Department of Mathematical and Statistical Sciences
Faculty of Science
M.Sc. Program in Mathematical Finance
Program
Mathematical Finance is a rapidly developing field worldwide. It is only in the last
few years that options and derivatives have been extensively traded. Even more
complex and exotic financial instruments are being introduced in the markets. To
assess their risk, and price such options involves sophisticated modeling and
mathematics. Well-publicized recent failures have underlined the fact that only
those who know hwat they are doing should be allowed to trade in such products.
Graduates of such a program should find positions with banks, investment
companies, government agencies and large firms.
Entry requirements
A four-year degree in Mathematics, Statistics, Physics, Engineering or Finance,
with a GPA of 6.5 or better, in the work of the final two years, or its equivalent.
Requirements for the M.Sc. in Mathematical Finance
The program consists of a minimum of 24 unit weight of courses at 500 level or
higher from the list below. The minimum acceptable grades in courses is 6.0 and
minimum GPA is 6.5. The program of courses must be approved by the
Grraduate Committee which may, on recommendation of the advisor or
supervisor, require more than the minimum number of courses.
Students who have not previously completedd the equivalents of MATH 417, 436
and 438 may be required to include these courses in their program. If a student,
at the time of entering the program, already has the equivalent of some of the
500 level courses listed below, then up to 6 unit weights of these ay be replaced
by the 400 level courses listed below towards the required minimum 24 units of
course weight. Thus, for instance, a student who has the equivalent of FIN 531,
BUEC 501 and STAT 671 when he/she joins the program but does not have the
equivalent of MATH 436 and MATH 438, may take these courses for graduate
credit and count them towards the 24 unit weight of course requirement.
The Faculty of Business has a policy that students from other faculities must
register in the evening sections of MBA courses. MBA courses correspond to all
500 and 600-level graduate courses offered by the Faculty of Business.
From inside the Department of Mathematical and Statistical Sciences:
MATH 417
Lebesgue Integration
MATH 436/438
Intermediate Partial Differential Equations
MATH 515
Introduction to Mathematical Finance
MATH 527
Intermediate Partial Differential Equations
MATH 536
Numerical Solutions of Partial Differential Equations
MATH 614
MATH 615
STAT 580
STAT 571/672
Mathematical Models for Derivative Securities
Mathe Models for the Term Structure of Interest Rates
Stochastic Processes
Applied Measure Theory for Probability/Probability Theory II
From outside the Department of Mathematical and Statistical Sciences:
ACCTG 501
Intro to Financial Reporting and Analysis
ACCTG 511
Accounting Information and Decision-making
BUEC 501
Microeconomics for Managers
BUEC 511
Economic Structure of Government and Business
FIN 521
Financial Valuation
FIN 531
Financial Management
FIN 654
Risk Management
FIN 703
Advanced Seminar in Finance III
Students are also strongly advised to develop a proficiency in C/C++
programming. CMPUT 201 or EE 445 are examples of courses which teach
C/C++ programming.
Academic Standing
Students may be required to withdraw at any time that their cumulative GPA falls
below the standard required by the FGSR or the Department.