The graduate faculty in mathematics, in partnership with the graduate
faculty in statistics, offers the option in mathematical finance for
the degree of master of science in mathematics. The degree is awarded
by the Graduate School-New Brunswick on recommendation of the graduate program in mathematics.
The degree prepares students for careers in quantitative finance and
risk management at investment banks, financial software and systems
providers, financial consulting firms, and other financial
institutions. The curriculum is periodically reviewed by the faculty in
consultation with an advisory board of academic researchers and
industry practitioners in quantitative finance.
Applications for the fall semester are accepted through March 1, though
earlier submission is recommended; strong applications received after
the deadline may be considered if space is available. We welcome
students with any undergraduate major who will have completed the
prerequisite courses: multivariable calculus, differential equations,
calculus-based probability, linear algebra, and computer programming.
Applicants are required to submit GRE General Test scores, but not
Subject Test scores. Please visit our website at www.finmath.rutgers.edu for application
forms and further information, or contact the mathematical finance program director.
Students complete 30 credits of coursework--seven required
and three elective courses--and submit an approved
master's
degree essay. The seven required courses are Mathematics 16:642:573, 16:642:574, 16:642:621, 16:642:622, and Statistics 16:960:563,
16:960:565, and 16:960:583. The three elective courses may be chosen
from a list of courses offered by Rutgers Business
School-Newark and New Brunswick and the graduate programs in electrical
and computer engineering and mathematics. Subject to approval by the mathematical finance program director, certain other graduate courses
may be chosen as electives.
There is no
comprehensive examination.
The electives 16:332:579 (Advanced Topics in Computer Engineering:
Programming Methodology (C++) for Numerical Computing and Computational
Finance) and 16:642:612 (Topics in Applied Mathematics:
Computational Finance I) are strongly recommended and should be taken
by most students; the final exam project in Computational Finance I can
serve as the basis for the master's degree essay. Students who choose
not to take these two courses may replace them with electives approved
by the mathematical finance program director and select a master's degree topic and
supervisor.
Students are encouraged to seek summer internships in the financial
industry. A report on a suitable summer internship project can serve
as the basis for the master's degree essay.
Students may pursue the degree full time or part time. The Graduate
School-New Brunswick normally requires students to complete the degree
within three years, with a minimum of one year for full-time students.
Full-time students can complete the degree in three semesters. The
minimum cumulative grade-point average required for graduation is 3.0
(B) for all courses taken at Rutgers after admission to the mathematical finance option.
It also is possible to apply
for admission to the mathematical finance option as a nondegree
student. As many as 12
credits of
coursework taken as a nondegree student can count toward the degree if
the student is subsequently admitted to the degree program.
Students who wish to pursue a Ph.D. in mathematics with a research
emphasis in mathematical finance should consult the section on the graduate program in mathematics for admission
requirements, application procedures, and information about the
doctoral program in mathematics.
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