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 Georgia Institute of Technology: Master of Science in Quantitative and Computational Finance (QCF). Degrees Awarded and Program Duration Students take 36 semester credit hours; there are 6 required courses, 3 constrained electives, and 3 free electives. Many students finish in a Fall, Spring, Fall semester plan; some students finish in 4 or more semesters. Students graduate with the Master of Science in Quantitative and Computational Finance degree. Program Size About 50 students are admitted each year. Currently there are 100 students in the program at various levels of completion. Most of these are full-time; several are part-time. There are about 25 faculty participating in the program and its development from Management, Mathematics, and Industrial and Systems Engineering, with half of these teaching QCF curriculum courses. Contact Information Professor Robert Kertz Program Description The main objective of the Master of Science degree program in Quantitative and Computational Finance at Georgia Tech is to provide students with the practical skills and theoretical understanding they need to be leaders in the formulation, implementation and evaluation of the models used by the financial sector to structure transactions, manage risk and construct investment strategies. This objective requires a thorough understanding of the principles, structures, and everyday activities of finance, an understanding of the mathematics that is being used to model these financial activities, and knowledge of the techniques used to implement these models in finance – techniques in programming, numerical analysis, statistics, and optimization – along with the intuition within finance itself. Areas of Specialization Students take required courses in finance (Finance & Investments, Derivative Securities, Fixed Income Securities) and in mathematical and computer modeling centered in finance (Numerical Methods in Finance, Stochastic Processes in Finance, Design and Implementation of Systems to Support Computational Finance). Students take constrained electives from additional modeling courses centered in finance with emphases in optimization, stochastic processes, risk management, statistical techniques, empirical finance, and practice of QCF. Students can use their free electives to develop specialized expertise in areas such as pricing and portfolios; portfolio management; financial modeling and numerical implementation; financial modeling and financial IT networking; or in other areas of finance, economics, mathematics, statistics and computer technology. Typical Graduate Career Paths Graduates have taken diverse career paths. These positions include work in portfolio management in the equity and in the fixed income sectors; corporate valuation and modeling; credit risk management; emerging markets research; and pricing and modeling within investment firms, banks, hedge funds, energy companies, and regulatory agencies. Other graduates are combining the MS QCF degree with PHD work in areas of mathematical finance, financial modeling, and traditional areas of finance, engineering and mathematics. Still other graduates have earned both the MS QCF degree and the MBA in the dual degree program at Georgia Tech. Prerequisites and Entry Process Applicants should have working knowledge of
Associated Programs Students can combine study for the MS QCF degree with study within several other programs at Georgia Tech. These include a dual-degree option with the MBA program, and dual-degree options with many Ph.D programs in areas such as Mathematics, Finance, Economic Decision Analysis, Stochastics, Statistics, Optimization and Engineering. Students establish contacts with several professional finance organizations in the Atlanta area and attend the meetings of these groups. Students have many opportunities to work with researchers within quantitative and computational finance, and within related areas, through seminars, independent study, and a thesis option. Program’s Unique Features The Georgia Tech MS QCF program has benefited from support from the Alfred P. Sloan Foundation Professional Science Masters Program since its inception (see www.sciencemasters.com/ ) One visible aspect of this participation has been the creation at Georgia Tech of 10 new focused courses that were created for the QCF curriculum. This concentration of resources for the QCF program was possible because of the strong interdisciplinary nature of the program, with participation, commitment and resources from the School of Mathematics, the School of Industrial and Systems Engineering, and the College of Management at Georgia Tech. This interdisciplinary commitment brings into the program an enormous concentration of expertise from many areas of mathematics, statistics, engineering, finance, business, and information technology. Faculty expertise includes areas traditional to finance and economics, and areas of financial modeling with connections to disciplines such as stochastics, statistics, optimization, numerical analysis, and analysis. Specific research activity includes areas such as interest rate modeling, derivative and fixed income securities, risk management, pricing and hedging, portfolio management, and work in energy markets and auctions. Other Information Students enter the MS QCF program through any one of the three academic units of Management, Mathematics, and Industrial and Systems Engineering. This brings a great diversity of backgrounds, interests and talents into the program. Students use the state-of-the-art QCF Laboratory/Trading Area as a focal point not only for coursework and speaker programs but also for day-to-day networking. Students find other opportunities to network within many QCF-related student organizations, within several speaker programs, and within many professional finance organizations in the Atlanta area. |
