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

The graduate faculty in mathematics 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, hedge funds, 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, professional financial engineering societies, and industry practitioners in quantitative finance.

Applications for the fall semester are accepted through February 15, 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 for application forms and further information, or contact the mathematical finance program director.

Students complete 31.5 credits of coursework (six required courses, four elective courses, and a seminar in mathematical finance) and submit an approved master's degree essay. The six required courses are: (a) two of mathematics 16:642:573, 16:642:574, or 16:642:575; (b) 16:642:621, 16:642:622; (c) economics 16:220:507; and (d) economics 16:220:508. Students are required to register for 16:642:630 and obtain satisfactory (S) grades for at least three semesters by participating in at least two-thirds of the events per semester designated for credit. The four elective courses may be chosen from a list of courses offered by Rutgers Business School: Graduate Programs-Newark and New Brunswick and the graduate programs in computer science, economics, electrical and computer engineering, mathematics, operations research, and statistics. 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 16:332:503 Programming Methodology (C++) for Numerical Computing and Computational Finance and 16:642:623 Computational Finance are strongly recommended and should be taken by most students; the final exam project in 16:642:623, 624, 625, 626, or 627 can serve as the basis for the master's degree essay.

Students are encouraged to seek internships in the financial industry during their degree program, except during their first semester.

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. Part-time students must complete their degree within five years.

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.
 
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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