The Master of Science in Financial Engineering (MSFE) provides only part of the training experts will need as they work to analyze, price, and invent the innovative products that modern personal, corporate, and global finance will demand. Training in financial engineering that can lead to creation of new knowledge in the field is appropriately achieved through the depth and breadth of study undertaken in the pursuit of the doctoral degree (PhD).
Enrollment in the doctoral program is limited and highly selective. Students are not admitted directly into the PhD program, but must first apply to the MSFE. Upon completion of at least 24 units in the MSFE, the student may apply for admission to the doctoral program.
Application decisions are based upon the MSFE application file, evaluation by the admissions committee of the student’s performance in the MSFE Program, and a determination of the student’s potential for success in the doctoral program. The department does not provide assessments of the likelihood of admission to the PhD in advance of the formal application. Students interested in formally applying to the doctoral program in Financial Engineering should complete and submit the Change of Degree Form as instructed on the registrar’s Change of Degree web page.
Doctoral degree guidelines provided in the Academic Policies section of the Bulletein apply.
Coursework. A total of 72 units of coursework are required, including directed research and independent study activities. Two advanced 300-level mathematics courses are required as electives.
Upon completion of the two written examinations, 24 units are completed in advanced coursework, independent study, and directed research in mathematics and finance. In addition to the core MSFE courses, mathematics courses which must be completed included the following.
- MATH 368 - Advanced Numerical Analysis or MATH 362- Numerical Partial Differential Equations
- MATH 358B - Advanced Stochastic Calculus with Financial Applications
- MATH 351 - Time Series Analysis or ECON 384 - Econometrics
Written Exams. Students are required to successfully pass four written examinations. The last two of these exams are taken while the student is enrolled in the last 24 units of advanced coursework described above. The written exams cover the materials described below.
- Mathematics of finance, based upon the four MSFE core courses in mathematics
- Advanced finance, based upon the four MSFE core courses in finance
- Mathematics, based upon advanced coursework in mathematics
- Finance, based upon advanced coursework in finance
Advancement to Candidacy and Dissertation. Upon completion of all required coursework and written examinations, students prepare for and take the oral qualifying examination. The oral qualifying examination is administered by the qualifying committee to examine the student’s preparation for research in his or her chosen area of financial engineering. Upon successful completion of the oral qualifying examination, the student is advanced to candidacy. At this time, the student forms a dissertation committee and, under the direction of the committee, carries out the research outlined in the oral qualifying examination. The completed dissertation is defended before the dissertation committee.
Policies and procedures regarding the dissertation process are detailed in Doctoral Degree Regulations in the Academic Policies section of the Bulletin.
Satisfactory Academic Progress. The University’s policy on satisfactory academic progress applies. The program expects students to complete the 48 units required for the MSFE with a grade point average (GPA) of 3.0 (B) or better. In addition, students must maintain a minimum 3.0 GPA in all coursework to qualify for the doctoral degree. Students whose GPA falls below 3.0 or who do not make satisfactory progress toward completion of the degree are placed on academic probation and subject to dismissal from the program. Grades below B- are considered unsatisfactory, requiring of remedial action, academic probation, or dismissal from the program.
Transdisciplinary Course Requirement. All students who enter the doctoral program after the fall 2004 semester are required to complete the transdisciplinary course requirement within the first two years of their program. For details regarding this requirement, refer to Doctoral Degree Regulations section of the Bulletin.
University Policies. University policies detailed in the Academic Policies section of the Bulletin apply.