The Financial Mathematics Graduate Certificate Program (FMGC) is within our program of Master of Science in Applied Mathematics and it has been offered since 2002. A student that meets the requirements of FMGC will receive a certificate in addition to the Master's degree.
The program prepares students with mathematical foundations for risk management in financial and energy markets. Core-course requirements include Probability, Statistics, Optimization Methods, and Discrete-time and Continuous-time Financial Mathematics.
A student who wants to apply for the FMGC program should be admitted into our MSAM (Masters of Science in applied mathematics) program.
To receive the certificate, a student must take courses satisfying the following requirements
- Completion of the following courses with a grade of C or higher:
MATH 6382, 6383: Probability and Mathematical Statistics
MATH 6366, 6367: Optimization
- Completion of the following two courses in the core of finance mathematics
MATH 6384: Mathematical Finance in Discrete Time
MATH 6385: Mathematical Finance in Continuous Time
- Completion of two more courses from the following list:
MATH 6397: Numerical Method for PDE,
MATH 7397: Special Topics in Mathematical Finance (The subject varies from semester to semester; possible topics: Monte Carlo Methods in Finance, Analysis of Finance and Energy Time Series),
- MATH 6397: Time Series Analysis,
- MATH 6386: Computational Statistics (Markov Chains Monte Carlo, and Bayesian Statistics)
Please contact Professor E. Kao via E-mail for more information about this certificate.