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Admissions |
| Prerequisites | Required Core | Electives/Concentration | Program Length |
| Finance Course Flow Chart by Career Interest | Finance Electives offered during 2007 |
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| The Financial Engineering Program consists of 36 credit hours leading to the Master of Science in Financial Engineering degree. Graduates are uniquely qualified for a wide range of career opportunities in financial services, banking, insurance, government agencies, energy companies in areas such as financial modeling, derivatives analytics, hedging, risk management and information technology. |  |
| Curriculum Requirements | |
Prerequisites:(top) |
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| Entering Students should have a strong mathematical background similar to that of University of Michigan undergraduates majoring in IOE, Mathematics and Statistics (with applied concentrations), EECS (with economic interests), Economics or Business (with technical interests). In particular, students should have previously completed: |
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| • Two years of college mathematics including multivariable calculus, differential equations and linear algebra (Math 115, 116, 215, {216 or 316}, {214 or 217 or 417 or 419}) • Two terms of calculus-based probability and statistics (Math/Stat 425 and Stat 426 or IOE 265 and 316/366 or EECS 401 and Stat 426) • Basic microeconomic theory/time value of money/interest: (Econ 401 or Math 424) • An introductory finance course ( FIN 551) • Accounting principles (ACC 471 or ACC 501) • Computer programming experience (EECS 183, C or C++ and spreadsheets) |
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| Courses shown in parentheses indicate University of Michigan courses that typically cover the prerequisite material. Students not presenting transcripts showing these prerequisites courses may occasionally be admitted with course “deficiencies”. All identified deficiencies are focused on during the mandatory FE Summer Program in July prior to the start of the first Fall term. |
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Required core:(top) |
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| All students must complete a required core of courses covering financial concepts in capital budgeting, investments, financial markets, and derivative instruments and securities, analytical tools in optimization, stochastic processes, and statistics. | |
| Financial Engineering: An Overview (FE Summer Program) | FINENG 591 (3) | Summer only |
Finance |
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| *Financial Engineering I | IOE 552/MATH 542 (3) | Winter only |
| *Financial Engineering II | IOE 553/MATH 543 (3) | Fall only |
| *Computational Finance | MATH 623 (3) | Fall only |
| Capital Markets & Investment Strategy | FIN 608 (2.25) | Fall/Winter |
| Fixed Income Securities and Markets |
FIN 609 (1.5) | Fall/Winter |
| Options & Futures Corp. Decision Making | FIN 580 (2.25) | Fall/Winter |
Analysis/Design Tools |
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| Stochastic Analysis for Finance |
Math 506 (3) |
Fall only |
| Continuous Optimization Methods | IOE 511/MATH 562 (3) | Fall only |
| Statistical Analysis of Financial Data |
STAT 508 (3) | Fall only |
| Stochastic Processes or Discrete State Stochastic Processes |
IOE 515 (3) MATH/STAT 526 (3) |
Fall only Winter only |
| *These Courses must be taken in this sequence: MATH 506, IOE 552, IOE 553, MATH 623. | ||
Electives/Concentration Areas:(top) |
In addition to the core courses student must take 9 credit hours of elective courses chosen in consultation with an advisor to form a concentration area. Example concentration areas, and related courses, are: (a) Capital markets (for students expected to seek employment in financial institutions in the areas of quantitative research, trading and arbitrage, derivatives and product structuring, risk management, investment banking and brokerages, asset/liability management, and in financial departments of non-financial firms and public institutions): |
Finance |
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| Finance: Risk Management | FINENG 591 | Winter only |
| Risk Management and Financial Engineering | FIN 618 | Winter only |
| Valuations | FIN 615 | Fall and Winter |
| Corporate Financial Policy | FIN 621 | Fall and Winter |
| Corporate Financial Engineering | FIN 622 | Fall and Winter |
| Banks and Financial Institutions |
FIN 631 | Winter only |
| Off-Balance Sheet Banking |
FIN 632 | Winter only |
| Financial Trading | FIN 640 | Winter only |
Optimization and Analysis |
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| Linear Programming | IOE 510/MATH 561 |
Fall and Winter |
| Dynamic Programming | IOE 512 | Winter only |
| Network Flow Algorithms | IOE 612 | Winter only |
| Nonlinear Programming | IOE 611/MATH 663 | |
| Stochastic Control | EECS 558 | Fall only |
Numerical partial differential equations |
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| Numeric Methods for Scientific Computing II | MATH 572 | |
Applied probability, stochastic processes and stochastic analysis in finance |
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| *Seek advising regarding this condition | ||
| (b) Insurance/risk management systems, forecasting (for work in risk management groups, pension management, insurance companies, industrial economic forecasting groups) |
Insurance/risk management systems |
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| Life Contingencies I | MATH 520 | Fall only |
| Life Contingencies II | MATH 521 | Winter only |
| Risk Theory | MATH 523 | Winter only |
Time series analysis and forecasting |
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| Forecasting and Time Series Analysis | IOE 565 | Fall only |
| Bayesian Decision Analysis | IOE 560/STAT 550 | Winter only |
| Analysis of Time Series Link to STAT 531 (pdf) |
STAT 531 | Fall only |
| Advanced Quanitative Methods: Forecasting and Modeling | ECON/574/PPS 574 |
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| (c) Operations and information systems (for work in “middle office” and operational areas of financial institutions-for corporate users and information systems specialty firms) |
Information systems/software engineering |
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| Software Engineering | EECS 481 | Fall and Winter |
| Database Management Systems | EECS 484 | Fall and Winter |
Artificial intelligence/pattern recognition |
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| Introduction to Artificial Intelligence | EECS 492 | Fall and Winter |
| Machine Learning | EECS 545 | Fall and Winter |
Simulation |
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| Computer Modeling of Complex Systems | CMPLXSYS 530 | Winter only |
| Simulation | IOE 474 | Fall and Winter |
| Electronic Commerce | EECS 547/IS 652 |
Winter only |
| Finance Course Flow Chart by Career (PDF) (top) |
| Finance Electives offered during 2007 (PDF) (top) |
Program Length:(top) |
| Students with sufficient background and experience (for example, those who are already studying towards a graduate technical degree at U of M) may be able to complete the FE program in three terms of course work. Students with limited experience and less developed backgrounds are encouraged to participate in an internship as part of a three to four term experience. |
