Financial Engineering

Over the past decade the financial industry has become increasingly complex and volatile. Specialists with a solid analytical background are urgently needed to understand past developments and to drive financial innovation forward. The events of the last few years have exposed new needs in risk measurement and management, derivatives pricing and hedging, portfolio management, model validation and corporate finance.

The Master’s program in Financial Engineering (MFE) provides financial education at the forefront of both academic thinking and industry practice and is the result of a multidisciplinary effort involving the Swiss Finance Institute at EPFL, the College of Management of Technology and faculty members from mathematics, statistics, computer science, operations research and communications. The curriculum of the MFE is broad but also specific because it offers an extensive range of electives so students can tailor-make the program to correspond to their career goals.

MFE graduates have the perfect profile to integrate rapidly in financial institutions such as investment banks, rating agencies, consulting and auditing companies, insurance companies and online trading companies. Alternatively, MFE graduates can enter top level PhD programs in finance or financial engineering, such as the Swiss Finance Institute PhD program at EPFL.

MFE courses are designed exclusively for MFE students and are seamlessly integrated with one another. For example, the core courses in stochastic calculus and derivatives were conceived as a true sequence to allow students to learn the mathematical tools as they become necessary to the financial applications.
During the first semester students take a number of compulsory foundation courses that provide them with a solid fundamental understanding of the essentials of economics, finance, mathematics and econometrics.
The second and third semesters offer compulsory advanced courses in which the students learn about models at the forefront of both academic thinking and industry practice. In addition to compulsory advanced courses, the third semester offers also a wide range of electives, which allow students to tailor the curriculum of the program to their specific interests.

Foundations courses

The compulsory foundation courses provide students with in-depth coverage of the key concepts and topics with which every finance professional should be familiar. They also serve as a firm foundation for the advanced and elective courses. These courses cover the following areas:

• Introduction to finance
• Accounting for finance
• Econometrics
• MacroFinance
• Quantitative methods for finance
• Stochastic calculus I

Most of the foundation courses are taught  in the first semester of coursework. 

Advanced courses

In the second and third semester MFE students have to follow a number of advanced compulsory courses that cover important aspects of finance and financial engineering such as:

• Derivatives
• Investments
• Financial econometrics
• Sochastic calculus II
• Credit risk
• Fixed income analysis
• Real options and financial structuring
• Advanced derivatives

Detailed descriptions of all the MFE courses (including course contents, prerequisites and grading schemes) can be found by following the relevant links on the study plan page.

Elective courses

In the third semester, MFE students are free to choose a number of electives in order to tailor the program to the requirements of their career of choice. Possible elective courses include:

• Advanced topics in financial econometrics
• Global business environment
• Computational finance
• Computational game theory & applications
• Financial big data
• Venture capital
• Securitization & the financial crisis
• Intelligent agents
• Mathematical modelling of behavior
• Numerical approximation of PDE's I
• Risk, rare events and extremes
• Time series
• Quantitative risk management

While the above list of courses illustrates the number and range of electives offered in the MFE program, the actual portfolio of courses in a given academic year may vary slightly from year to year depending on enrollment.

Internship and master thesis

The curriculum of the MFE is completed by a 6-month internship in the financial industry. During this period, each student must write a master thesis under the joint supervision of their internship advisor and one member of the MFE faculty acting as an academic advisor. 

• Holders of a Bachelor’s degree in a technical discipline such as mathematics, physics, computer science, engineering or economics are eligible to apply for admission into the MFE. Applicants should have a high level of intellectual ability and exceptional analytical skills as well as a strong interest in finance. They should also have a solid background in mathematical analysis, statistics and probability theory. In addition applicants to the MFE should command either one formal computer language such as C, C++ or Java, or a high-level language such as Matlab or Mathematica.
• Your resumé (curriculum vitae)
• Copy of your University degree(s) or Bachelor's degree. If you don't have your degree yet, you will bring it to the Registrar's Office upon registration at EPFL*.
• Legalized transcripts from each university you have attended.
• A statement of purpose. See hereunder for a more detailed explanation.
• Three recommendations (except holders of any EPFL Bachelor's degree applying in another field than their original field and except for candidates from another Swiss university applying to a Master in the same field of study as their Bachelor).
  During the electronic application process, you will have to give the details of three referees, who will then be requested to produce recommendation letters for you directly to EPFL. See hereunder for a more detailed explanation.
• Your identity card or passport.
• For foreigners who already live in Switzerland: your residence permit.
• Extra documents such as TOEFL or GRE scores, research publications or other portfolios of your previous work, are welcome but not compulsory. We will only consider documents uploaded in your online application form. (No documents sent by postal mail).
• Application fee CHF 150.

Scholarships

• Excellence Fellowships