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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, Financial Mathematics and Simulations, and Risk Management. Two 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 (3)
|
| MATH-4740 |
Introduction to Financial Mathematics and Engineering
|
Fall |
| MGMT-696X |
Financial Simulations |
Fall |
| MGMT-4370 |
Risk Management |
Spring |
| With Advisor approval, choose two additional courses |
| CSCI-696X |
Computational Finance
|
Fall* |
| DSES-6100 |
Time Series Analysis |
Spring* |
| ECON-4120 |
Quantitative Analysis |
Fall |
| ECON-6570 |
Econometrics |
Spring |
| MATH-4800 |
Numerical Computing |
Fall/Spring |
| MATH-4820 |
Introduction to Numerical Methods for Differential Equations |
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-6370 |
Derivatives Markets |
Spring |
| MGMT-6240 |
Financial Trading and Investing |
Spring |
| MGMT-6410 |
Investment |
Spring |
*Special topics and/or alternate year options
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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