The curriculum of the Baruch Financial Engineering program is designed to provide the students with the background required for modeling and solving problems that arise in the financial-service industry.

Courses such as Object Oriented Programming for Financial Applications, Market and Credit Risk Management, Deal Theory and Structured Analysis, Commodities and Futures Trading, Time Series Analysis and Algorithmic Trading are taught by practitioners from the financial industry, enhancing the practical knowledge and the financial engineering skills of our students.

Other courses, such as Interest Rate Models and Interest Rate Derivatives, Volatility Surface, and Market Microstructure Models, are taught by full-time faculty with many years of work experience in the financial industry.

Course Pages (NEW)

Detailed information about selected courses in the Baruch MFE Program, beginning with the core required courses, will be posted here.

MTH 9814 A Quantitative Introduction to Financial Instruments (Fall 2009 semester)

MTH 9821 Numerical Methods for Finance I (Fall 2009 semester)

MTH 9831 Probability and Stochastic Processes for Finance I (Fall 2009 semester)

MTH 9848 Elements of Structured Finance (Spring 2012 semester)

MTH 9862 Probability and Stochastic Processes for Finance II (Spring 2010 semester)

MTH 9875 The Volatility Surface (Fall 2011 semester)

MTH 9879 Market Microstructure Models (Spring 2012 semester)

Baruch MFE Curriculum

After an extensive review which included feedback from industry practitioners, alumni, and faculty, the Baruch MFE Curriculum was reshaped to best  fit the current financial employment environment.

The new Baruch MFE Curriculum is cutting edge (eight new courses taught by top practitioners introduced since Fall 2010), more flexible (fewer required courses), and more streamlined (a core set of redesigned courses was introduced).

Flexible Curriculum

The number of required courses was reduced from 9 to 7, and the number of elective courses was increased from 3 to 5.

Cutting Edge Curriculum

Eight new elective courses introduced since the Fall 2010 semester:

MTH 9865 Commodities and Futures Trading (Fall 2010; Instructor: Luis Molina)

MTH 9867 Time Series Analysis and Algorithmic Trading (Spring 2011; Instructors: Jay Damask & Jim Liew)

MTH 9868 Advanced Risk and Portfolio Management (Summer 2010; Instructor: Attilio Meucci)

MTH 9875 The Volatility Surface (Fall 2010; Instructor: Jim Gatheral)

MTH 9879 Market Microstructure Models (Spring 2012; Instructor: Jim Gatheral)

MTH 9882 Interest Rates Risk (Fall 2011; Instructor: Arya Sekhar)

MTH 9884 Machine Learning (Fall 2011; Instructor: Miguel Castro)

MTH 9896 Behavioral Finance (Spring 2012; Instructor: Sebastiano Manzan)

Streamlined Curriculum

Six courses are designated as Core Courses, two being year-long courses:

MTH 9814 A Quantitative Introduction to Pricing Financial Instruments

MTH 9815 Object Oriented Programming for Finance

MTH 9821 & 9852 Numerical Methods for Finance I & II

MTH 9831 & 9862 Probability and Stochastic Processes for Finance I & II

Degree Requirements

To complete the degree, students must take seven required courses and choose five elective courses from the courses below.

• MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
• MTH 9815 Object Oriented Programming for Financial Applications
• MTH 9821 Numerical Methods for Finance I
• MTH 9831 Probability and Stochastic Processes for Finance I
• MTH 9852 Numerical Methods for Finance II
• MTH 9862 Probability and Stochastic Processes for Finance II
• MTH 9903 Capstone Project and Presentation

Courses with a strong mathematical emphasis include:

The core courses MTH 9821, MTH 9831, MTH 9852, and MTH 9862 have a strong mathematical emphasis and are two part year-long courses in Numerical Methods for Finance (MTH 9821 & MTH 9852) and Probability and Stochastic Processes for Finance (MTH 9831 and MTH 9862).

The first course in each sequence, MTH 9821 and MTH 9831 are offered in the Fall semester. Every student is expected to take at least one core math course in the first semester of study.

Elective Courses

Students take elective courses in the mathematics department or in the Zicklin School of Business.

• MTH 9841 Statistics for Finance
• MTH 9842 Linear and Quadratic Optimization Techniques
• MTH 9845 Market and Credit Risk Management
• MTH 9848 Elements of Structured Finance
• MTH 9849 Deal Theory and Structured Analysis
• MTH 9865 Commodities and Futures Trading
• MTH 9867 Time Series Analysis and Algorithmic Trading
• MTH 9868 Advanced Risk and Portfolio Management
• MTH 9871 Advanced Computational Methods in Finance
• MTH 9873 Interest Rate Models and Interest Rate Derivatives
• MTH 9875 The Volatility Surface
• MTH 9879 Market Microstructure Models
• MTH 9881 Current Topics in Mathematical Finance
• MTH 9882 Interest Rates Risk
• MTH 9884 Machine Learning
• MTH 9896 Behavioral Finance

• FIN 9783 Investment Analysis
• FIN 9786 International Financial Markets
• FIN 9790 Seminar in Finance
• FIN 9793 Advanced Investment Analysis
• FIN 9797 Options Markets
• STA 9700 Modern Regression Analysis
• STA 9701 Time Series: Forecasting and Statistical Modeling
• ECO 82100 Financial Econometrics

Suggested Curriculum for full-time students

Fall semester, first year of study

• MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
• MTH 9815 Object Oriented Programming for Financial Applications
• MTH 9821 Numerical Methods for Finance I
• MTH 9831 Probability and Stochastic Processes for Finance I

Spring semester, first year of study

• MTH 9852 Numerical Methods for Finance II
• MTH 9862 Probability and Stochastic Processes for Finance II
• Two elective courses

MTH elective courses offered in the Spring 2012 semester:

Fall semester, second year of study

• MTH 9903 Capstone Project and Presentation
• Three elective courses

MTH elective courses offered in the Fall 2011 semester: