Master of Science in Operations Research: Methods in Finance


Please note: This degree program requirements page is applicable to students who are seeking acceptance into the Methods in Finance program for the Summer 2007 semester and later. For those students admitted into the program prior to the Summer 2007 semester, please refer to the old program requirements.

Department: Industrial Engineering/Operations Research
Transcript Designation: Master of Science in Operations Research: Methods in Finance
Program Advisor: Academic Questions: e-mail advisor@cvn.columbia.edu
Administrative Questions: e-mail cvn@cvn.columbia.edu


About the Methods in Finance Program:

Methods in Finance is a multidisciplinary field integrating financial theory with economics, methods of engineering, tools of mathematics, and practices of programming. It is designed to provide training in the application of engineering methodologies and quantitative methods to finance. Students studying this field are prepared to enter careers in securities, banking, financial management, consulting industries, quantitative roles in corporate treasury, and finance departments of general manufacturing and service firms.


Admission Requirements:

Degree required for admission: A bachelor's degree in Mathematics, Engineering, Computer Science, Economics, Statistics, Physics, or another technical discipline from an accredited academic institution is required for admission. Applicants should have a strong undergraduate record to be competitive for admission.

GPA required: Minimum of 3.0

GRE requirements: General test required. (*GMAT exams are not accepted as a substitute for the GRE)

Other application requirements: Two recommendation letters, transcripts, resume, and a personal-professional statement are required. TOEFL test scores are required of all students who received their bachelor's degree in a country where English is not the official and spoken language. All application requirements in the Graduate Application must be completed as specified in the application.


Prerequisites:

Students entering the Methods in Finance program should have an appropriate mathematical background in probability, calculus and linear algebra. Those students who have this background should be able to do most of the questions found through this link (Prerequisite Questions). It may be necessary for some people to first review some of their undergraduate material. This is particularly true of prospective students who have been working in industry and are not applying directly from an undergraduate program.

Students that do not have a sufficient mathematical background should take the appropriate mathematics courses before starting the Methods in Finance program.

Preparatory courses offered regularly by CVN are
SIEO W4150: Introduction to Probability and Statistics
APMA E3101: Linear Algebra (NEW for Fall 2007)


Degree Requirements:

Students must complete all core courses (described below) and selected electives (described below) for a total of 30 graduate points of academic work with a GPA of 2.5 or better. All degree requirements must be completed within 5 years of the first course credited toward the degree. This includes courses taken in the non-degreee program.

Core Courses (18 credits):

Sequence 1 (Must be completed first)

1) IEOR E4007: Optimization Models and Methods for Financial Engineers
2) IEOR E4106: Intro to Operations Research: Stochastic Models


The Department requires grades of B- or higher in the Sequence 1 courses before continuing with the program. Students who do not meet this criterion may be asked to transfer to the Master of Science program in Operations Research or Engineering Management Systems (view).

Sequence 2

3) IEOR E4403: Advanced Engineering and Corporate Economics
                   (formerly known as Advanced Corporate Finance)
OR:
3) IEOR E4003: Industrial Economics
4) IEOR E4703: Monte Carlo Simulation
5) IEOR E4706: Financial Engineering: Discrete-Time Asset Pricing
                   (formerly known as Financial Engineering I)
6) IEOR E4707: Financial Engineering: Continuous-Time Asset Pricing
                   (formerly known as Financial Engineering II)


Elective Courses (12 credits):

Students must choose 4 elective courses from those listed below.

IEOR E4407: Game Theory Models of Operation
IEOR E4601: Dynamic Pricing and Revenue Management
IEOR E4602: Quantitative Risk Management
IEOR E4709: Data Analysis for Financial Engineers
IEOR E4718: Introduction to the Implied Volatility Smile
IEOR E4731: Credit Derivatives
SIEO W4801: Introduction to Property: Liability Insurance Models
SIEO W4802: Introduction to Life Insurance and Aggregate Loss Models
CSOR W4231: Analysis of Algorithms, I
APMA E4200: Partial Differential Equations


Transfer of credit:

Up to 6 credit hours (points) of acceptable graduate-level academic work from an accredited academic institution earned prior to enrolling at Columbia may be transferred to Columbia, subject to departmental approval. Students must request the transfer of credit while applying to the MS program. Credit will only be considered for transfer if the grades earned were at least 3.0 on the 4.0 scale. An official college transcript and copy of the class syllabus and/or course description from the school's bulletin must accompany the "Transfer of Credit Request" form. Please note that courses already used towards completion of another degree program can not be re-used for transfer credit.