MA in Mathematics of Finance

所属信息

所属学校

哥伦比亚大学

所属院校

Columbia Department of Mathematics

所属专业

FE/FM（金融工程/金融数学）

基本信息

项目时长

2-3学期 = 1-1.5年

项目学分

学费估算

$69,848

申请截止日期

秋季

常规
5月9日

其他

春季
5/1

申请信息

托福/GRE Code

2162/2162

GMAT Code

Search for "Columbia University" from the list of schools on the GMAT website, and then select the name of the program to which your scores should be sent

申请费

$120

GRE要求

329.00

TOEFL要求

100.00

IELTS要求

7.50

成绩单寄送要求

网申上传

成绩单邮寄地址

WES审阅不用，录取之后再提交

文书要求

Statement of Academic Purpose
Please use your statement of academic purpose to address the following:
Why do you want to study the mathematics of finance, and why do you want to do it in Columbia University’s Mathematics of Finance program?
How have your activities since finishing high school prepared you to study the mathematics of finance?
How have you satisfied the mathematics, statistics, and programming prerequisites listed above? We often spend an inordinate amount of time sifting through the application to figure this out. List mathematics, statistics, computer science, and programming courses you have taken, and list projects and activities where you have used these skills. If you have acquired some of this knowledge by self-study, then you may ask one or more of the people who write reference letters for you to comment on it.
文书思路建议
按照文书要求回答三个问题；如果有金融相关的工作经验，一定要写（简历文书中都写）

Prerequisite

calculus, linear algebra, elementary differential equations, probability and statistics, and a programming language
背景偏好：强量化/理工科背景；金融相关经历背景
The MAFN program attracts students whose academic background is in quantitative areas such as mathematics, statistics, physics, economics, computer science, or engineering. Most have previous work experience or internship experience in finance.

申请材料

100 on the TOEFL internet-based test (2162-99)
7.5 on IELTS
接受澳本三年；合办需要提交English Proficiency Waiver Request form
GRE not required but encouraged
无面试

适宜学生

毕业后可从事量化投资组合管理、量化交易、风险管理、衍生品建模、结构化和交易以及其他相关量化领域工作

特点及课程设置

two or three semesters
数学系和统计系联合开设的STEM项目
专为希望在量化金融领域工作的学生而设计;
专注于现代金融所需的高级定量方法
We strive for a balance between rigorous theoretical courses and cutting-edge applied courses
Students can take courses from all over the university

six mandatory courses
MATH GR 5010 Introduction to the Mathematics of Finance
The mathematics of finance, principally the problem of pricing of derivative securities, developed using only calculus and basic probability. Topics include mathematical models for financial instruments, Brownian motion, normal and lognormal distributions, the Black-Scholes formula, and binomial models.
STAT GR 5263 Statistical Inference / Time-Series Modeling
Modeling and inference for random processes, from natural sciences to finance and economics. ARMA, ARCH, GARCH, and nonlinear models, parameter estimation, prediction, and filtering.
STAT GR 5264 Stochastic Processes – Applications
Basics of continuous-time stochastic processes. Wiener processes. Stochastic integrals. Ito’s formula, stochastic calculus. Stochastic exponentials and Girsanov’s theorem. Gaussian processes. Stochastic differential equations. Additional topics as time permits.
STAT GR 5265 Stochastic Methods in Finance
Mathematical theory and probabilistic tools for modeling and analyzing security markets are developed. Pricing options in complete and incomplete markets, equivalent martingale measures, utility maximization, term structure of interest rates.
MATH GR 5030 Numerical Methods in Finance
Review of the basic numerical methods for partial differential equations, variational inequalities, and free-boundary problems. Numerical methods for solving stochastic differential equations; random number generation, Monte Carlo techniques for evaluating path-integrals, numerical techniques for the valuation of American, path-dependent and barrier options.
MATH GR 5050 Practitioners’ Seminar
The seminar consists of presentations and mini-courses by leading industry specialists in quantitative finance. Topics include portfolio optimization, exotic derivatives, high frequency analysis of data and numerical methods. While most talks require knowledge of mathematical methods in finance, some talks are accessible to a general audience.
four approved elective courses
https://www.math.columbia.edu/mafn/our-curriculum/
could be selected from the MAFN course offering, courses offered by the Statistics Department, and other schools and departments at Columbia University.
Practitioners’ Seminar

职业发展方向
gsas career development services + M.A. Mathematics of finance (mafn) tailored career development program
就业方向：投资银行、金融服务、资产管理、咨询和技术领域

项目官网