Curriculum
MSFE is a full-time 36-point program. Students start in August and may complete the program in June, August or December of the following year. All courses are 3 credits unless stated otherwise.
Students are also required to attend the Financial Engineering Seminar Series and submit learning journals.
The program offers seven concentrations, including:
1. Asset Management
2. Computation & Programming
3. Computational Finance/Trading Systems
4. Derivatives
5. Finance & Economics
6. Financial Technology
7. Machine Learning for Financial Engineering
To facilitate academic programming, students should complete a program plan to be reviewed by their advisor.
Core Curriculum
FE Core: (18 credits)
- IEOR
- E4799
- MSFE Quantitative and Computational Bootcamp (0-credit)
- IEOR
- E4007
- Optimization Models and Methods (FE)
- IEOR
- E4701
- Stochastic Models (FE)
- IEOR
- E4706
- Foundations of Financial Engineering
- IEOR
- E4703
- Monte Carlo Simulation
- IEOR
- E4707
- Financial Engineering: Continuous Time Models
- IEOR
- E4709
- Statistical Analysis and Time Series
- IEOR
- E4798
- Financial Engineering Seminar Series (0-credit, year-long)
- ENGI
- E4000
- Professional Development and Leadership (0-credit)
Approved FE Electives
Students may select from a variety of approved electives from the Department, Columbia Business School, and Graduate School of Arts and Sciences. Courses taken from the School of Professional Studies will not be counted towards the MS degree (i.e. courses with the following prefixes: ACTU, BUSI, COPR, IKNS, SUMA, FUND, and more). Please consult with your academic advisor regarding electives offered in other departments and schools prior to registration.
- Financial Engineering Electives
- Fall
- Spring
- IEORE4311 Derivatives Marketing & Structuring, 1.5 credits
- x
- IEORE4402 Corporate Finance, Accounting & Investment Banking
- x
- IEORE4500 Applications Programming for Financial Engineers
- x
- IEORE4722 Stochastic Control & Financial Applications
- x
- IEORE4723 Blockchain & Cryptocurrency Investing, 1.5 credits
- x
- IEORE4735 Structured & Hybrid Products
- x
- IEORE4525 Machine Learning for Financial Engineering & Operations Research
- x
- x
- IEORE4540 Data Mining for Engineers
- x
- x
- IEORE4742 Deep Learning for Operations Research & Financial Engineering
- x
- x
- IEOR E4575 Reinforcement Learning: Theory & Practice
- x
- CSORE4231 Analysis of Algorithms I
- x
- DROMB8112 Quantitative Finance: Models and Computation
- x
- DROMB8116-060 Risk Management
- x
- FINCB8307-060 Advanced Corporate Finance
- x
- IEORE4602 Quantitative Risk Management
- x
- IEORE4630 Asset Allocation
- x
- IEORE4718 Beyond Black-Scholes: The Implied Volatility Smile
- x
- IEOR E4725 Networks: Formation, Contagion, and Epidemics
- x
- IEORE4734 Foreign Exchange & Related Derivatives, 1.5 credits*
- x
- IEORE4403 Quantitative Corporate Finance (or IEOR 4402 Corporate Finance, Accounting & Investment Banking; May not take both IEOR E4403 and IEOR E4402)
- IEORE4710 Fixed Income & Term Structure Modeling
- IEORE4725 Big Data in Finance
- IEORE4729 Model Based Trading: Computational Models of Analysis & Execution
- IEORE4731 Credit Risk Modeling and Derivatives
- IEORE4732 Computational Methods in Derivatives Pricing*
- IEORE4741 Programming for Financial Engineering
- IEORE4745 Applied Financial Risk Management
Summer Electives
TBD
Note: Course offerings are subject to availability
(*) Denotes courses that require pre-requisite knowledge; please consult the instructor prior to registration.