University of Illinois Urbana-Champaign - Master of Science in Financial Engineering

https://msfe.illinois.edu/

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Key takeaways

• 2 year program provided
• Tuition fee $24,000, $96,000 in total (4 semesters)
• Automated trading practices (ATP) concentration option provided
• Industry-sponsored project (practicum) provided

 

Program

Deadline: December, January, February, March, April, May

 

Fees

$23,550/semester for 2023/2024 academic year

 

Prerequisites/requirements

• Bachelor’s degree, or bachelor equivalent, typically in an engineering field, mathematics, physics, computer science, or economics
• 1 year of Calculus
• 1 semester of Linear Algebra
• 1 semester of Probability and Statistics
• 1 semester of Programming (preferably in C/C++)
• The GRE or GMAT is NOT required. However, applicants may submit GRE/GMAT exam results as a supplement to the application.
• Minimum grade point average:
  • Undergraduate: 3.25 (A=4.00) for last 60 hours of study
• Applicants whose degree is not from an institution where English is the official language are required to provide one of the following:
  • TOEFL (Test of English as a Foreign Language) score of at least 79 min or 103 for full status admission.
  • IELTS (International English Language Testing System) overall score of at least 6.5 min or 7.5 for full status admission.
  • Duolingo score of 115 for limited status or 135 for full status admission.
• Provide a purpose statement: In 300 words or less, describe your area of interest and what your goals are upon completion of the MSFE program. **Please note: The online application asks for a personal statement of 1000 words. For MSFE applicants, please limit your statement to 300 words.
• Provide a short video, no more than 2 minutes in length, describing the following prompts:
  • "Why do you feel you are best suited for the MS Financial Engineering Program?"
  • "What are your career goals after completing our program?"
• Provide a resume with exact dates of employment (note: work experience is NOT required to apply).

 

Application fee

$90

 

Letter of recommendation

Provide 3 letters of reference. They must be sent electronically from a university or company email address, be signed and appear on official letterhead.

 

Curriculum

First semester

Course	Course Title	Credit Hours
FIN 500	Introduction to Finance	4
FIN 553	Machine Learning in Finance	4
IE 522	Statistical Methods in Finance	4
IE 523	Financial Computing	4
Total required hours this semester:		16

Second semester

Course	Course Title	Credit Hours
FIN 512	Financial Derivatives	4
IE 525	Stochastic Calculus & Numerical Models in Finance	4
Electives/Concentrations /early Practicum+		8
Total required hours this semester:		16

Third semester

Course	Course Title	Credit Hours
FIN 516	Term Structure(1st 8 weeks)	2
IE 524	Optimization in Finance(1st 8 weeks)	2
Electives/Concentrations /Practicum+		12
Total required hours this semester:		16
- 4 semesters option available

 

Other Requirements:

• A minimum of 48 hours required to graduate
• Minimum GPA: 2.75
• Credit overloads may be available in 2nd and 3rd semesters
• Students may secure an internship in the summer between second and third semesters

 

Practicum must be taken in third semester if not taken in second semester

Course title and description	Credit Hours
IE 421 Special Topics - High Frequency Trading	4
IE 517 Machine Learning in Finance Lab	2
IE 524 Optimization in Finance Section B (2nd half of semester)	2
IE 598 Special Topics - Computer Science for Quants	1
FIN 517 Advanced Term Structure Models (2nd half of semester)	2
FIN 554 Algorithmic Trading Systems Design & Testing	4
FIN 566 Algorithmic Market Microstructure	4
FIN 580 Special Topics in Finance - Option Trading Market Making	4

Practicum

A key part of the MSFE program is the "practicum" course based on real-world projects provided by industry partners.

 

Concentration options

These concentration courses also meet the electives for the program and can be considered beginning with the 2nd semester of the program. In order to obtain a concentration, the prescribed courses must be met as listed below. To officially declare a concentration on your transcript, you must contact your program advisor.

 

Data analytics - finance

Course	Course Title	Credit Hours
Required:
FIN 550	Big Data Analytics in Finance for Predictive and Causal Analysis	4
and any two of the following graduate courses:
FIN 552	Applied Financial Econometrics	4
FIN 553	Machine Learning in Finance	4
FIN 555	Financial Innovation	4
FIN 537	Financial Risk Management	4
FIN 580	Financial Data Management & Analysis	4
FIN 580	Quantamental Investment	4
	Hours needed to satisfy the concentration:	12

 

Advanced analytics - industrial & enterprise systems engineering

Course	Course Title	Credit Hours
Required: (choose 2 courses and one additional from the list below)
IE 434	Deep Learning: Mathematics and Applications	4
IE 522	Statistical Methods in Finance	4
IE 525	Stochastic Calculus & Numerical Models in Finance	4
IE 529	Stats of Big Data and Clustering	4
IE 531	Algorithms for Data Analytics	4
IE 532	Analysis of Network Data	4
IE 533	Big Graphs and Social Networks	4
IE 534	Deep Learning	4
IE 400	Design & Analysis of Experiments	4
IE 410	Advanced Topics in Stochastic Processes & Applications	4
IE 411	Optimization of Large Systems	4
IE 510	Applied Nonlinear Programming	4
IE 511	Integer Programming	4
IE 514	Optimization Methods for Large-Scale, Network-Based Systems	4
IE 521	Convex Optimization	4
IE 523	Financial Computing	4
SE 524	Data-Based Systems Modeling	4
	Hours needed to satisfy the concentration:	12

 

Automated trading practices (ATP)

Course	Course Title	Credit Hours
Required:
IE 421	High Frequency Trading Technology	4
Algo Trading Courses: pick one or two
FIN 554	Algorithmic Trading Systems Design & Testing	4
FIN 556	Algorithmic Market Microstructure	4
Stochastic & Learning Foundations Courses: If you have picked one Algo Trading Course above only, then pick one of the following
IE 410	Advanced Topics in Stochastic Processes & Applications	4
IE 434	Deep Learning: Mathematics and Applications	4
IE 518	Queueing Systems	4
IE 531	Algorithms for Data Analytics	4
IE 534	Deep Learning	4
	Hours needed to satisfy the concentration:	12

 

Computational science and engineering concentration (CSE)

CSE Graduate Concentration – Computational Science and Engineering

CSE Graduate Concentration – Computational Science and Engineering

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