Courses are normally offered every year during the semesters indicated. The schedules for courses offered by the Departments of Mathematics, Statistics, and Electrical and Computer Engineering (for ECE 503) rarely vary, but the schedules for the remaining courses are provided for guidance only; those courses may be rescheduled or cancelled by their offering units without advance notice. Always confirm times with the online schedule of classes when planning your program.

Unit Course Title Semesters Prerequisites Comments
Six (6) required courses
Math 16:643:621 Mathematical Finance I Fall   Required
Math 16:643:622 Mathematical Finance II Spring Math 621 Required
Econ 16:220:607 pdf Econometrics I (44 KB) Fall   Required. No credit with Stat 563
Econ 16:220:608 Econometrics II SPRING  ONLY  Econ 607 No credit with Stat 565 or ISE 530
Math 16:643:573 Numerical Analysis I Fall   Required
Math 16:643:574 Numerical Analysis II Spring   Required
Strongly recommended elective
ECE 16:332:503 Programming Methodology for Numerical Computing and Finance (C++) Fall   Strongly recommended
Select one (1) or more of the following electives
Math 16:643:623 Computational Finance Spring Math 573, 621, ECE 503
Corequisites: Math 622 & 574
Strongly recommended
Math 16:643:624 Credit Risk Modeling Fall (odd years) Math 573, 621
Corequisite: Math 622
Math 16:643:625 Portfolio Theory and Applications Fall Math 621, Econ 507.
Co-requisite: Econ 608
If additional electives needed to complete program, select from our Mathematics and Statistics courses ...
Math 16:643:611 or 612 Selected Topics in Applied Mathematics: Variational Inequalities, Obstacle and Free Boundary Problems in Mathematical Finance Fall (odd years) Math 16:640:501
Math 16:640:517

Recommended for prospective Ph.D. students

Math 16:643:628 Topics in Mathematical Finance: Advanced Risk and Portfolio Management (ARPM) Fall No Prerequisites Recommended
Math 16:643:628 Topics in Mathematical Finance: Energy Risk, Commodities, and Derivative Modeling Fall (even years) Math 573, 621 Recommended
Math 16:643:627 High-Frequency Finance and Stochastic Control Fall (even years) ECE 503, Math 573, Math 621, Econ 607
Econ 608
Math 16:643:626 Fixed income Securities and Derivative Modeling Spring (odd years) Math 573, 621
Corequisites:Math 622
Math 16:643:631 Mathematical Methods for Financial Risk Management Fall Math 621, 622 Recommended
Math 16:643:632 Mathematical Finance in Industry Fall Math 621 or Math 01:640:485  Recommended
Stat 16:958:535 Advanced Statistical Methods in Finance Spring    
Stat 16:960:540 Statistical Quality Control Summer    
Stat 16:958:565 Financial Time Series Analysis Spring    
Stat 16:960:583 Methods of Statistical Inference Fall, Spring, Summer   No credit with Stat 567 or Econ 506
Stat 16:960:587 Interpretion Data II Spring    
Stat 16:960:567 Applied Multivariate Analysis Spring Stat 563 No credit with Stat 583
Stat 16:960:588 Data Mining Fall Stat 567, 587  
Stat 16:960:641 Analytics for Business Intelligence Fall, Spring, Summer Stat 575  
... or from the following CS and ECE courses
ECE 16:332:566 Introduction to Parallel and Distributed Programming Fall Consult online schedule Elective
ECE 16:332:567 Software Engineering I Fall ECE 503 Elective
ECE 16:332:569 Database System Engineering Infrequent   Elective. No credit with CS 541
CS 16:198:536 Machine Learning Spring    
CS 16:198:541 Database Systems Spring CS 513 and C++ or Java Elective. No credit with ECE 569
CS 16:198:520 Introduction To Artificial Intelligence Fall, Spring    
CS 16:198:512 Introduction to Data Structures and Algorithms Fall, Spring    
CS 16:137:562 Applied AI Concept to Market      
CS 22:198:603 Business Data Management Fall
CS 26:198:622 Machine Learning Spring
CS 22:198:660 Business Analytics Programming Spring
CS 26:198:685 Special Topics in Information Systems: Big Data MGMT, Analysis, and Application Spring
Required seminar and special projects courses
Math 16:643:629 Special Research Projects in Mathematical Finance (1 credit) Fall, Spring, Summer   Only Required if employer insists on a student getting academic credit for their internship
Math 16:643:630 Seminar in Mathematical Finance (1/2 credit) Fall, Spring   Required

Business Electives

Courses may be offered at the New Brunswick or Newark campus. Unless an urgent scheduling reason exists, students should take electives offered by the Department of Mathematics instead. Students must consult the Program Administrator before attempting to register for any business course.

Unit Course Title Semesters Prerequisites Conditions
Bus 22:390:601 pdf Risk and Insurance Management (20 KB) (pdf) Fall Math 621 No credit with Math 624
Bus 22:390:603   pdf Investment Analysis and Management (58 KB) (pdf) Fall, Spring, Summer Math 621  
Bus 22:390:608   pdf Portfolio Management (24 KB) (pdf) Fall, Spring Math 621 No credit with Math 625
Bus 22:390:611   pdf Analysis of Fixed Income Securities (21 KB) (pdf) Fall, Spring, Summer Math 621 No credit with Math 626
Bus 22:430:603 Investment Analysis and Management Fall    
Bus 16:137:602 Introduction to Cloud and Big Data Systems Spring    
Bus 16:137:552 Python Methodologies Spring    

Course Substitutions

If students cannot take a required course during the semester when it is offered, they may select one of the alternatives below with the advance permission of the Mathematical Finance Program Director. Credit will not be given for both the required course and any of its alternates.

Unit Course Title Semesters Prerequisites Replaces
Econ 16:220:506 Advanced Economics Statistics (pdf) Fall Math 477 Stat 583
Econ 16:220:507 Econometrics I (pdf) Spring Math 477 or Econ 506 Stat 563
ISE 16:540:530 Forecasting and Time Series Analysis Infrequent Econ 506 or Stat 563 Econ 608
Stat 16:960:563 Regression Analysis Fall, Spring, Summer   Econ 607
Stat 16:960:565 Applied Time Series Analysis Spring Stat 563 Econ 608
Stat 16:960:586 Interpretation of Data I Fall, Spring Math 477 or Stat 583 Stat 563