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Nov 03, 2024
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USC Catalogue 2024-2025
Mathematical Finance (MS)
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The objective of this Master of Science program is to produce graduates with a rigorous foundation in the economic theory and mathematical modeling of financial markets. The program creates an integrated curriculum spanning four disciplines: economics, mathematics, econometrics/statistics and computational/numerical analysis. The program is designed for recent graduates in the fields of applied mathematics, physics and engineering – or for graduates in economics, business and finance with strong mathematical backgrounds – who wish to pursue quantitatively oriented careers in financial institutions, industry or government.
Admission Requirements
Refer to the Requirements for Graduation section and the Graduate School section of this catalogue for general regulations. All applicants are recommended to take the GRE General Test. Complete transcripts of undergraduate and any graduate level courses are required, as well as a statement of purpose and three recommendation letters. A substantial undergraduate background in mathematics is required, which should include one semester of real analysis or advanced calculus, one semester of linear algebra and one semester of advanced probability/statistics. Candidates with weaker backgrounds may be required to take mathematics classes prior to admission to the program. An undergraduate knowledge of microeconomics and of macroeconomics, and partial differential equations is helpful, although it is not required for admission. Some experience in Matlab and C/C++ programming is also useful.
Course Requirements
Thirty-one units of course work are required, six core courses and four elective courses. Students are required to satisfy a summative experience for degree completion. This will be in the form of registration in 1 unit of MATH 590 Directed Research with a summative report at the end of the term. Topics of research will be determined by the program director. The program consists of:
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Required Core Courses (6 Courses, 18 Units)
Mathematics and Mathematical Finance:
- MATH 530a Stochastic Calculus and Mathematical Finance Units: 3
- MATH 530b Stochastic Calculus and Mathematical Finance Units: 3
- MATH 512 Financial Informatics and Simulation (Computer Labs and Practitioner Seminar) Units: 3
- MATH 590 Directed Research Units: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12 (1 Units Required)
Financial Economics and Econometrics:
Elective Courses (4 Courses, 13-14 units)
Select one elective from each category. The fourth elective can be chosen from any of the three categories, or can be another course in the FBE, ECON or MATH department, subject to the approval of the program directors. Computational and Empirical Finance (must take 1 course from this category):
Statistics or Numerical/Optimization/Other Methods (must take 1 course from this category)
Financial Economics (must take 1 course from this category)
Note:
Prerequisites for any of the above courses can be waived based on students’ knowledge of the subject area, subject to the approval of the department’s faculty members.
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