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Mathematics of Finance

The Mathematics of Finance concentration studies the foundations of financial theory, including asset pricing and financial institutions. Students learn how financial markets work, how to price assets and measure risk, and how asymmetric information between buyers and sellers impact markets. The relationship between financial markets and the macroeconomy is also typically studied by most students. A written thesis is strongly encouraged as part of the MA degree and is generally conducted in conjunction with a professor’s research in a topic at the forefront of modern finance.

The Mathematics of Finance concentration at the Master’s level is best suited for someone who wants to pursue a career in financial markets, including investment and wealth management as well risk measurement and management. The concentration also provides a strong background for candidates who eventually want to pursue a PhD in economics or finance. The concentration at the PhD level is suitable for candidates who want to produce original research either as a practitioner in industry or as an academic. 

Requirements for MA degree: 

  • Economics: ECON681 or ECON701
  • Mathematical analysis: ACMS 608 and 609
  • Probability theory: MATH 546 and 547 (cross listed as STAT 530 and 531)
  • Either (a) Optimization (OPIM 910/ESE 504) and Game Theory (ECON 682), OR, (b) Algebra (ACMS 602 and 603)
  • Financial Economics: FNCE911
  • Introduction to Empirical Methods in Finance: FNCE921 
  • Either (a) Intertemporal Macroeconomics and Finance, OR, a substitute course upon discussion with the math of finance coordinator (Kent Smetters)
  • Written thesis

Additional Requirements for PhD degree: PhD students pick an additional field: 

1) Asset pricing:
FNCE 922: Continuous-Time Financial Economics
FNCE 923: Financial Economics Under Imperfect Information



2) Corporate institutions
FNCE 912: Corporate Finance and Financial Institutions
FNCE 926: Empirical Methods in Corporate Finance