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  Graduate School-New Brunswick 2008-2010 Programs, Faculty, and Courses Mathematical Finance 643 Requirements  

Requirements


Courses

For descriptions and prerequisites, please see the Rutgers Business School 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, operations research, and statistics.

Required courses

Mathematics

16:642:573,574  Numerical Analysis I,II
16:642:621,622  Financial Mathematics I,II

Statistics

16:960:563  Regression Analysis
16:960:565  Applied Time Series Analysis
16:960:583  Methods of Inference

Elective courses

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

16:642:611,612  Topics in Applied Mathematics: Computational Finance I,II (3,3)
Implementation of models for pricing and hedging derivative securities, using MATLAB and C++, with emphasis on Monte Carlo simulation, finite difference solution of partial differential equations, binomial trees, and the fast Fourier transform.Prerequisites: 16:642:573, 621. Corequisites: 16:642:574, 622.
16:640:615  Special Studies in Advanced Mathematics (BA)
A student who wishes to use their summer internship project report as the basis of their master's degree essay may register for 1 credit.
Prerequisite: Permission of mathematical finance program director.

Electrical and Computer Engineering

16:332:566  Parallel and Distributed Computing
16:332:567  Software Engineering

16:332:579  Advanced Topics in Computer Engineering: 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.

Finance

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

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




 
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