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. 

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.


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.

Required Courses40
Introduction to Finance
Economics of Stock Market Fundamentals (or FIN 580 Section FE)
Financial Derivatives
Term Structure Models
Advanced Term Structure Models
Statistical Methods in Finance
Financial Computing
Optimization in Finance
Numerical Methods in Finance
Stochastic Calculus in Finance
Project4
MSFE Professional Development
Individual Study and Research
Electives4
Financial Statement Analysis
Advanced Corporate Finance
Special Topics in Finance (Risk Measurements and Management)
Special Topics in Finance (Advanced Portfolio Optimization)
Empirical Analysis in Finance
Applied Nonlinear Programming
Special Topics (Section NS-Game Theory Models, Applications & Algorithms)
Multiattribute Decision Making
Total Hours48

Other Requirements

Minimum 500-level Hours Required Overall: 44
Minimum GPA: 2.75