M.S. FINANCIAL ENGINEERING
Financial Engineering is a multidisciplinary field involving financial theory, the methods of engineering, the tools of mathematics and the practice of programming. The Financial Engineering Program at Columbia University provides a one-year full-time training in the application of engineering methodologies and quantitative methods to finance. It is designed for students who wish to obtain positions in the securities, banking, and financial management and consulting industries, or as quantitative analysts in corporate treasury and finance departments of general manufacturing and service firms.
The first half of our program is devoted to the tools of the trade and their use in modeling financial markets and instruments. Students take courses in stochastic processes, optimization, numerical techniques, Monte Carlo simulation, and data analysis. They also study portfolio theory, derivatives valuation, and financial risk analysis, making use of the methods they have learned.
The second half of the program gives students the opportunity to take more advanced courses or study specialized topics. We offer a selection of more detailed courses on current subjects of interest, ranging from models of the term structure of interest rates to a study of the implied volatility smile, as well as a course on applications programming for financial engineering. Students can also choose from a variety of courses on particular markets and their models, for example mortgage-backed securities or credit-risk modeling.
In addition to courses within the engineering school, students can also take electives from various schools within the university, such as the Graduate School of Business, the Graduate School of Arts and Sciences, the School of Law, and the School of International and Public Affairs.
Our program also hosts a popular Financial Engineering Practitioners Seminar on Monday nights, at which Wall Street and industry practitioners present seminars on their recent research or particular specialty, and where students can hear firsthand about life in the financial world.
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