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.
