Financial Engineering and Mathematics

Financial Engineering applies an underlying science to the task of building structures that are useful in financial markets. The structures are: customized financial contracts and products designed for the goals of managing risk, exploiting financial opportunities, and achieving financial objectives for businesses, governments, and individuals. Key elements in these structures are options and derivative securities; that is, financial contracts whose values are “derived” from more basic elements (such as stocks, commodities, currencies, credit, and even energy and weather). The underlying science of financial markets is best described in the language of advanced mathematics such as probability, statistics, partial differential equations, and numerical analysis, which are indispensable tools in determining the market values of these derivative securities. The Center will play a key role in coordinating the financial engineering courses and activities between CGU and the undergraduate colleges.

CGU offers two innovative degrees in Financial Engineering—the Master of Science in Financial Engineering (MSFE) and the Ph.D. in Financial Engineering. These unique programs prepare graduates for careers in a broad range of specialties including investment banking, corporate finance, and consulting. Enrolling approximately 80 students, the MSFE program is offered jointly between the CGU School of Mathematical Sciences and the world-renowned Peter F. Drucker and Masatoshi Ito Graduate School of Management at CGU. Using quantitative methods, path-breaking concepts of strategic planning and responsible risk management, these programs combine aspects of mathematics and financial management and prepare students for high-level positions in the finance industry. CCMS attracted a sponsored research project in Financial Mathematics (from Fair Isaac), which was carried out during the spring semester 2008. Several undergraduate colleges in Claremont have faculty who can contribute to the financial engineering program in one way or another and have Mathematics Clinic projects from financial institutions. These Clinic projects involve mathematical modeling and applications of quantitative techniques in the design and operation of decision support systems. Undergraduates from majors other than economics seek to prepare themselves for a career in the financial world by taking courses in computing, statistics, stochastic processes and differential equations as well as management and economics.