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Program requirements

The Masters in Mathematical Finance (MMF) is a professional master's degree jointly offered by IIT Stuart School of Business and  the Department of Applied Mathematics. In order to earn a degree, the student needs to complete a total of 11 semester-long courses, including eight core courses and three elective courses. A thesis is not required.

For all academic questions please contact one of the academic advisors:

Professor Tomasz R. Bielecki, MMF Program Director
   312.567.3165, tbielecki_at_iit_dot_edu

Associate Professor Igor Cialenco, MMF Deputy Director
   312.567.3131, cialenco_at_iit_dot_edu

 

Core courses:

All MMF students must complete the eight core classes.

Class Designation Course Title Credit Hours
MSF 505 Futures, Options and OTC Derivatives

3

MSF 526 Computational Finance

3

MSF 575 C++ with Financial Applications

3

MATH 542 Stochastic Processes

3

MATH 548 Mathematical Finance I

3

MATH 565 Monte Carlo Methods in Finance

3

MATH 582 Mathematical Finance II

3

MATH 586 Theory and Practice of Fixed Income Modeling

3

  Total:

24

For full course descriptions and syllabi please visit
the Department of Applied Math Course Descriptions Site, or
Stuart School of Business Course Descriptions Site.

Electives:

Students must choose at least one course from the mathematics (MATH) and computer science courses listed below and at least one course from the finance (MSF) courses listed below, unless they have obtained a written exception from an academic advisors to substitute an alternative class.  Not all electives are offered every semester, check with a faculty advisor for of when a course will be offered. 

Choose a minimum of ONE elective from the following applied mathematics and computer science courses:
 

Class Number Course Title Credit Hours
CS 522 Data Mining

3

MATH 512 Partial Differential Equations

3

MATH 522 Mathematical Modeling

3

MATH 540 Probability

3

MATH 543 Stochastic Analysis

3

MATH 544 Stochastic Dynamics

3

MATH 545 Stochastic Partial Differential Equations

3

MATH 546 Introduction to Time Series

3

MATH 566 Multivariate Analysis

3

MATH 567 Advanced Design of Experiments

3

MATH 569 Statistical Learning

3

MATH 577 Computational Mathematics I

3

MATH 578 Computational Mathematics II

3

MATH 579 Complexity of Numerical Problems

3

MATH 587 Theory and Practice of Modeling Credit Risk and Credit Derivatives

3

MATH 589 Numerical Methods for PDEs

3

MATH 590 Meshfree Methods

3

Choose a minimum of ONE elective from the following Finance courses:

Class Number Course Title Credit Hours
MSF 524 Models for Derivatives

3

MSF 525 Term Structure Modeling and Interest Rate Derivatives

3

MSF 545 Structured Fixed Income Portfolios

3

MSF 546 Quantitative Investment Strategies

3

MSF 554 Market Risk Management

3

MSF 555 Credit Risk Management

3

MSF 566 Financial Time Series Analysis

3

MSF 567 Bayesian Econometrics

3

MSF 574 .NET and Database Management

3

MSF 576 OOP and Algorithmic Trading Systems

3

MSF 577 High Frequency Finance

3

MSF 584 Equity and Equity Derivatives Trading

3

MSF 585 Fixed Income Trading Strategies

3

MSF 586 Advanced Options Trading Strategies

3

For full course descriptions and syllabi please visit
Department of Applied Math Course Descriptions Site, or
Stuart School of Business Course Descriptions Site
.

One graduate level elective may be taken from outside the courses prescribed above, provided that it is consistent with the MMF program objectives and has been approved by the Program Director prior to the student's registration.
Students may also transfer up to two classes from a graduate program at another accredited university if the student has not used the classes to satisfy the requirements for a degree at the previous university. Additional classes may be transferred with the permission of the Program Director.
Some students may be required to take prerequisite courses in mathematics, statistics or computer science before being admitted to a graduate course.

Suggested/typical study schedule for a full time MMF student

Semester One, Fall

Class Number Course Title
MATH 542 Stochastic Processes
MATH 548 Mathematical Finance I
MSF 505 Futures, Options and OTC Derivatives

 

Semester Two, Spring

Class Number Course Title
MSF 575 C++ with Financial Applications
MATH 582 Mathematical Finance II
MATH 586 Theory and Practice of Fixed Income Modeling


Summer
Internship or two electives

Semester Three, Fall
One or two electives chosen from:

Class Number Course Title
MATH 565 Monte Carlo Methods in Finance
MSF 526 Computational Finance

One or two electives chosen from:

MATH 587 Theory and Practice of Modeling Credit Risk and Credit Derivatives
MATH 512 Partial Differential Equations
MATH 543 Stochastic Analysis
MATH 544 Stochastic Dynamics

 

Semester Four, Spring
(if needed to complete 33 credits)
2-3 electives chosen from:

Class Number Course Title
MSF 566 Financial Time Series Analysis
MSF 576 OOP and Algorithmic Trading Systems
MATH 544 Stochastic Dynamics
MATH 569 Statistical Learning
MATH 589 Numerical Methods for PDEs
data driven decision making