USC Catalogue 20162017 [ARCHIVED CATALOG]
Mathematical Finance (MS)


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 hightech finance 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 must 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.
Foreign Language Requirement
There is no foreign language requirement.
Course Requirements
Thirty units of course work are required, six core courses and four to five 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:
