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, Elements of Structured Finance, and Deal Theory and Structured Analysis are taught by practitioners from the financial industry, enhancing the practical knowledge and the financial engineering skills of our students.

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

Course Pages (NEW)

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

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

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

Required Courses

• 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 MTH 9821, MTH 9831, MTH 9852, and MTH 9862. These core math courses are, in effect two part year-long courses: MTH 9821 and MTH 9852: numerical methods for pricing financial instruments (tree-based methods, Monte Carlo methods, and finite difference methods) MTH 9831 and MTH 9862: probability and stochastic processes methods for describing and pricing financial instruments.

The first course in each sequence, MTH 9821 and MTH 9831 are only offered in the Fall semester. This prevents us from offering Spring semester admission, since every student is expected to take at least one core math course in the first semester of study.

Elective Courses

• MTH 9841 Statistics for Finance
• MTH 9842 Linear and Quadratic Optimization Techniques
• MTH 9845 Market and Credit Risk Management
• 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 9875 The Volatility Surface
• MTH 9879 Market Microstructure Models
• MTH 9881 Current Topics in Mathematical Finance
• FIN 9783 Investment Analysis 3
• 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 Econometrics I
• 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

Fall semester, second year of study

• MTH 9871 Advanced Computational Methods in Finance
• MTH 9873 Interest Rate Models and Interest Rate Derivatives
• MTH 9903 Capstone Project and Presentation
• One elective course