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 (thirteen new courses taught by top practitioners introduced since Fall 2010), flexible (fewer required credits and newly introduced half-semester courses), and streamlined (a core set of redesigned courses).


Course Pages (NEW)

Detailed information about selected courses in the Baruch MFE Program, including syllabi, sample exams and homeworks, can be found below:

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)


Flexible Curriculum

The number of required credits was reduced from 27 to 21, and the number of elective credits increased from 9 to 15.


Cutting Edge Curriculum

Thirteen new elective courses introduced since 2010:

Fall 2010:

MTH 9865 Commodities and Futures Trading

MTH 9875 The Volatility Surface

Spring 2011:

MTH 9879 Market Microstructure Models

MTH 9893 Time Series Analysis

MTH 9894  Algorithmic Trading

Summer 2011:

MTH 9868 Advanced Risk and Portfolio Management

Fall 2011:

MTH 9882 Fixed Income Risk Management

MTH 9884 Machine Learning

Winter 2012:

MTH 9891 Introduction to Financial Econometrics

Fall 2012:

MTH 9883 Structured Security Valuation in the Primary Market

MTH 9896 Behavioral Finance

Spring 2013:

MTH 9863 Volatility Filtering and Estimation

MTH 9895 Big Data in Finance


Degree Requirements

To complete the degree, students must complete 36 credits: 21 credits by taking seven 3-credit core courses and 15 credits by taking elective courses.

Core Courses

Credits Semester
MTH 9814 A Quantitative Introduction to Pricing Financial Instruments 3 Fall
MTH 9815 Software Engineering for Finance 3 Fall
MTH 9821 Numerical Methods for Finance I 3 Fall
MTH 9831 Probability and Stochastic Processes for Finance I 3 Fall
MTH 9852 Numerical Methods for Finance II 3 Spring
MTH 9862 Probability and Stochastic Processes for Finance II 3 Spring
MTH 9903 Capstone Project and Presentation 3 Fall or Spring

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 courses 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.

Mathematics Department Elective Courses:

Credits Semester
MTH 9842 Linear and Quadratic Optimization Techniques 1.5 Spring
MTH 9845 Market and Credit Risk Management 3 Spring
MTH 9848 Elements of Structured Finance 3 Spring
MTH 9863 Volatility Filtering and Estimation 1.5 Fall
MTH 9865 Commodities and Futures Trading 1.5 Fall
MTH 9868 Advanced Risk and Portfolio Management 3 Summer
MTH 9873 Interest Rate Models and Interest Rate Derivatives 3 Fall
MTH 9875 The Volatility Surface 3 Fall
MTH 9879 Market Microstructure Models 3 Spring
MTH 9882 Fixed Income Risk Management 1.5 Fall
MTH 9883 Structured Security Valuation in the Primary Market 1.5 Fall
MTH 9884 Machine Learning 1.5 Fall
MTH 9891 Introduction to Applied Financial Econometrics 1.5 Winter
MTH 9893 Time Series Analysis 1.5 Spring
MTH 9894 Algorithmic Trading 1.5 Spring
MTH 9895 Big Data in Finance 1.5 Fall
MTH 9896 Behavioral Finance 1.5 Fall

Business School Elective Courses:

  • FIN 9782 Futures and Forwards Markets
  • 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

Schedule of Classes

Academic Year 2012-2013

Fall 2012

Instructor Type Credits
MTH 9814 Quantitative Introduction Financial Instruments Robert Spruill, State Street Core 3
MTH 9815 Software Engineering for Finance Norman Kabir, Autonomy Capital & Alain Ledon, Ally Bank Core 3
MTH 9821 Numerical Methods for Finance I Dan Stefanica, Baruch MFE Core 3
MTH 9831 Probability & Stochastic Processes for Finance I Elena Kosygina, Baruch MFE Core 3
MTH 9865 Commodities and Futures Trading Mark Higgins, J.P. Morgan Elective 1.5
MTH 9882 Fixed Income Risk Management Andrew Lesniewski, DTCC Elective 1.5
MTH 9883 Structured Security Valuation Sylvain Raynes, R&R Consulting Elective 1.5
MTH 9884 Machine Learning Miguel Castro, Two Sigma Elective 1.5
MTH 9873 Interest Rate Models and Derivatives Doug Howard, Baruch MFE Elective 3
MTH 9875 The Volatility Surface Jim Gatheral, Baruch MFE Elective 3
MTH 9896 Behavioral Finance Ashvin Chhabra, Institute for Advanced Study Elective 1.5
MTH 9903 Capstone Project and Presentation Core 3

Winter 2013

Instructor Type Credits
MTH 9891 Introduction to Applied Financial Econometrics Ashley Lester, Mogan Stanley & Rados Radoicic, Baruch MFE Elective 1.5

Spring 2013

Instructor Type Credits
MTH 9845 Risk Management Ken Abbott, Morgan Stanley Elective 3
MTH 9848 Elements of Structured Finance Sylvain Raynes, R&R Consulting Elective 3
MTH 9852 Numerical Methods for Finance II Dan Stefanica, Baruch MFE Core 3
MTH 9862 Probability and Stochastic Processes for Finance II Elena Kosygina, Baruch MFE Core 3
MTH 9863 Volatility Filtering and Estimation Alireza Javaheri, JPMorgan Elective 1.5
MTH 9879 Market Microstructure Models Jim Gatheral, Baruch MFE Elective 3
MTH 9893 Time Series Analysis Jay Damask, Ronin Capital Elective 1.5
MTH 9894 Algorithmic Trading Jim Liew, Alpha Quant Elective 1.5
MTH 9895 Big Data in Finance Andrew Sheppard, Fountainhead Elective 1.5
MTH 9903 Capstone Project and Presentation Core 3

Sample Curriculum for Full-Time StudentsFall semester, first year of study

  • MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
  • MTH 9815 Software Engineering for Finance
  • 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
  • 6 credits of elective courses

Fall semester, second year of study

  • MTH 9903 Capstone Project and Presentation
  • Nine credits of elective courses