Financial Mathematics Option (FMO)

Introduction

The Financial Mathematics Option (FMO) is an option within our program of master of sciences in applied mathematics, and it has been offered since 2002. A student who meets the requirements of the FMO will receive, in addition to the master degree, a certificate signed by the Dean of the College.

The program prepares students with mathematical foundations for risk management in financial and energy markets. Core-courses requirements include probability, statistics, optimization methods, and discrete-time and continuous-time financial mathematics.

Depending on interests and career expectations, electives can be selected from courses in numerical methods, applied mathematics, stochastic PDE, stochastic processes, computational statistics, and courses offered by the Department of Finance, Economics, and Computer Science. To accommodate practicing professionals, courses are mostly offered in the late afternoon.

Students with an undergraduate degree in mathematics, computational sciences, and engineering typically meet the requirements for admission to the program.

Full-time students are expected to complete the program in two years at a rate of three courses per semester. Part-time students are also very welcome.

 

Degree Requirements

The Financial Mathematics Option (FMO) was initiated in 2002 Fall Semester. A student who meets the requirements of the FMO will receive, in addition to the master degree, a certificate signed by the Dean of the College.

To be admitted to the program, a student must have completed a bachelor's degree with a 3.0 GPA over the last 60 hours of all course work and should have a good background in mathematics. A student need not have majored in mathematics to be admitted. It is expected, however, that the student has completed at least 9 hours of mathematics at the junior or senior level, preferably in courses such as advanced linear algebra, advanced calculus, differential equations, or optimization. When these requirements are not met, students may be admitted to the program on a conditional basis subject to the completion of MATH 3334 (Advanced Multivariate Calculus), MATH 6308 (Advanced Linear Algebra), MATH 6312 (Introduction to Real Analysis), with a grade of B or higher (these 9 hours will not be counted as a part of the 30-hour requirement). In lieu of the above, a student may take MATH 6377 (Basic Tools for Applied Mathematician). Again, the 3 hours will not be counted as a part of the 30-hour requirement). Applicants with graduate degrees in science, mathematics, economics, or engineering will be admitted by recommendation of the Committee on FMO, and with the approval of the Director of Graduate Programs in the Department.

All pertinent regulations set forth in the Graduate Studies Bulletin and the Bulletin of the College of Natural Sciences and mathematics must be observed. The requirements for the M.S. degree in Applied Mathematics, Financial Mathematics Option, are as follows.

  • Completion of a minimum of 30 credit hours (with a 3.0 GPA overall and no more than 3 grades at or below C+).
  • Completion of the following courses with a grade of C or higher:
    MATH 6382, 6383: Probability and Mathematical Statistics
    MATH 6366, 6367: Optimization (linear programming, nonlinear programming, stochastic programming, dynamic programming and optimal control, some experience in use of computer software for numerical optimization)
  • Completion of the following two courses in the core of finance mathematics
    MATH 63XX: Mathematical Finance in Discrete Time
    MATH 63XX: Mathematical Finance in Continuous Time
  • Completion of two more courses from the following list:
    MATH 6397: Numerical Method for PDE
    *MATH 63XX: Special Topics in Mathematical Finance (The subject varies from semester to semester; possible topics: Value at Risk, Real-Option Valuations, Valuation of Energy Derivatives, and Energy Risk Management)
    *MATH 73XX: Time Series Analysis
    *MATH 73XX: Computational Statistics (Markov Chains Monte Carlo, and Bayesian Statistics)
    *MATH 73XX: Numerical Methods in Finance
    *MATH 73XX: Econometrics of Financial Markets
    Other MATH courses at 6000 level or higher with the approval of the FMO Program Director
    FINA 7320: Fixed Income Securities
    FINA 8388: Seminars in Financial Management I
    ECON 7331: Econometrics I
  • Completion of a Master's Tutorial Project under the supervision of a Mathematics Department faculty member. The tutorial requirement may be replaced by taking two regularly scheduled classes, if this is the decision of the student and advisor.

 

Contact Information

Professor E. Kao is in charge of the FMO program, please contact him for more information on this program. e-mail: edkao@math.uh.edu.