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Actuarial and Statistical Analysis
African Studies 016
Analytics: Discovery Informatics and Data Sciences
Anthropology 070
Applied Computing
Art History 082
Arts, Visual and Theater
Asian Studies 098
Atmospheric Science 107
Biochemistry 115
Bioenvironmental Engineering 116
Biomedical Engineering 125
Biotechnology 126
Biotechnology and Genomics
Business and Science 137
Cell and Developmental Biology 148
Cellular and Molecular Pharmacology
Chemical and Biochemical Engineering 155
Chemistry
Chemistry and Chemical Biology 160
Chinese 165
Cinema Studies 175
Civil and Environmental Engineering 180
Classics 190
Cognitive Science 185
College Teaching 186
College and University Leadership 187
Communication, Information and Library Studies 194
Communication Studies
Comparative Literature 195
Computational and Data-Enabled Science and Engineering 199
Computer Science 198
Cultural Heritage and Preservation Studies (CHAPS)
Curatorial Studies
Data Science (Statistics Track) 954
Drug Discovery and Development
East Asian Languages and Cultures 217
Ecology and Evolution 215
Economics 220
Education 300
Educational Psychology; Educational Theory, Policy, and Administration; Learning and Teaching
Electrical and Computer Engineering 332
Endocrinology and Animal Biosciences 340
Energy 335
Engineering Management
English, Literatures in (English 350, Composition Studies 352)
English as a Second Language 356, American Language Studies 357
Entomology 370
Environmental Change, Human Dimensions of 378
Environmental Sciences 375
Exposure Science
Financial Statistics and Risk Management 958
Food and Business Economics 395
Food Science 400
French 420
Genetic Counseling
Geography 450
Geological Sciences 460
Geospatial Information Science 455
Geospatial Information Systems
German 470
Global Agriculture
Global Sports Business 475
Graduate Student Professional Development 486
Higher Education 507
Historic Preservation
History 510
Horticulture and Turfgrass Science
Human Resource Management
Industrial Mathematics
Industrial Relations and Human Resources 545
Industrial and Systems Engineering 540
Information Technology
Interdisciplinary Ph.D. Program 554
Italian 560
Jewish Studies 563
Kinesiology and Applied Physiology 572
Labor and Employment Relations
Landscape Architecture 550
Latin American Studies
Library Studies
Linguistics 615
Literature and Language 617
Literatures in English
Management
Materials Science and Engineering 635
Mathematical Finance 643
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Requirements
Mathematics 640, 642, 644
Mechanical and Aerospace Engineering 650
Medical Device Design and Development
Medicinal Chemistry 663
Medieval Studies 667
Meteorology
Microbial Biology 682
Microbiology and Molecular Genetics 681
Molecular Biophysics 696
Molecular Biosciences 695
Music
Music 700
Neuroscience 710
Nutritional Sciences 709
Oceanography 712
Packaging Engineering 731
Perceptual Science 714
Personal Care Science
Pharmaceutical Engineering
Pharmaceutical Science 720
Pharmaceuticals and Clinical Trials Management 725
Pharmacology, Cellular and Molecular 718
Pharmacy
Philosophy 730
Physics and Astronomy 750
Physiology and Integrative Biology 761
Planning and Public Policy 762
Plant Biology 765
Political Science 790
Psychology 830
Psychology, Applied and Professional
Public Health 832
Public Policy
Quality and Reliability Engineering
Quantitative Biomedicine 848
Quaternary Studies 855
Religion 840
Russian, Central and East European Studies 859
Science and Technology Management 885
Social Networking and Media
Social Work 910
Social Work: Administration, Policy and Planning, and Direct Practice
Sociology 920
Spanish 940
Statistics and Biostatistics 960
Sustainability
Theater Arts
Toxicology 963
United Nations and Global Policy Studies
Urban Environmental Analysis and Management
Urban Planning, City and Regional
User Experience Design (UXD)
Visual Arts
Women's and Gender Studies 988
Writing for Graduate Students 355
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Requirements

Camden Newark New Brunswick/Piscataway
Catalogs
  Graduate School-New Brunswick 2017 Programs, Faculty, and Courses Mathematical Finance 643 Requirements  
Graduate School-New Brunswick

Courses

For descriptions and prerequisites, please see the Rutgers Business School: Graduate Programs-Newark and New Brunswick catalog for finance courses and the appropriate sections of the Graduate School-New Brunswick catalog for courses offered by the graduate programs in computer science, economics, electrical and computer engineering, mathematics, and statistics.

Required Courses

Mathematics

16:642:573,574  Numerical Analysis I,II, or

16:642:575  Numerical Solution of Partial Differential Equations

16:642:621,622  Mathematical Finance I,II

16:642:630  Seminar in Mathematical Finance

Economics

16:220:507  Econometrics I

16:220:508  Econometrics ll

Elective courses and selected course descriptions

Subject to approval by the mathematical finance program director, students can replace one or more of the electives listed here with graduate courses offered by Rutgers Business School or the graduate programs in computer science, economics, electrical and computer engineering, mathematics, operations research, or statistics.

Mathematics

16:642:623  Computational Finance (3)
Implementation of models for pricing and hedging derivative securities, using C++ programming projects, with emphasis on Monte Carlo simulation, finite difference solution of partial differential equations, binomial and trinomial trees, and the fast Fourier transform (FFT).
Prerequisites: 16:332:503,16:642:573, 621. Corequisites: 16:642:574 or 575, 622.

16:642:624  Credit Risk Modeling (3)
Single-name credit derivatives; structural, reduced form, or intensity models; credit default swaps; multiname credit derivatives; top-down and bottom-up models; collaterized debt obligations; tranche options; risk management.
Prerequisites: 16:642:573, 621. Corequisite: 16:642:622.

16:642:625  Portfolio Theory and Applications (3)
Introduction to modern quantitative portfolio management, from theoretical foundations to the advanced applications, emphasizing models and mathematical, numerical, and statistical techniques.
Prerequisites: 16:642:621, 16:220:507. Corequisite: 16:220:508.

16:642:626 Fixed-Income Securities and Derivative Modeling (3)
Fixed-income securities products; interest rate and yield curve models; models for fixed-income pricing and risk management; exotic fixed-income derivative modeling; mortgage-backed securities; stochastic volatility models.
Prerequisites: 16:642:573, 621. Corequisite: 16:642:622.

16:642:627  High-Frequency Finance and Stochastic Control (3)
An introduction to stochastic control and estimation with emphasis on the Hamilton-Jacobi-Bellman equation, Kalman filtering, and applications to high-frequency finance and trading.
Prerequisites: 16:332:503, 16:642:621, 16:220:507. Corequisite: 16:220:508.

16:642:628  Topics in Mathematical Finance (3)
Topics rotate from semester to semester and year to year. Recent topics have included (a) Energy Risk, Commodities, and Derivative Modeling, (b) Fixed-Income Products and Derivative Modeling, and (c) Quantitative Risk Management.
Prerequisite: Permission of mathematical finance program director.

16:642:629  Special Research Projects in Mathematical Finance (1)
Research project performed in connection with the master's essay for the mathematical finance option of the master of science degree in mathematics, often as part of an industry internship in quantitative finance.
Prerequisite: Permission of mathematical finance program director.

16:642:630  Seminar in Mathematical Finance (0.5)
Seminar in mathematical finance theory, industry practice, and career preparation for students pursuing the mathematical finance option of the master of science degree in mathematics.
Prerequisite: Permission of mathematical finance program director.

Statistics

16:960:567  Applied Multivariate Analysis

16:960:583  Methods of Statistical Inference

16:960:588  Data Mining

Computer Science

16:198:541  Database Systems

Electrical and Computer Engineering

16:332:503  Programming Methodology (C++) for Numerical Computing and Computational Finance (3)
Fundamentals of object-oriented programming and C++ with an emphasis on numerical computing and computational finance applications. Topics include program structure and C++ syntax (loops, functions, arrays, pointers); objected-oriented concepts (abstract data types, classes, overloading, inheritance), and mathematical functions; numerical methods; and quantitative finance applications.
Prerequisite: Introductory programming course.

16:332:566  Parallel and Distributed Computing

16:332:567  Software Engineering

16:332:569  Database System Engineering 

Finance

22:390:601  Risk and Insurance Management
Prerequisites: 16:642:621 and permission of Rutgers Business School.

22:390:603  Investment Analysis and Management
Prerequisites: 16:642:621 and permission of Rutgers Business School.

22:390:608  Portfolio Management
Prerequisites: 16:642:621 and permission of Rutgers Business School.

22:390:611  Analysis of Fixed Income Securities
Prerequisites: 16:642:621 and permission of Rutgers Business School.

 
For additional information, contact RU-info at 732-932-info (4636) or colonelhenry.rutgers.edu.
Comments and corrections to: Campus Information Services.

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