Twin Cities campus

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Twin Cities Campus

Financial Mathematics M.F.M.

School of Mathematics
College of Science and Engineering
Link to a list of faculty for this program.
Contact Information
Program in Financial Mathematics, 127 Vincent Hall, 206 Church Street SE, Minneapolis, MN 55455 (612-624-6391; fax: 612-624-6702)
Email: mcfam@umn.edu
Website: https://cse.umn.edu/mcfam/master-financial-mathematics-mfm
  • Program Type: Master's
  • Requirements for this program are current for Fall 2024
  • Length of program in credits: 35
  • This program does not require summer semesters for timely completion.
  • Degree: Master of Financial Mathematics
Along with the program-specific requirements listed below, please read the General Information section of this website for requirements that apply to all major fields.
The Master of Financial Mathematics (MFM) degree program helps students understand the underlying mathematics of quantitative finance. The program offers a range of courses, from theoretical to practical, including a mathematical course on stochastic processes, a practitioner's course offering hands-on application of financial software tools, and a programming course focusing on Python and C#. Courses are offered in the evenings to accommodate working professionals, and can be completed as a full- or part-time student.
Program Delivery
  • via classroom (the majority of instruction is face-to-face)
Prerequisites for Admission
The preferred undergraduate GPA for admittance to the program is 3.00.
A bachelor's degree from an accredited US university or foreign equivalent.
Other requirements to be completed before admission:
Applicants should have completed four semester college-level courses that cover single variable and multivariable calculus and linear algebra, a calculus-based probability course, and have the ability to write code in any programming language. Students who do not have a strong mathematics background or who need a refresher may be asked to take FM 5001/5002 - Preparation for Financial Mathematics.
Special Application Requirements:
Applications are accepted for fall semester only. The application deadline is February 1.
Applicants must submit their test score(s) from the following:
  • GRE
International applicants must submit score(s) from one of the following tests:
  • TOEFL
    • Internet Based - Total Score: 79
    • Internet Based - Writing Score: 21
    • Internet Based - Reading Score: 19
Key to test abbreviations (GRE, TOEFL).
For an online application or for more information about graduate education admissions, see the General Information section of this website.
Program Requirements
Plan C: Plan C requires 35 major credits and up to credits outside the major. There is no final exam.
This program may be completed with a minor.
Use of 4xxx courses towards program requirements is not permitted.
A minimum GPA of 2.80 is required for students to remain in good standing.
Courses offered on both the A-F and S/N grading basis must be taken A-F.
Required Coursework (29 credits)
Take the following courses. Take FM 5101 in fall of the first year and FM 5202 in spring of the first year.
FM 5101 - Current Events in Finance (1.0 cr)
FM 5111 - Introduction to Financial Markets (3.0 cr)
FM 5121 - Mathematics for Finance (3.0 cr)
FM 5151 - Financial Modeling I: Python (3.0 cr)
FM 5202 - Ethics in Finance (1.0 cr)
FM 5212 - Continuous Time Finance (3.0 cr)
FM 5222 - Statistical Methods in Finance (3.0 cr)
FM 5252 - Financial Modeling II: Numerical Methods and Simulations (3.0 cr)
FM 5323 - Data Science and Machine Learning in Finance (3.0 cr)
FM 5343 - Quantitative Risk Management (3.0 cr)
FM 5353 - Software Development in Finance (3.0 cr)
Elective Coursework (6 credits)
Select 6 credits in consultation with the advisor.
FM 5411 - Fixed Income Market (2.0 cr)
FM 5422 - Quantitative Hedge Fund Strategies (2.0 cr)
FM 5432 - Portfolio Optimization (2.0 cr)
FM 5443 - Credit Risk Models (2.0 cr)
FM 5462 - Market Microstructure (2.0 cr)
FM 5993 - Directed Study in Financial Mathematics (1.0-2.0 cr)
FM 5996 - Internship (1.0 cr)
 
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FM 5101 - Current Events in Finance
Credits: 1.0 [max 3.0]
Grading Basis: S-N only
Typically offered: Every Fall
This seminar course focuses on gathering current information and analyzing the effect of local and global happenings on the behavior of the financial markets. Students will use concepts from other courses to interpret weekly market events and present to the class.
FM 5111 - Introduction to Financial Markets
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
This course is a survey of important elements of financial markets and setting the context to the program. Topics include Complete vs incomplete markets, financial institutions, traded instruments, elements of accounting, arbitrage, Fundamental Theorem of Asset Pricing, Credit, Investment and Risk Management.
FM 5121 - Mathematics for Finance
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
This course establishes the mathematical foundation needed for modeling in finance, with focus on probability and statistics, stochastic processes, linear algebra, and more.
FM 5151 - Financial Modeling I: Python
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
This course establishes the basic principles of Financial Modeling. Topics include different kinds of models (e.g. descriptive vs explanatory, statistical vs structural, etc.), foundational models used in finance (binomial, lognormal, Gaussian, etc.) and their applications (stocks, interest rates, commodities, etc.). Python will be used extensively to illustrate the models, therefore this course also serves as an introduction to the use of Python in finance.
FM 5202 - Ethics in Finance
Credits: 1.0 [max 1.0]
Grading Basis: S-N only
Typically offered: Every Spring
This Seminar is formatted as a case study, focusing on financial law, regulation and ethics. Students will analyze various financial decision and discuss cases that exhibit ethical challenges, such as conflict of interests. Discussion will be conducted in small groups and summarized as a presentation to the whole group.
FM 5212 - Continuous Time Finance
Credits: 3.0 [max 3.0]
Typically offered: Every Spring
A course on Stochastic Calculus - based modeling in finance, focusing on the Black-Scholes model and its extensions.
FM 5222 - Statistical Methods in Finance
Credits: 3.0 [max 3.0]
Typically offered: Every Spring
A course on Statistical methods used in the analysis of financial markets data. It will cover topics such as, Bayesian Statistics, Linear and Non-Linear Regression, Markov Chain Monte Carlo, Copulas and Time-series Analysis, and their applications to financial data.
FM 5252 - Financial Modeling II: Numerical Methods and Simulations
Credits: 3.0 [max 3.0]
Typically offered: Every Spring
This course focuses on Monte Carlo simulations and elements of scientific computing as tools in modeling. These methods will be used as a key technique to develop and assess models, and considerable time will be spent on the interpretation of model outputs.
FM 5323 - Data Science and Machine Learning in Finance
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
This course introduces the basic principles underlying Data Science and Machine Learning, focusing on their applications in finance. Topics include: understanding data, EDA, various types of Machine Learning problems (e.g. classification, regression, recommendation, etc.), various algorithmic approaches (GLMs, Trees, Neural Networks, etc.), model selection, limitations of ML models, and issues in their implementations.
FM 5343 - Quantitative Risk Management
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
Topics include: Taxonomies of Risk, Measures of Risk, Risk Modeling and Risk Mitigation strategies. Additionally, the role and purpose of Risk Management will be discussed.
FM 5353 - Software Development in Finance
Credits: 3.0 [max 3.0]
Typically offered: Every Fall
This class introduces the toolset of a compiled language and principles of object-oriented programming. Databases are introduced and data models related to finance applications are explored. Projects are sourced from applied finance problems and are implemented with a focus on performance and common practices in professional software development.
FM 5411 - Fixed Income Market
Credits: 2.0 [max 2.0]
Typically offered: Periodic Fall
This elective on fixed income markets expands on the basic concepts in the core curriculum and provides students a deeper understanding of this market through a hands-on approach.
FM 5422 - Quantitative Hedge Fund Strategies
Credits: 2.0 [max 2.0]
Typically offered: Periodic Spring
A practical course exposing students to a variety of trading strategies used in Hedge Funds.
FM 5432 - Portfolio Optimization
Credits: 2.0 [max 2.0]
Typically offered: Periodic Spring
This elective?s focus is on optimization techniques through the development of an appropriate mathematical framework as well as their applications in portfolio management. The course will have a particular emphasis in convex optimization and practical pitfalls in application. Students will solve both mathematical problems in the area as well as implement solutions with real market data. The elective will conclude with a group project where students will work with market data and analyze implementations of drawdown and conditional value-at-risk optimizations with equity returns under turnover constraints.
FM 5443 - Credit Risk Models
Credits: 2.0 [max 2.0]
Typically offered: Periodic Spring
This course focuses on basic kinds of credit models (structural, intensity, etc.), and their applications. Both individual credit and portfolio level approaches will be considered.
FM 5462 - Market Microstructure
Credits: 2.0 [max 2.0]
Typically offered: Periodic Spring
This course focuses on the stylized facts in market microstructure and its application in algorithmic trading. In order to deal with the vast amount of real time streaming data in algorithmic trading, students will learn how to use KDB+ (a time series database) and its language q (a vectorized functional language).
FM 5993 - Directed Study in Financial Mathematics
Credits: 1.0 -2.0 [max 6.0]
Typically offered: Periodic Fall & Spring
A course in which a student is conducting a directed study or a research project under the direction of a faculty member / program instructor. Can be repeated.
FM 5996 - Internship
Credits: 1.0 [max 8.0]
Grading Basis: S-N only
Typically offered: Every Fall, Spring & Summer
Financial Mathematics curriculum related Internship. Can be repeated.