1、Columbia University -MSc Financial EngineeringNew York, NY, United StatesProgram Contacts:Updated Oct 2009The Summary:The Financial Engineering program at Columbia University provides a one-year full-time training in the application of engineering methodologies and quantitative

2、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.Course Structure/Topics:Th

3、e curriculum below assumes that the student will complete the degree by May 2010.Summer Part I: Required Core, 7.5 points暑期核心課IEOR E4701: Stochastic Models for Financial EngineeringIEOR E4702: Statistical Tools for Financial EngineeringIEOR E4706: Foundations of Financial EngineeringThe Department r

4、equires that students achieve grades of B- or higher in each of the three fundamental core courses offered in the first summer. Poor performance in these courses is indicative of inadequate preparation and is very likely to lead to serious problems in completing the program. As a result, students fa

5、iling to meet this criterion will be asked to withdraw from the program.Fall: Required Core, 15 points 秋季學(xué)期核心課IEOR E4007: Optimization Models and Methods for Financial EngineeringIEOR E4703: Monte Carlo SimulationIEOR E4707: Financial Engineering: Continuous Time ModelsIEOR E4709: Data Analysis for

6、Financial EngineeringOne elective (1.5 - 3 points)IEOR E4403: Advanced Engineering and Corporate Economics(S. Kachani)IEOR E4720: Topics in Quantitative Finance: Commodity Derivatives(M. Higgins)IEOR E4274: Topics in Quantitative Finance: Hedge Funds(L. Metzger)IEOR E4725: Topics in Quantitative Fin

7、ance: Numerical Solutions of Partial Differential Equations(I. Kani)IEOR E4726: Topics in Quantitative Finance: Inflation Derivatives(I. Kani)IEOR E4728: Topics in Quantitative Finance: Guide to Financial Industry for Quantitative Professionals(A. Kuznetsov)Spring, 13.5 points 春季學(xué)期核心課Choose four fro

8、m the courses below, plus one other course in consultation with faculty adviser.DRAN B8835: Security Pricing Models(C. Moallemi)IEOR E4500: Applications Programming for Financial Engineering(D. Bienstock)IEOR E4602: Quantitative Risk Management(M. Haugh)IEOR E4630: Asset Allocation(G. Iyengar)IEOR E

9、4708: Seminar on Important Papers in Financial Engineering(E. Derman)IEOR E4710: Term Structure Modeling(M. Haugh)IEOR E4718: Introduction to the Implied Volatility Smile(E. Derman)IEOR E4726: Topics in Quantitative Finance: Experimental Finance(M. Lipkin&A. Stanton)IEOR E4731: Credit Risk Modeling

10、and Credit Derivatives(R. Cont)Global Derivatives View:Starting with the course outline, an intense look at topics such as econometrics, numerical methods, derivatives, stochastic methods and programming suggest that a well rounded coverage between quantitative subjects and applied subjects can be f

11、ound. With an extensive elective list, candidates have diverse choices to make. Columbias location in New York also give it additional points, being close some one of the financial hubs of the world. We then look at the faculty - which immediately reflects several key members of the derivatives and

12、mathematics community (as highlighted below). Combine the above with a very high quality of entrants and you get a high level program in FE.We would recommend this to those with substantial mathematics and preferably finance background as many of the topics which this program delves into requires a

13、solid foundation in both of these topics.Key Stats:Acceptance Rate: 27%Annual Intake: 300Application Deadline: Dec 15Average Age at Entry:Average Years of Work Experience of Class:Dissertation/Thesis:Duration of Program:Entry Requirements:- Minimum GPA 3.0 in the applicants undergraduate program (A

14、high GPA, as close to 4.0 as possible is more realistic)- Bachelors degree in Mathematics, Engineering, Computer Science, Economics, Statistics, Physics, or another technical discipline.- The prerequisites include completed courses in ordinary differential equations, linear algebra, and in a programming language such as C or Java.- No minimum GRE / TOEFL scoresGMAT: Not AcceptedGPA: Average - 770 Quantitative, 720 AnalyticalTOEFL: Average - 539International Students: 60%Male-Female:Placement Rate:Required Courses for Completion: 36 credits