The M.A. program in Mathematics of Finance is designed for students who want to work in areas of quantitative finance such as quantitative portfolio management, quantitative trading, risk management, derivatives modeling, structuring and trading, and other related quantitative fields.
In conjunction with the Department of Statistics, the Department of Mathematics offers an M.A. in Mathematics with a specialization in the Mathematics of Finance. The program concentrates on the advanced quantitative methods required for modern finance and draws on the diverse strengths of Columbia in stochastic processes, numerical methods and application to finance. The program consists of ten courses, of which six are required and four are electives. Topics covered include probability and random processes, statistics, partial differential equations, financial markets and instruments, valuation and hedging techniques, and computational and simulation methods. All required courses are available in the evenings. In addition to the regular course work, students attend a weekly seminar in which distinguished practitioners discuss their research, give mini-courses and suggest open problems.
Students may register full or part time. Full-time students complete the degree in one year; part-time students complete the degree in no more than four years.
In addition to the requirements listed below, all students must submit one transcript showing courses and grades per school attended, a Statement of Academic Purpose (click here for guidelines), and three letters of evaluation from academic sources. Applicants may submit scores from the GMAT in lieu of GRE scores.
All international students whose native language is not English or whose undergraduate degree is from an institution in a country whose official language is not English must submit scores of the Test of English as a Foreign Language (TOEFL) or IELTS.
Your statement of academic purpose should address the following:
- Why do you want to study the mathematics of finance, and why do you want to do it in Columbia University’s Mathematics of Finance program?
- How have your activities since finishing high school prepared you to study the mathematics of finance?
- How have you satisfied the mathematics, statistics, and programming prerequisites listed on the program's webpage, http://www.math.columbia.edu/mafn/admissions/application-procedures/? List mathematics, statistics, computer science, and programming courses you have taken, and list projects and activities where you have used these skills. If you have acquired some of this knowledge by self-study, you may ask one or more of the people who write reference letters for you to comment on it.
Recommended prerequisites: Calculus, linear algebra, elementary differential equations, probability, statistics. If possible, an exposure to advanced calculus and mathematical analysis is desirable. Additional information on prerequisites can be found here.