Financial Mathematics
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Supervisory Committee — Individually planned programs
selected with the Program Director follow the first year courses. In
the
first semester the Director will appoint a Chair of the MS Supervisory
Committee for both MS and PhD students; the Chair will take over as the
primary
advisor, in consultation with the Director, until completion of the MS
degree
(or, for PhD students, until appointment of a PhD major professor).
The student and Chair will select two more faculty, one in Mathematics,
and one from another participating
department, to complete a three-member MS Supervisory Committee.
This committee should be formed no later than the end of the third
semester.
Requirements. The Master’s (MS) option in Financial Mathematics is a course-type option requiring 36 letter-graded graduate hours, comprising 12 letter-graded 3 hour semester courses, of which at least seven 3-hour courses are among specified courses in the Department of Mathematics and at least one 3-hour course each is from the Departments of Economics, Finance, and Statistics. Additionally, the student will normally complete, in each Fall and Spring semester until earning the MS degree, the 1-hour professional seminar, (see below MAT 5939r). Substitutions requested due to student backgrounds or course availabilities will be determined by appropriate Graduate Advisors to the program and the Director. Up to 6 hours of courses equivalent to listed courses may be transferred, subject to university requirements, from another United States university, provided they were not previously used as credit toward a degree at any institution.
For the PhD, the courses for the Master’s as listed below are to be completed at FSU (or waived if there is previous equivalent study) by PhD intending students. In addition to satisfying the Master’s degree requirements, students must pass two approved qualifiers as part of advancement to doctoral candidacy. PhD students must also pass the two semester course sequence MAA 5616-5617 Measure & Integration I & II prior to completing the PhD degree, unless waived by prior equivalent study.
A Note About Computing. Facility with computer programming is required. By the second semester students are expected to be familiar with a high level programming language such as C, C++, Java, or Fortran. The Program has a computational emphasis, especially in the courses Computational Finance and Current Topics. Students enter with a variety of computing skills and are encouraged to extend them; a laptop computer very helpful and most students acquire one by the end of their first year.
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Financial Mathematics Master’s Degree Checklist
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Here are typical schedules leading to the MS degree after two years; these choices can be modified with permission depending on a student's background. Actual schedules are planned with the Director, and then with the Supervisory Committee when available. Note: both tracks allow for either continuing on to the PhD, or stopping with the MS.
Standard M.S. track:
| 1st Fall | 1st Spring | Summer | 2nd Fall | 2nd Spring |
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| MAP5601 Intro to Financial Mathematics | MAP5611 Intro to Computational Finance | STA5807 Stochastic Processes | MAP6621 Financial Engineering I | MAP6437 Current Topics (Projects) |
| FIN5515 Investments | ECO5281 Financial Economics I | (optional approved internship) | (Approved Math Elective I) | (Approved Math Elective II) |
| STA5326 Distribution Theory and Inference | MAD5932 Methods for Interdisc. Applications | (Approved Elective) | (Approved Elective) |
Advanced track, for Ph.D. preparation:
| 1st Fall | 1st Spring | Summer | 2nd Fall | 2nd Spring |
|---|---|---|---|---|
| MAP5601 Intro to Financial Mathematics | MAP5611 Intro to Computational Finance | STA5807 Stochastic Processes | MAP6621 Financial Engineering I | MAP6437 Current Topics (Projects) |
| FIN5515 Investments | ECO5281 Financial Economics I | STA5326 Distribution Theory and Inference | MAD5932 Methods for Interdisciplinary Applications | |
| (Qualifier Course) | (Qualifier Course) | (Qualifier Course) | (Qualifier Course) |
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Guidelines for student programs.
Requirements:
Each of the following eight courses is required for master’s and doctoral students unless the student has equivalent credit previously or has the Director's permission for a substitute:
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MAP 5601, Introduction to Financial Mathematics (3, Fall) | |
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MAP 5611, Introduction to Computational Finance (3, Spring) | |
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ECO 5281, Financial Economics I (3, Spring) | |
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FIN 5515, Investment Management Analysis (3, Fall, Spring) | |
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STA 5326, Distribution Theory and Inference (3, Fall) | |
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MAD 5932, Methods for Interdisciplinary Applications (3, Spring) | |
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MAP 6621 Financial Engineering I (3, Fall) | |
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MAP 6437, Current Topics in Financial Mathematics (3, Spring) | |
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MAT 5939r, Financial Mathematics Proseminar (1, Fall, Spring) | |
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STA 5807, Stochastic Processes (3, Summer May 5–June 15) | |
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The student must take two additional approved Mathematics courses (for a total of seven Mathematics courses) chosen from among those listed below, or others with permission of the Director of Financial Mathematics.
Electives:
Courses to complete a Master's program must be chosen from the additional listings below; the concentration in actuarial science must include both courses marked +. Courses marked * are highly recommended (and may be required) for PhD-intending students; see doctoral candidacy.
ECO 5425, Time Series Analysis (3, Spring) (With permission of the Director and Supervisory Committee, instead of or in addition to MAD 5932. May have MAD 5932 as prerequisite.)
STA 5856, Time Series and Forecasting (3, Fall) (With permission of the Director and Supervisory Committee; not in addition to MAD 5932.)
*MAP 5345-5346 Elementary PDE I & II (3 each, Fall-Spring)
*MAA 5616-5617 Measure & Integration I & II (3 each, Fall, Spring) [required for the PhD degree]
*MAA 6416, Topics in Stochastic Calculus (3, odd-year Springs)
ECO 5282, Financial Economics II (3, Fall) or another course chosen by the Economics Graduate Advisor for Financial Mathematics and the Director.
FIN5605, Multinational Financial Management (3, Spring) or another course chosen by the Finance Graduate Advisor for Financial Mathematics and the Director.
RMI 5935 or 5345, (3) or another course chosen by the RMI Graduate Advisor for Financial Mathematics and Director.
RMI 5011, RMI 5710, or RMI 5225 for actuarial concentration with permission.
+MAP 5177, Actuarial Models (3, Fall) and MAP 5178, Actuarial Models II (3, Spring, temporary number MAP 5932); must take both courses to receive degree credit. (Note that MAP 5177 can be exempted by passing SOA Exam M or CAS exam 3 and the student can go directly to MAP 5178.)
MAA 5406-5407 Complex Analysis I–II (3 each, Fall-Spring)
MAD 5420 Numerical Optimization (3)
MAP 6437 Monte Carlo Methods in Financial Mathematics (3, Spring, even years)
MAA 5306-5307 Advanced Calculus I–II (MAA 5306 not for degree credit or letter grade. Financial Mathematics degree credit for MAA 5307 with permission from Director and Associate Chair, 3 each, Fall-Spring)
MXX 5xyz, 6xyz Other mathematics courses are sometimes appropriate; students are notified and/or should ask the Director about ones they spot which appear applicable, e.g., Professor Gallivan teaches a Numerical Linear Algebra in some semesters; Professor Ökten has taught a Monte Carlo course with financial applications, etc.
MAT 5845r, Internship in Financial Mathematics, (1) (London Program 1-3 hrs. TBA)
| At most 1 of: | STA 5447 Probability Theory (3, Spring) STA 5327 Statistical Inference (3, Spring) Other advanced applied statistics course if approved by Director. |
Computer Science: A suitable graduate course, perhaps Neural Networks. Must be approved by Director and Graduate Advisor for Computer Science.
Note. Terms and instructors of course offerings are typical but subject to scheduling constraints; they are listed here to help students make overall tentative plans for their programs. The student must check the University offerings with class hour and room schedules when they are released each term.
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FM
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