MS in Mathematical Finance

The MS in Mathematical Finance (MSMF) is a full-time, three-semester, 36-credit program with a common core during the first semester. In the two remaining semesters, students have the choice to concentrate in Asset Management, Quantitative Analytics, Risk Management, or Analytics & Research. MSMF students also have the option to graduate without choosing a concentration.

MS in Mathematical Finance Curriculum—36 cr*

Required Core—15 credits:

  • MF 702 Fundamentals of Finance** (3 cr)
  • MF 703 Programming for Mathematical Finance (3 cr)
  • MF 793 Statistics for Mathematical Finance (3 cr)
  • MF 795 Stochastic Methods of Asset Pricing I (3 cr)
  • MF 728 Fixed Income Securities (3 cr)

Electives—21 credits:

  • Seven 3-credit electives

*Because of the integrated structure of the Mathematical Finance curriculum and course rigor, all Mathematical Finance students must remain on the prescribed curriculum of 12 credits per semester. Any additional courses beyond the 12 credits per semester curriculum must be approved in advance by the Program Faculty Director. The curriculum and courses are subject to change as recommended by faculty, deans, and administrators of the Questrom School of Business.

**Students pursing the Analytics & Research concentration will register for FE 918 in the Fall Semester of year one instead of MF 702. Students pursuing this concentration are required to earn at least a B+ in FE 918 and earn a semester CGPA of a B+ in order to continue pursuing this concentration. Students who do not achieve this grade requirement will not be able to pursue this concentration, however FE 918 will count as equivalent to MF 702.

Concentrations

Once enrolled, students have the opportunity to concentrate in Asset Management, Quantitative Analytics, Risk Management, or Analytics & Research. Students must formally declare their anticipated concentration during the Fall Semester of year one. Concentration requirements are subject to change and are separate from MSMF degree requirements. Students may graduate without choosing a concentration. Substitution requests for concentration elective courses require the approval of the faculty director in conjunction with the MSMF PDC.

Fall Semester—12 credits:

  • MF 702 Fundamentals of Finance (core)
  • MF 703 Programming for Mathematical Finance (core)
  • MF 793 Statistics for Mathematical Finance (core)
  • MF 795 Stochastic Methods of Asset Pricing I (core)

Spring Semester—12 credits:

  • MF 728 Fixed Income Securities (core)
  • FE 825 Advanced Investments (required elective)
  • MF 840 Data Analysis and Financial Econometrics (required elective)
  • Elective—Choose one from the following list:
    • MF 821 Algorithmic and High-Frequency Trading (elective)
    • MF 796 Computational Methods of Mathematical Finance (elective)

Fall Semester 2nd Year—12 credits:

  • MF 730 Portfolio Theory (required elective)
  • MF 805 Empirical Asset Pricing and Portfolio Construction (required elective)
  • Electives—Choose two from the following list:
    • MF 731 Corporate Risk Management (elective)
    • MF 770 Advanced Derivatives (elective)
    • MF 772 Credit Risk (elective)

Fall Semester—12 credits:

  • MF 702 Fundamentals of Finance (core)
  • MF 703 Programming for Mathematical Finance (core)
  • MF 793 Statistics for Mathematical Finance (core)
  • MF 795 Stochastic Methods of Asset Pricing I (core)

Spring Semester—12 credits:

  • MF 728 Fixed Income Securities (core)
  • MF 794 Stochastic Methods of Asset Pricing II (required elective)
  • MF 796 Computational Methods of Mathematical Finance (required elective)
  • MF 821 Algorithmic and High-Frequency Trading (required elective)

Fall Semester 2nd Year—12 credits:

  • MF 730 Portfolio Theory (required elective)
  • MF 770 Advanced Derivatives (required elective)
  • MF 772 Credit Risk (required elective)
  • MF 850 Advanced Computational Methods (required elective)

Fall Semester—12 credits:

  • MF 702 Fundamentals of Finance (core)
  • MF 703 Programming for Mathematical Finance (core)
  • MF 793 Statistics for Mathematical Finance (core)
  • MF 795 Stochastic Methods of Asset Pricing I (core)

Spring Semester—12 credits:

  • MF 728 Fixed Income Securities (core)
  • MF 796 Computational Methods of Mathematical Finance (required elective)
  • FE 829 Futures, Options & Financial Risk Management (required elective)
  • Elective—Choose one from the following list:
    • MF 840 Data Analysis and Financial Econometrics (elective)
    • AC 860 Accounting for Risk Management (elective)

Fall Semester 2nd Year—12 credits:

  • MF 731 Corporate Risk Management (required elective)
  • MF 772 Credit Risk (required elective)
  • Electives—Choose two from the following list:
    • MF 730 Portfolio Theory (elective)
    • MF 770 Advanced Derivatives (elective)
    • MF 850 Advanced Computational Methods (elective)

Fall Semester—12 credits:

  • FE 918 Doctoral Seminar in Finance (core, joint with MF and Economics PhD)*
  • MF 703 Programming for Mathematical Finance (core)
  • MF 793 Statistics for Mathematical Finance (core)
  • MF 795 Stochastic Methods of Asset Pricing I (core)

*To pursue this track, students must earn at least a B+ average and a B+ in FE 918.

Spring Semester—12 credits:

  • MF 728 Fixed Income Securities (core)
  • FE 920 Advanced Capital Markets (required elective—joint MF/Economics PhD)
  • MF 921 Advanced Topics in Asset Pricing (required elective—joint MF/Economics PhD)
  • Elective—Choose one from the following list:
    • MF 794 Stochastic Methods of Asset Pricing II (elective)
    • MF 796 Computational Methods of Mathematical Finance (elective)

Fall Semester 2nd Year—12 credits:

  • MF 730 Portfolio Theory (required elective)
  • MF 770 Advanced Derivatives (required elective—joint with MSMF and Economics PhD)
  • MF 930 Advanced Corporate Finance (required elective—joint with MF, AC, Economics PhD)
  • Elective–Choose one from the following list:
    • MF 772 Credit Risk (elective)
    • MF 850 Advanced Computational Methods (elective)

Course Sequencing & Electives

All Mathematical Finance courses are taken for 3 credits. Students must pick elective courses from the approved list of MSMF courses. If a student is interested in taking an elective outside of the MSMF program either at Questrom or at another college at BU, they must have the approval of the faculty director in consultation with the Mathematical Finance Program Development Committee (MF PDC).

Academic Standards

Academic Performance Review for MS in Mathematical Finance Students

The Graduate Programs office monitors students’ academic performance at the end of the Fall and Spring Semesters, up until the time of graduation. A student must maintain a cumulative grade point average (CGPA) of at least 2.70 (on a 4.0 scale) to be in good academic standing (i.e., to graduate). Coursework taken outside the Questrom School of Business, which does not count toward the MS in Mathematical Finance degree, will not be calculated into the student’s CGPA.

The Mathematical Finance Faculty Program Development Committee (PDC) has final responsibility for decisions regarding students with poor academic performance. The committee determines whether students will be permitted to stay in the program, and if so, what specific steps must be taken to regain good academic standing. A PDC decision for permanent academic withdrawal is final and no appeals to the PDC beyond the Student Statement (described below) are allowed.

Students with a CGPA below 2.70 after the fall and spring terms will be referred to the PDC for review. Students will be informed of their academic position via their BU email address prior to the start of the subsequent semester. All students in poor academic standing must meet with their GPO advisor (in person or by telephone) within 48 hours of receipt of this communication to discuss the situation. If a Student Statement is submitted, this is due within 72 hours of the performance notification. It is the student’s responsibility to be aware of the tight window between notice and action and to plan accordingly.

After 12 credits attempted, Mathematical Finance students with a CGPA less than 2.30 will be withdrawn from the program. Students with a CGPA between 2.3 and 2.69 after 12 credits may be academically withdrawn from the program or receive a written warning with recommendations for improvement.

After 24 credits attempted, students with a CGPA less than 2.30 will be automatically withdrawn from the program. Students with a CGPA between 2.3 and 2.69 after 24 credits may be academically withdrawn from the program or receive a written warning with recommendations for improvement. Mathematical Finance students are not permitted to take additional credits, beyond the semester in which they have completed their degree requirements, to improve their CGPA.

After all program credits are completed, all students must achieve a 2.70 or higher CGPA in order to graduate. Students are not permitted to take additional credits beyond the semester in which they have completed their degree requirements in order to improve their CGPA or restart enrollment, nor can they withdraw and re-enroll.

Please be aware that your CGPA can also affect your eligibility for continuing financial aid, including scholarships and loans. Students must maintain satisfactory academic progress (at least a 2.70 CGPA) in order to be eligible for continued Federal Stafford Loan funding and private educational loan funding.

Student Statement

The Student Statement is voluntary, though it is strongly encouraged, as it offers the sole opportunity for student input into PDC decisions. The statement is self-reflective and provides the student’s explanation for their poor academic performance. The statement is due within 72 hours of notice of poor performance by the GPO. The statement is the student’s individual work product and must be prepared accordingly.

Degree Completion

Upon successful completion of program requirements, Mathematical Finance students are anticipated to graduate in January. All students who graduate in January are invited to attend the Questrom School of Business commencement ceremony in May.

To qualify for the MS in Mathematical Finance, students must:

  • Complete all required courses for a total of 36 credits. Note that 1-credit Curricular Practical Training (CPT) courses for international students cannot be used to satisfy degree requirements.
  • Have a cumulative GPA of at least 2.70.
  • Have no “I” grades or no “MG” grades in courses counting toward the MSMF.