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Program in Mathematics, with a Specialization in the Mathematics of Finance
Degree Programs:
Full-Time/Part-Time: Free-Standing M.A.
Program Director:
Mikhail
Smirnov,
Ph.D.
425 Mathematics
Tel:
212.854.4303
The M.A. program in Mathematics of Finance is designed for students who want to work in areas of quantitative finance such as quantitative portfolio management, quantitative trading, risk management, derivatives modeling, structuring and trading, and other related quantitative fields.
The program is offered by the Department of Mathematics in conjunction with the Department of Statistics. The program concentrates on the advanced quantitative methods required for modern finance and draws on the diverse strengths of Columbia in stochastic processes, numerical methods and applications to finance. The program consists of ten courses, of which seven are required and three are electives. Topics covered include probability and random processes, statistics, partial differential equations, financial markets and instruments, portfolio management techniques, valuation and hedging techniques, and computational and simulation methods. Students must fulfill requirements while registered either full-time (one year) or part-time (two or more years). In very rare situations full-time students can be extended beyond one year but that is considered an exception and should be explicitly approved by the director of program. All required courses are available in the evenings. Part-time students can structure a program so that they take all required and elective courses in the evening two days a week. Required courses include a practitioners' seminar in which distinguished practitioners from the industry discuss their research, give mini-courses and suggest open problems.
Special Admission Requirements
In addition to the requirements listed below, all students must submit
1 official transcript showing courses and grades per school attended, a
Statement of Academic Purpose and 3 letters of evaluation that can be all from academic sources or 1 or 2 letters can be academic and the rest job related. All
international students whose native language is not English or whose
undergraduate degree is from an institution in a country whose official
language is not English, must submit scores of the Test of English as a
Foreign Language (TOEFL) or IELTS. For more information, refer to our Admissions Information and Frequently Asked Questions pages.
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DEGREE:
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Master's Only
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Deadline for Fall Admission
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*March 1 for early admission
May 31 for all admission
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Deadline for Spring Admission
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no spring admission
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Resume/CV
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Yes
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Writing Sample
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No
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GRE General
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recommended can be replaced by GMAT
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GRE Subject
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No
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Miscellaneous
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**see below
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*Decisions to admit, reject or put on wait list should be mailed by mid-to-late April.
**Recommended prerequisites: calculus, linear algebra, elementary differential equations, probability, statistics. If possible, an exposure to advanced calculus and mathematical analysis is desirable. Additional information on prerequisites can be found here.
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