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The MS Program in Financial Engineering at Baruch College consists of twelve three-credit courses. Nine of these course are required courses. Three other courses will be chosen from a group of electives. Students attending full-time would complete the program in three semesters. Alternatively, students may attend part-time for a more extended period of five to six semesters. All courses start after 6pm. Students entering the program with exceptional mathematical or financial skills may be permitted to replace one or more of the required courses with additional electives.

The curriculum of the Financial Engineering program is designed to provide the students with the background required for modeling and solving problems that arise in the financial-service industry. Courses such as Object Oriented Programming for Financial Applications, Market and Credit Risk Management, Elements of Structured Finance, and Deal Theory and Structured Analysis are taught by practitioners from the financial industry, enhancing the practical knowledge and the financial engineering skills of our students.

Following is the list of the nine required courses:

MTH 9814 A Quantitative Introduction to Pricing Financial Instruments
MTH 9815 Object Oriented Programming for Financial Applications
MTH 9821 Numerical Linear Algebra
MTH 9831 Real Analysis and Probability
MTH 9852 Numerical Methods for PDEs in Finance
MTH 9862 Stochastic Processes in Finance
MTH 9871 Advanced Computational Methods in Finance
MTH 9873 Interest Rate Models and Interest Rate Derivatives
MTH 9903 Capstone Project and Presentation

There are four courses that have a strong mathematical emphasis, MTH 9821, MTH 9831, MTH 9852, and MTH 9862. These core math courses are, in effect two part year-long courses:

MTH 9821 and MTH 9852: numerical methods for pricing financial instruments (tree-based methods, Monte Carlo methods, and finite difference methods)

MTH 9831 and MTH 9862: probability and stochastic processes methods for describing and pricing financial instruments

The first part courses in each sequence, MTH 9821 and MTH 9831 are only offered in the Fall semester. This prevents us from offering Spring semester admission, since every student is expected to take at least one core math course in the first semester of study.

See the Course Offerings section for more information on each course.


The following courses may be taken as electives:

MTH 9841 Statistics for Finance
MTH 9842 Linear and Quadratic Optimization Techniques
MTH 9845 Market and Credit Risk Management
MTH 9848 Elements of Structured Finance
MTH 9849 Deal Theory and Structured Analysis
MTH 9881 Current Topics in Mathematical Finance
FIN 9770 Financial Markets and Institutions
FIN 9782 Futures and Forward Markets
FIN 9783 Investment Analysis 3
FIN 9786 International Financial Markets
FIN 9790 Seminar in Finance
FIN 9793 Advanced Investment Analysis
FIN 9797 Options Markets
ECO 82100 (Term I) Econometrics I
ECO 82100 (Term II) Financial Econometrics
STA 9700 Modern Regression Analysis
STA 9701 Time Series: Forecasting and Statistical Modeling

Suggested Curriculum for full-time students

Fall Semester, First Year of Study

Spring Semester, First Year of Study

Fall Semester, Second Year of Study