Curriculum
The display below lists the curriculum course offerings for the MS degree in Computational Finance and Risk Management (MS-CompFin) by quarter. The courses are delivered in conventional classroom mode on the University of Washington Seattle campus for full-time MS degree students. In addition all course lectures are delivered live online to students in an online MS degree program or in a Certificate program. The latter are delievered only in the online format. All lectures are captured in downloadable video capture form for further study by all students whatever program they are in a classroom or online format program.
The numbers of credits for the courses are shown in parentheses. The course titles are linked to the course descriptions along with the instructor, and instructor’s UW department or industry affiliation.
| Summer | Fall | Winter | Spring | Summer |
|---|---|---|---|---|
| AMATH 540 (5) Intro. to Comp. Fin. and Fin. Econ. | AMATH 541 (4) Investment Science | AMATH 542 (4) Financial Data Modeling and Analysis in R | AMATH 543 (4) Portfolio Construction and Risk Management. | |
| AMATH 544 (4) Options and Derivatives | AMATH 545 (4) Introduction to Risk Mgm't | AMATH 546 (4) Quantitative Risk Management | AMATH 547* (4) Credit Risk Management | |
| AMATH 551 (3) Introduction to Electronic Trading | AMATH 552 (2) Portfolio Performance Analysis and Benchmarking | AMATH 553 (2) Financial Time Series Forecasting Methods | AMATH 554 (2) Endowment Investment Management | AMATH 555* (4) Optimization in Finance |
| AMATH 582 (5) Computational Methods for Data Analysis | AMATH 583 (5) High Performance Scientific Computing | AMATH 548 (4) Monte Carlo Methods in Finance (not offered 2011-12) |
*These courses are expected to be taken the second summer of study.
Required Courses
The six courses AMATH 540 through AMATH 545 are all required, for a total of 25 credits.
Degree Requirements
The MS-CompFin degree requires successful completion of at least 40 credits from the above curriculum, including the six required courses for 25 credits, with an overall grade point average (GPA) of 3.2, plus a final exam that meets University of Washington MS degree requirements. The final exam will consist of a research presentation on a topic of interest to the student, subject to approval by the Program Director or faculty advisor.
Pathways
A student may choose one of the following two specialization pathways:
- Risk Management Pathway: In this case the student will take the six required courses plus AMATH 546 and AMATH 547 for a total of 33 credits, plus at least 7 credits from the remaining courses.
- Computing Pathway: In this case the student will take the six required courses for 25 credits plus AMATH 583 and AMATH 555 as well as a C++ or C# programming course taken at an accredited university or college.
Degree Completion Times
Full-time MS-degree students will be able to finish the degree in 12 to 14 months on average, depending on whether or not they choose one of the above pathways. Online MS-CompFin part-time students will be able to finish the degree requirements in two-and-a-half years on average when taking one course each quarter.
Required Applicant Proficiencies
Students who apply for the MS-CompFin degree program or for one of the two certificate programs (CF-Certificate or FRM-Certificate) must show proficiency in:
- Calculus through partial differentiation, matrix algebra, and one-dimensional optimization
- Probability and statistics at the level of an upper level undergraduate course or entry level graduate course.
- Proficiency in a programming language such as Java, C, C++, C#, Python, Visual Basic, or in a statistical programming language such as Matlab, Ox, R, or S-PLUS.
Students lacking proficiency in either of the first two proficiencies above will need to complete one or more online self-study modules provided by the Department of Applied Mathematics prior to, or coincident with commencing the program. Students lacking in the above computer programming proficiency will need to remedy this deficiency in a manner acceptable to the Program Director.
Live Online Lectures and Downloadable Course Materials
We are currently using three software technologies for live online lecture delivery and downloadable streaming videos of lectures. Media Site technology is used for the live lecture broadcast and capture, with operator assisted camera direction throughout the lecture. Adobe Connect is used for online group meetings and discussion with the class concerning lecture, homework and exam related questions. Moodle is used for online distribution of lecture slide sets, Media Site streaming video capture of lectures, recordings of Adobe Connect live sessions, announcements, and as a general forum for student-to-student and student-instructor interaction. Moodle is also used for distribution and collection of homework assignments and exams. We will continually evaluate best-of-breed online delivery technologies and strive to move to them as soon as feasible.
Single Course Enrollment
Online courses in the MS-CompFin curriculum may be taken on a single course enrollment (SCE) basis, subject to instructor confirmation that the student has an adequate preparation for the course. Applications for SCE are available through the PCE site at SCE application form.