Which schools have Mathematical Finance Majors

Mudder_s_Mudder · January 31, 2006, 1:36pm

I know you didn’t ask specifically about financial engineering, but you might want to post an inquiry in the engineering forum. There are some informed folks over there who’ve posted on this subject.

Here’s a link to an older thread:
<a href=“http://talk.collegeconfidential.com/showthread.php?t=122183[/url]”>http://talk.collegeconfidential.com/showthread.php?t=122183</a>

IIRC, Princeton has an outstanding degree program in this field. Here’s a link for ec1234’s post:
<a href=“http://orfe.princeton.edu/overview/introduction-to-orfe.html[/url]”>http://orfe.princeton.edu/overview/introduction-to-orfe.html</a>

I seem to remember a thread there (can’t find it now) about the reasons why this major is so infrequently found at the UG level. Different schools have different names and depts. for the major. S’s school (Harvey Mudd) doesn’t offer the major but does offer some courses. S has a minor concentration in econ and next fall will be taking a derivatives course (financial markets and modeling) – very tech-intensive, even though it’s offered in econ through the humanities/soc sci dept.

HTH

sac · January 31, 2006, 2:36pm

ditto that suggestion about engineering… the Columbia Spectator has featured several articles over the past week about the students flooding the career center to interview for finance internships, many of them engineering majors who minor in econ. At SEAS (the engineering college), these students may major in operations research, engineering management systems, or applied math. They can pick up an econ minor through courses at Columbia College.

I think we “talked” on here before about the importance of being in a financial center vs the importance of the specific major. My son’s already picked up the possibility of a couple of financial internships just because he has friends who have them and offered to recommend him to their bosses. And, though obviously he’s a quantitative type, he’s still officially undeclared and very much undecided (his latest thought being he might become a food writer, apparently because he likes to eat well!)

xiggi · January 31, 2006, 2:45pm

I don’t believe that financial engineering is the same thing as finance for engineers. Inasmuch as financial engineering relies heavily on quantitative methods, it’s foremost a management and financial program.

monydad · January 31, 2006, 5:25pm

Mudders_Mudder: is this that other thread you meant?
<a href=“http://talk.collegeconfidential.com/showthread.php?t=2295&highlight=monydad[/url]”>http://talk.collegeconfidential.com/showthread.php?t=2295&highlight=monydad</a>

Mudder_s_Mudder · January 31, 2006, 6:25pm

yes, I was hoping you would show up on this thread!

I’ll fall right in line behind toblin, drusba (an enthusiastic “second” on that Princeton rec!), and k776 praising your lucid explanation of this esoteric subject.

Thank you. :)

monydad · January 31, 2006, 7:01pm

You’re welcome, however…

What I wrote is clear enough, I’ll take credit for that.
But actually I emphasized the role of financial engineering in pricing/valuation to the exclusion of perhaps its more prevalent application: measurement and management of financial risk.

Here is a link that provides a “better”, more comprehensive description I think:
<a href=“http://web.umr.edu/~enke/main_financialeng.html[/url]”>http://web.umr.edu/~enke/main_financialeng.html</a>

xiggi · January 31, 2006, 7:34pm

Sorry for stating the obvious, but the OP posed this question:

*Which schools have Mathematical Finance Majors for **undergraduates? **
So far, I have only been able to find 3 schools. Michigan, UCSB, and SDSU are three schools where you can major in this field. Others? *

The Princeton program is hard to miss. Google works wonder to list it prominently. It is, however, a GRADUATE program. No matter how convenient a graduate school makes it for undergraduates to attend classes, they still won’t major in the field.

In addition, it is noteworthy that the Princeton participant at the National Financial Mathematics Career Fair is the Princeton University’s Bendheim Center for Finance

<a href=“http://www.princeton.edu/~bcf/[/url]”>http://www.princeton.edu/~bcf/</a>

Mudder_s_Mudder · January 31, 2006, 8:01pm

From my first link (Redbeard #18, addressing the differences between OpRe and FE):
“Financial engineering is pretty spanking new. But, financial analysts are all about reducing risk. In order to do this, you need to be able to measure risk.”

So no need to deflect praise; I won’t let you! Redbeard had it covered, and your linked thread addressed a different issue. Just take the credit, as is your due; we all get little enough (if we’re parents) as it is. And thanks for the additional link.

Would it be safe to say that you don’t feel this should be an UG major due to the depth and intricacy of the subject matter? (I kind of wonder who would likely hire someone with only a bachelor’s degree. Any ideas?)

[Edit: Sorry, Xiggi. I didn’t see your post before I replied. Apparently you and I were on the same, or similar, wavelength. ]

monydad · January 31, 2006, 10:10pm

It’s just so specialized- to a particular set of job functions within a particular industry. Generally I think one ought not seek so much advanced level specialized training in something that they may never get to do, without establishing a more general background/ foundation first, to fall back on as needed. Like say a physics major with a course or two related to FE. If at the end of the shooting match, maybe after you’ve interned someplace and seen what the job is actually like, you want to go specialize in this field you can go get a master’s in it.

But I personally think it’s better, where feasible, to work first before getting advanced specialized training in something. The training is then more relevant and better appreciated. And more needed. IMO.

All the people I worked with in this field had advanced degrees. The big hitters were all PhDs in physical sciences. If you’re going to need this level of credential to excel in the field anyway then why not get it in due course, and get a broad foundation to start out. That’s my thinking, sort of.

I’ve just seen how tough it is to get jobs in any of these fields. You wouldn’t believe the resumes of some of the people we rejected without even an interview. One can get all this specialized training but not get work at the end in this particular little field. Then what?

dstark · January 31, 2006, 10:35pm

Monydad, so you would recommend somebody major in statistics or economics over financial math?

I have to say, I haven’t read anybody say financial math–what a great major! I have read the opposite.

Here is the program at UCSB. Is it really that bad or difficult?

<a href=“http://www.math.ucsb.edu/ugrad/financial.php[/url]”>http://www.math.ucsb.edu/ugrad/financial.php</a>

Bachelor of Science in Financial Mathematics and Statistics

This is a joint major between the Departments of Mathematics and Statistics and Applied Probability, with the cooperation of the Department of Economics. It is intended for students who are interested in the applications of mathematics, probability and statistics to modern finance.

Modern finance is one of the fastest developing areas in the banking and corporate world. It focuses on the pricing of financial assets, including equities, bonds, currencies and derivative securities; portfolio management and the evaluation of financial risks; the financing of corporations; and many other topics. The tools of modern financial analysis rely on a thorough understanding of economic theory, mathematics and probability and statistics.

To successfully earn this degree:

PLAN EARLY: Lower division requirements include courses in mathematics, economics and computer science, as preparation for the study of finance at an advanced level. In particular, students are expected to complete the entire two-year calculus sequence Math 3ABC and Math 5ABC, as well as Economics 1 and 2, preferably during the freshman and sophomore years. Math 8 and a computer science course are also included as part of lower division preparation.

CORE COURSES: Upper division requirements include numerical analysis (Math 104AB), partial differential equations (Math 124AB) intermediate microeconomic theory (Econ 104A), probability theory (PSTAT 120ABC) and statistical computing (PSTAT 130). A new course, Introduction to Mathematical Finance (Math 170 or PSTAT 170), has been designed specifically for the new major. (See the General Catalog for a complete description of the requirements.)

ELECTIVES: Additional elective courses from mathematics, probability and statistics and economics are also required. The choice of electives should be worked out in consultation with a faculty advisor.

For a discussion of careers in finance, see the Careers in Finance web site, <a href=“http://www.careers-in-finance.com%5B/url%5D”>www.careers-in-finance.com</a>.

The Pre-major requirements (42 units) are:
Math 3ABC
Math 5ABC
Math 8
Econ 1 and 2
Engr 3 or Computer Science 10 or one course from CS 5AA-ZZ

Upper-Division Requirements:

A minimum of 52 units of upper-division coursework is required.

The Upper-division requirements include 40 units of required courses:
Econ 104A Microeconomics
Math 104 AB Numerical Analyisis
Math 124AB Partial Differential Equations and Fourier Series
PStat 120ABC Probability and Statistics
PStat 130 Statistical Computing
PStat 170 or Math 170 Financial Analysis (new course)

12 units of upper-division electives can be chosen from:
Econ 104B Intermediate Microeconomics
Econ 105 Intermediate Macroeconomics
Econ 134AB Financial Management
Econ 140B Introduction to Econometrics
Math 104C Numerical Analysis
Math 108AB Linear Algebra
Math 117 Methods of Analysis
PStat 160AB Applied Stochastic Processes
PStat 171 Compound Interest
PStat 173 Risk Theory
PStat 174 Time Series

A Recommended Program

<pre><code>Fall Winter Spring
</code></pre>

Freshman Year Econ 1
Math 3A Econ 2
Math 3B CMPSC*
Math 3C
Math 8
Sophomore Year Math 5A
PStat 120A Math 5B
PStat 120B Math 5C
PStat 120C
Junior Year Econ 104A
Math 104A Math 104B
PStat 130
Elective**
Senior Year Math 124A
Elective** Math 124B
PStat 170 Elective**
*Computer Science 5AA-ZZ, 10 or Engineering 3

**Chosen from above list

Administrative Procedures:
In order to become a Financial Mathematics major, a minimum grade point average (GPA) of 2.5 will be required in specific courses used as preparation for the major. All courses required for the major must be taken for a letter grade. Students who declare the pre-major are responsible for satisfying the degree requirements in effect at the time of their declaration. However, pre-major status does not guarantee admission to full major status. For purposes of movement from pre-major to full major status, the Computer Science 5AA-ZZ or 10 requirement will be excluded from the pre-major GPA calculation. However, the course will be included in the overall major GPA at the time of graduation.

1Down2togo · February 1, 2006, 12:48am

<a href=“I%20kind%20of%20wonder%20who%20would%20likely%20hire%20someone%20with%20only%20a%20bachelor’s%20degree.%20Any%20ideas?”>quote</a>

[/quote]
For the jobs in the quant groups at the banking firms where my son interviewed, most wanted a Ph.D. His programming skills were what did it (on top of the MS in FM) – and he never even bothered finishing the cs degree. But these people shoot probems at you and if you can solve them, you can solve them.

avoidingwork · February 1, 2006, 2:15am

You may want to check out applied mathematics programs too. Here’s a link to the UC Berkeley program (<a href=“http://sis.berkeley.edu/catalog/gcc_view_req?p_dept_cd=MATH[/url]”>http://sis.berkeley.edu/catalog/gcc_view_req?p_dept_cd=MATH</a>)

kinglin · February 1, 2006, 7:46am

Princeton has financial engineering, and I believe Michigan and Stanford have similar programs for u-grad.

monydad · February 1, 2006, 8:40am

dstark: I am out for 5 years now from a rapidly changing field. We never encountered any undergrads who had suitable background at that time, so undergrad hiring never came up for us.

From what I’ve seen, the ideal profile would be:

bachelor’s degree in physics from an obviously top tier school with a big name
some couple courses relevant to financial applications
-two year analyst job on the trading floor of a securities firm
-MS degree from Carnegie Mellon, or maybe U Chicago MBA with a quantitative twist. Or better yet, physical sciences PhD with coursework from any of these financial engineering programs.

See it’s not only that they know all these analytical techniques. They also have to be smart enough to apply different techniques to problems that may come up, that don’t have answers yet. They need a really big bag of analytical tools Then they need the intellectual horsepower to apply the tools to new, uncharted situations. I’ve heard of guys doing programming in these areas who had PhDs in particle physics.

You can get this training from ucsb. But I don’t know if it’s enough, or if the big shops will be looking at ucsb as a source for this kind of talent.

dstark · February 1, 2006, 10:47am

Monydad, things have really changed over the years.

My daughter wanted to major in financial math because she liked it and thought it might open some doors.

Hmmm.

I can’t believe all money managers in this country are going to have these kind of academic backgrounds.

I’m starting to feel dumb.

xiggi · February 1, 2006, 11:49am

* From what I’ve seen, the ideal profile would be:

bachelor’s degree in physics from an obviously top tier school with a big name
some couple courses relevant to financial applications
-two year analyst job on the trading floor of a securities firm
-MS degree from Carnegie Mellon, or maybe U Chicago MBA with a quantitative twist. Or better yet, physical sciences PhD with coursework from any of these financial engineering programs."*

Monydad, could you please clarify for which profession the above profile is ideal?

I am a bit confused about the progression in the studies of the “ideal” candidate.

monydad · February 1, 2006, 12:46pm

My slanted perspective, sorry to confuse. My sole exposure to “financial math” programs is with people who want to be “quants”, or financial engineers, supporting trading operations in securities, commodities or energy trading firms.Called “Financial Strategies” groups, by some. Few other people in those firms outside of these small analytical support groups needed anything like this level of quantitative horsepower to do their various jobs. Just these guys.

I have no real insight on what money managers need.

Now that I think about it, some people in my MBA program were sort of focused on"financial math" of a sorts; they were interested in becoming actuaries. Never thought about these other avenues; just the [perhaps small] subset of financial math students that I have direct experience with.

dstark · February 1, 2006, 12:49pm

Monydad, your sole exposure is larger than my exposure so I appreciate your thoughts.

monydad · February 1, 2006, 12:51pm

So I guess the point is there could be quite a bit more flexibility to this degree than I am aware of.

dstark · February 1, 2006, 12:52pm

I’m clueless. :)

Which schools have Mathematical Finance Majors

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