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IT Graduate Concentration: Financial Engineering

The Financial Engineering concentration prepares students for careers in the financial industry, with opportunities in financial analysis, management, and consulting and also in banking, investments, and insurance. The combination of advanced study in IT and Financial Engineering uniquely qualifies graduates to assist firms seeking IT solutions to financial systems. The FE concentration is offered jointly with the Lally School of Management and Technology.

Students are introduced to the mathematical approach to risk analysis, portfolio selection, investment planning and derivative instruments, among other financial topics. Focus will be on modeling, optimization, statistical and other computational techniques.

A total of five courses are required in this concentration. All students complete Introduction to Financial Mathematics & Engineering and Risk Management. Three additional courses are chosen in consultation with the advisor based on the student’s background and interests.

Concentration Course Options
Course # Course Title Semester

Required Courses (2)

MATH-4740

Introduction to Financial Mathematics and Engineering

Fall
MGMT-7760 Risk Management Fall
With Advisor approval, choose three additional courses
CSCI-696X

Computational Finance

Fall
ECON-4120 Quantitative Analysis Fall
ECON-6570 Advanced Econometrics Spring
ISYE-6100 Time Series Analysis  Spring
MATH-4800 Numerical Computing Fall/Spring
MATH-4820  Introduction to Numerical Methods for Differential Equations Spring
MATH-6740 Financial Mathematics and Simulation Spring
MATP-4620 Mathematical Statistics Spring
MATP-4700 Mathematical Models of Operations Research Fall
MATP-4820 Computational Optimization Spring
MATP-6640 Linear Programming Spring
MGMT-6240 Financial Trading and Investing Spring
MGMT-6370 Options, Futures and Derivatives Markets Spring
MGMT-6410 Investments I Spring

Academic prerequisites to undertake the Financial Engineering Concentration:

Students should have one year of Calculus and a second year of math courses that cover basic topics in linear algebra and probability and statistics. An upper level undergraduate course in finance is required. Some familiarity with economics, accounting, and investments is highly desirable. Students may be able to complete prerequisites at Rensselaer in addition to the M.S. degree requirements.

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