Course Requirements

The Master of Science in Computational Finance is a joint degree with the College of Computing and Digital Media, CDM. The degree is structured to develop financial management knowledge and proficiency. The GMAT test is required for admission for students admitted via the College of Business. Students admitted via the College of Computing and Digital Media may submit either GMAT or GRE test results. The TOEFL test is required for international students.

Students complete the degree by taking 13 required courses; 7 from KGSB and 5 from CDM and 1 elective.

CDM Courses

CSC 423 DATA ANALYSIS AND REGRESSION
CSC 425 TIME SERIES ANALYSIS AND FORECASTING
CSC 485 NUMERICAL ANALYSIS
or CSC 431 SCIENTIFIC COMPUTING
CSC 521 MONTE CARLO ALGORITHMS
CDM ELECTIVE
CSC 696 MASTER'S RESEARCH
or CSC 697 GRADUATE INTERNSHIP

Degree Requirements

Satisfactory completion of the college residency requirement.
Satisfactory completion of the 13 required courses.
Satisfactory completion of 2 CDM elective courses.
All courses for credit toward the degree must be completed within six calendar years after the candidate’s first term of enrollment in the Kellstadt Graduate School of Business. After a lapse of six years a course is expired. An expired course is not acceptable for the purpose of satisfaction of degree requirements and is not applicable to the degree without the written approval of the director of the program or the Kellstadt Graduate School of Business.

ACC 500

FINANCIAL ACCOUNTING

This introduction to financial accounting provides both a theoretical foundation and an opportunity to apply accounting logic in increasingly complex situations. The accounting model and information processing cycle are developed. The content of the income statement, balance sheet, and statement of cash flows are studied in detail and analyzed.

Prerequisites:

MS in Taxation students are restricted from registering for this class.

ECO 555

ECONOMICS FOR DECISION-MAKING

This course provides students with an opportunity to apply microeconomic principles to managerial decision-making. These principles include those underlying the theories of consumer choice, production and cost as they relate to decisions made by firms and households. Specific topics include consumer demand analysis and estimation; elasticity; production theory; cost structure and estimation; profit maximization; and the effect of market structure on pricing, output and profit.

Prerequisites:

GSB 420 is a prerequisite for this class.

FIN 555

FINANCIAL MANAGEMENT

A study of the major decision areas faced by the corporate financial manager and their relationship to the goals of the firm's owners. Specific topics include capital budgeting, capital structure and the cost of capital, dividend policy, and current asset management.

Prerequisites:

ACC 500 and (ECO 555 or equivalents) and GSB 420 are a prerequisite for this class.

FIN 523

INVESTMENT ANALYSIS

This course provides an overview of the investment environment for the institutional money manager. The market mechanism, market equilibrium, the relationship between risk and return and the valuation of various investment instruments are investigated.

Prerequisites:

FIN 555 and GSB 420 are prerequisites for this class.

FIN 525

PORTFOLIO MANAGEMENT

This course analyzes contemporary theories and techniques of security selection and management available to the institution portfolio manager. Significant literature which emphasizes the role of the modern portfolio manager in achieving diversification and client investment goals is reviewed and evaluated.

Prerequisites:

FIN 523 is a prerequisite for this class.

FIN 562

RISK MANAGEMENT

This course is designed as an introduction to derivative instruments; their characteristics, their pricing, the market's infrastructure, trading mechanics, and applications. The course introduces the binomial pricing model, the Black & Scholes continuous time pricing model, the associated properties i.e. "the Greeks." and forward pricing. The course examines the characteristics and market infrastructure for each of the four derivative instruments: foreard, futures, options, and swaps. Then trading strategies and hedging applications for each of these instruments are discussed. The course concludes with an introduction to Value at Risk.

Prerequisites:

FIN 555 and GSB 420 are prerequisites for this class.

FIN 662

DERIVATIVES VALUATION

This course is designed to be an advanced course that focuses on the pricing models for the four derivative instruments: forwards, futures, options and swaps. Fixed income modeling as it is related to swaps and caps also will be considered. The first part of the course is devoted to an in depth examination of the various pricing models: discrete, continuous time, as well as Monte Carlo simulation. Each model's properties are derived and discussed in detail. These models are then applied to a range of realistic pricing situations which include swaps, exotic options, credit derivatives and complex Value at Risk problems.

Prerequisites:

FIN 555 is a prerequisite for this class

CSC 423

DATA ANALYSIS AND REGRESSION

Multiple regression and correlation, residual analysis, analysis of variance, and robustness. These topics will be studied from a data analytic perspective, supported by an investigation of available statistical software. PREREQUISITE(S): IT223.