Financial Engineering - M.S. Program Requirements Download to print

• Calculus: differentials, infinite series, Taylor’s formula, partial derivatives, multiple integrals.Linear Algebra: matrices, vectors, determinants, linear systems of equations, linear independence, bases, eigenvalues, eigenvectors.
• Ordinary Differential Equations: 1st-order ODEs, solution techniques, initial value problems, exponential growth/decay, logistic model equilibrium, steady state 2nd-order linear constant-coefficient ODEs.
• Probability: continuous and discrete distributions, multivariate distributions and independence, ordinary and conditional expectations, Central Limit Theorem.
• Statistics: regression analysis including detection of and solutions to various violations of classic regression assumptions (heteroskedasticity, autocorrelation, multicollinearity and simultaneity).
• Computer Programming: programming ability in a highlevel language such as C, C++, Fortran (77 or 90/95), Basic, Visual Basic or Matlab.
• Economics: basic micro- and macroeconomic topics including supply and demand functions, market structure and the role of money.

Qualified students can be conditionally admitted on the basis of completing these summer workshops.