Quantitative Finance and Risk Analytics

The purpose of this degree is to provide students with the knowledge and essential skills to respond to the changes and new challenges that characterize the fast changing world of Quantitative Finance and Risk Analysis. The goal of the program is for students to master cutting-edge financial theory as well as advanced analytical and quantitative techniques that have become key to the success of the new breed of financial experts. Students will be exposed to emerging concepts, practices, and techniques in the finance industry through rigorous training in empirical research and modeling, using a variety of professional databases and computer software packages.

The degree offers three tracks - a general track and tracks in quantitative finance and financial analysis. Within these three tracks students will be able to develop expertise in areas such as quantitative financial analysis and financial risk assessment and management.

The program requires four basic foundation courses and six courses in the area of concentration. The QFRA Program is designed to allow for maximum flexibility for students from a variety of backgrounds wishing to pursue rigorous study in financial engineering and risk analytics. Thirty credit hours for students with Finance or Technical undergraduate background.

Prerequisites: Basic foundation of mathematics and statistics. Students may take a suitable prerequisite course within Lally if such a course is offered and is approved by the FERA Program Director. Students with college-level calculus and statistics courses (the equivalent of 6 credit hours) will normally have fulfilled this prerequisite, as will students with undergraduate backgrounds in finance, management, business, economics, and technical fields. Mathematical and Statistical Foundations (or substitute) courses will not count towards the 30-credit-hour FERA degree requirement. Courses fulfilling this Math and Statistics foundation course requirement include MATH 1520, MATH 4100, ISYE 4140.

Foundation Courses (Four Required)

Foundation courses are basic courses in finance and quantitative methods that contain concepts that are prerequisite to understanding the principles of Financial Engineering and Risk Analytics. These foundation courses are required for all students without undergraduate business degrees and for students whose backgrounds did not include coverage of comparable material. Students in Financial Engineering and Risk Analytics with business undergraduate degrees may waive the Financial Management I course with the consent of the Program Adviser(s) if they have sufficient relevant undergraduate work.  A student can waive this foundation course if he or she got a B or better in an introductory finance course  as well as a B or better in one higher level finance course. If this or any other course is waived, it must be replaced with some other course from the courses listed below. Therefore, waivers of any of these Foundation Courses will require substitutions from the Track Courses lists.

Foundation Course 1

• MGMT 6020 - Financial Management I Credit Hours: 3

• Or one of the following:

• MGMT 6190 - Introduction to Accounting and Financial Management Credit Hours: 3
• MGMT 6240 - Financial Trading and Investing Credit Hours: 3
• MGMT 6410 - Investments I Credit Hours: 3

Foundation Course 2

• MGMT 6520 - Financial Modeling Credit Hours: 3

• Or the following:

• MATH 4740 - Introduction to Financial Mathematics and Engineering Credit Hours: 4

Foundation Course 3

• MGMT 6510 - Financial Computation Credit Hours: 3

• Or one of the following:

• CSCI 4800 - Numerical Computing Credit Hours: 4
• MATH 4800 - Numerical Computing Credit Hours: 4
• CSCI 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4
• MATH 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4

Foundation Course 4

• MGMT 6370 - Options, Futures, and Derivatives Markets Credit Hours: 3

Concentration Courses (Six Required)

QFRA students are permitted to declare a Concentration in either the General Track, Quantitative Finance, or Financial Analysis. Students should select six (6) courses from the following lists to fulfill their concentration requirements.

General Track: Choose Six

• CSCI 4800 - Numerical Computing Credit Hours: 4
• CSCI 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4
• ECON 4570 - Econometrics Credit Hours: 4
• ECON 6570 - Advanced Econometrics Credit Hours: 3
• ECSE 6550 - Stochastic Processes in Communication and Control Credit Hours: 3
• ISYE 4760 - Mathematical Statistics Credit Hours: 4
• ISYE 6010 - Applied Regression Analysis Credit Hours: 3
• ISYE 6100 - Time Series Analysis Credit Hours: 3
• ISYE 6770 - Linear Programming Credit Hours: 4
• ISYE 6780 - Nonlinear Programming Credit Hours: 4
• ISYE 6870 - Introduction to Neural Networks Credit Hours: 3
• MATH 4800 - Numerical Computing Credit Hours: 4
• MATH 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4
• MATH 6660 - Stochastic Processes and Modeling Credit Hours: 4
• MATH 6740 - Financial Mathematics and Simulation Credit Hours: 4
• MATP 4600 - Probability Theory and Applications Credit Hours: 4
• MATP 4620 - Mathematical Statistics Credit Hours: 4
• MATP 6610 - Computational Optimization Credit Hours: 4
• MATP 6600 - Nonlinear Programming Credit Hours: 4
• MATP 6640 - Linear Programming Credit Hours: 4
• MGMT 4260 - Financial Statement Analysis Credit Hours: 3
• MGMT 4330 - Investments II Credit Hours: 4
• MGMT 4370 - Risk Management Credit Hours: 4
• MGMT 4440 - Financial Simulation Credit Hours: 4
• MGMT 6440 - Financial Simulation Credit Hours: 3
• MGMT 6030 - Financial Management II Credit Hours: 3
• MGMT 6240 - Financial Trading and Investing Credit Hours: 3
• MGMT 6340 - Financial Markets and Institutions Credit Hours: 3
• MGMT 6360 - International Finance Credit Hours: 3
• MGMT 6380 - Advanced Corporate Finance Credit Hours: 3
• MGMT 6400 - Financial Econometrics Modeling Credit Hours: 3
• MGMT 6410 - Investments I Credit Hours: 3
• MGMT 6430 - Financial Statement Analysis Credit Hours: 3
• MGMT 6940 - Independent Study Credit Hours: 1 to 6
• MGMT 7740 - Accounting for Reporting and Control Credit Hours: 3
• MGMT 7760 - Risk Management Credit Hours: 3

Quantitative Finance Track: Choose Six

• CSCI 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4
• ECON 4570 - Econometrics Credit Hours: 4

• (See * below)

• ECON 6570 - Advanced Econometrics Credit Hours: 3
• ECSE 6550 - Stochastic Processes in Communication and Control Credit Hours: 3
• ISYE 4760 - Mathematical Statistics Credit Hours: 4
• ISYE 6010 - Applied Regression Analysis Credit Hours: 3
• ISYE 6100 - Time Series Analysis Credit Hours: 3
• ISYE 6780 - Nonlinear Programming Credit Hours: 4
• MATH 4740 - Introduction to Financial Mathematics and Engineering Credit Hours: 4
• MATH 4800 - Numerical Computing Credit Hours: 4
• MATH 4820 - Introduction to Numerical Methods for Differential Equations Credit Hours: 4
• MATH 6660 - Stochastic Processes and Modeling Credit Hours: 4
• MATH 6740 - Financial Mathematics and Simulation Credit Hours: 4
• MATP 4600 - Probability Theory and Applications Credit Hours: 4
• MATP 4620 - Mathematical Statistics Credit Hours: 4
• MATP 6600 - Nonlinear Programming Credit Hours: 4
• MATP 6610 - Computational Optimization Credit Hours: 4
• MATP 6640 - Linear Programming Credit Hours: 4
• MGMT 4440 - Financial Simulation Credit Hours: 4
• MGMT 6440 - Financial Simulation Credit Hours: 3
• MGMT 6240 - Financial Trading and Investing Credit Hours: 3
• MGMT 6400 - Financial Econometrics Modeling Credit Hours: 3
• MGMT 6410 - Investments I Credit Hours: 3
• MGMT 6940 - Independent Study Credit Hours: 1 to 6
• MGMT 7760 - Risk Management Credit Hours: 3

Financial Risk Analysis Track: Choose Six

• ISYE 6180 - Knowledge Discovery with Data Mining Credit Hours: 3
• ISYE 6770 - Linear Programming Credit Hours: 4
• MATP 6640 - Linear Programming Credit Hours: 4
• MGMT 6030 - Financial Management II Credit Hours: 3
• MGMT 6240 - Financial Trading and Investing Credit Hours: 3
• MGMT 6340 - Financial Markets and Institutions Credit Hours: 3
• MGMT 6360 - International Finance Credit Hours: 3
• MGMT 6380 - Advanced Corporate Finance Credit Hours: 3
• MGMT 6400 - Financial Econometrics Modeling Credit Hours: 3
• MGMT 6410 - Investments I Credit Hours: 3
• MGMT 6430 - Financial Statement Analysis Credit Hours: 3
• MGMT 6940 - Independent Study Credit Hours: 1 to 6
• MGMT 7640 - Hedge Funds and Financial Markets Credit Hours: 3
• MGMT 7740 - Accounting for Reporting and Control Credit Hours: 3
• MGMT 7760 - Risk Management Credit Hours: 3

Footnotes

* The Graduate level offering of this course will normally require additional and/or more rigorous assignments from undergraduate students. The extra work will be specified in the syllabus of the course.

Requirements

1. Nonrefundable application processing fee of $75.
2. Statement of Background and Goals
3. Resume or curriculum vitae.
4. Two letters of recommendation.
5. Writing samples, if required by department.
6. IT Background Evaluation form (IT only).
7. Copies of official test scores (GRE, GMAT, TOEFL, IELTS, and PTE)
8. Copies of official transcripts and evidence of degrees earned, in English and in the native language, of all post-secondary education (including transcript keys)
9. Copy of your passport (international students only)
10. GMAT (preferred), GRE accepted
11. Statement of Background and Goals
12. TOEFL score of 230 CBT/88 iBT/570 PBT (IELTS 6.5 or PTE 60)
13. TOEFL speaking subscore of 22 or IELTS speaking subscore of 6.5

Scholarships

Teaching Assistants

Students assist Rensselaer faculty in their classroom and laboratory activities, gaining valuable experience as researchers, scholars, and teachers. Departments provide stipends and full-tuition waivers. Master’s students may spend a maximum of one year with internal support; doctoral students may spend a maximum of two years with internal support. Continued support can then be provided by means of research assistantships.

Research Assistants

Students work with the faculty in research-related tasks that further the student’s own graduate career and development as a researcher, scholar, and professional. Research assistants are paid a stipend and are given a full waiver of tuition.

Graduate Fellowships

Outstanding students may be awarded a university-supported Rensselaer Graduate Fellowship Award, which carries a full-tuition and fees scholarship and a minimum stipend of $21,500 per academic year. Students are nominated by their departments for Rensselaer Graduate Fellowship consideration.

Graduate Education Program (Russia)

Selected GEP Scholarship students are eligible for a renewable scholarship in the amount of 1,38 mln. rubles per year. Students in science and engineering fields are eligible for GEP funding. For application details and deadlines, please visit http://educationglobal.ru/en/. Applicants must be admitted to Rensselaer prior to finalizing the application for the GEP program.