731CREDIT RISK/CREDIT DERIVATIVES
IEOR E4732COMPUT METHODS IN FINANCE
IEOR E4734FOR EXCH/RELATD DERIVATVS INST
IEOR E4735Structured and Hybrid Products
IEOR E4741Programming for Financial Engineering
IEOR E4742Deep Learning for OR and FE
Additional Financial Engineering electives will be offered 3
1

Students may conclude the program in May, August, or December. Please visit the departmental website at msfe.ieor.columbia.edu for more information.

2

All courses listed are for 3 points, unless stated otherwise.

3

The list of Financial Engineering electives can be found at ieor.columbia.edu/msfe-curriculum.