Financial Engineering, MS

for the degree of Master of Science in Financial Engineering


department head (Industrial & Enterprise Systems Engineering): Deborah L Thurston

department head (Finance): Louis Chan

program director: Morton Lane


overview of admissions requirements: https://msfe.illinois.edu/admissions/requirements.aspx

overview of grad college admissions requirements: https://grad.illinois.edu/admissions/apply


program website: http://msfe.illinois.edu

program faculty: https://msfe.illinois.edu/faculty/


college websites: https://grainger.illinois.edu and https://giesbusiness.illinois.edu


contact: Application Inquiries

address: 3252 Digital Computer Lab, 1304 W Springfield Ave, Urbana, IL  61801

phone: (217) 333-3284

email: msfe@illinois.edu


Financial Engineering (FE) is the application of quantitative methods to the analysis of financial markets and financial products. The quantitative techniques may include Mathematics, Statistics, Computer Science, Machine Learning, Neural Nets, and generalized Data Analytics. The applications include searching for opportunities as well as deriving solutions to financial problems. All financial markets are a subject for FE, from public exchanges to private over-the-counter markets. Similarly, all financial products, from equities, bonds and derivatives to bitcoins are candidates for quantification. An overarching theme for FE involves balancing reward against techniques for the measurement, management, and mitigation of risk. 

Graduate Degree Programs in Financial Engineering

The Master of Science in Financial Engineering (MSFE) degree program is jointly sponsored by the Department of Industrial and Enterprise Systems Engineering (ISE) in The Grainger College of Engineering and the Department of Finance in the Gies College of Business. Graduates from this program receive the MSFE degree awarded by the Graduate College. The MSFE program complements other graduate programs offered by the sponsoring departments. The Master of Science in Financial Engineering (terminal master’s) can be completed in 15 or 24 months, beginning in August each year. The second and subsequent semesters allow students the flexibility to pursue specialized tracks within the program, such as data analytics and electronic trading. A corporate-sponsored “practicum”, provides students opportunities to address real world financial modeling problems and provides access to state-of-the-art analytic tools and software products.

Concentrations

Advanced Analytics in Industrial & Enterprise Systems Engineering

Data Analytics in Finance


Admission

Applicants to the MSFE Program will have a Bachelor’s degree with one year of calculus, one semester of linear algebra and differential equations, one semester of programming (preferably in C/C++), and one semester of probability and statistics. Knowledge of basic finance and economics is helpful but not necessary. Given its technical emphasis, applicants to this program typically will have completed a Bachelor’s degree in an engineering field, mathematics, physics, computer science, or economics that provides sufficient preparation to facilitate a fast-paced, in-depth learning environment.

All applicants are expected to have a minimum grade point average of at least 3.25 (A=4.00) for the last two years of undergraduate study and a 3.50 for any previous graduate work completed. Scores on the Graduate Record Examination (GRE) general test are required of all applicants. GMAT scores will also be considered. 

All applicants whose native language is not English are required to submit TOEFL or International English Language Testing System (IELTS) scores as evidence of English proficiency.  Minimum admission requirements are set by the Graduate College.  Under certain circumstances applicants may be exempt from the TOEFL/IELTS requirement.

for the degree of Master of Science in Financial Engineering


Covering topics in finance, economics, numerical methods, stochastic calculus, and computer programming, the MSFE is a rigorous, three-semester, 48-credit, resident degree program with a summer internship opportunity. Twelve courses each of 4 graduate credits are required for graduation; they are expected to be taken in sequence in the respective semesters.

For additional details and requirements refer to the program’s Web site and the Graduate College Handbook.

Core Coursework28
FIN 500Introduction to Finance4
FIN 512Financial Derivatives4
FIN 516Term Structure Models (Course revision from 4 to 2 credit hours)2
FIN 553Machine Learning in Finance2
IE 522Statistical Methods in Finance4
IE 523Financial Computing4
IE 524Optimization in Finance2
IE 525Stochastic Calculus & Numerical Models in Finance4
IE 517Machine Learning in Finance Lab2
Elective Coursework (approved by academic advisor)16
Professional Development (choose from the following)4
FIN 583Practicum2
IE 597Independent Study2
Other independent study/internship with approval of advisor.
Total Hours48

Other Requirements

A minimum of 36 credit hours must be taken from the University of Illinois Urbana-Champaign campus.
Minimum GPA: 2.75