in person

Financial Engineering

MS in Financial Engineering

The hallmark of the Master of Science in Financial Engineering (MSFE) is the close integration of mathematics and finance with the most recent computational developments. Our MSFE was the first to be established in California, and has long offered a strong curriculum in the foundational skills that will make you successful in industry. Beyond these skills, we embrace the fundamental changes that machine learning is bringing to the modern world.

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The MSFE program provides you with the expertise to create and evaluate complex financial products to help you become a strategic leader in the field. You will draw on tools from applied math, statistics, and financial and economic theory which you will convert into (i) software programs in the most modern programming languages and (ii) successful decision-making. Our program ranks among the top financial engineering programs nationally and gives our graduates excellent preparation for careers in portfolio management and risk management in various financial services institutions (banking, hedge funds, and financial technology companies).

The Claremont Colleges are proud to offer small class sizes. The MSFE program embodies this principle. We believe that students learn better with personalized teaching.

 

Program Highlights
  • Learn from research faculty and experienced practitioners with expertise in areas such as risk management, derivatives, asset management, and financial information systems among others.
  • Get practical experience with the Engineering & Computational Mathematics Clinic program.
  • Receive personalized career guidance from staff and faculty, as well access to a formal mentorship program with members of our MSFE Advisory Board.
  • This program is STEM designated, allowing international students who hold F-1 visas to apply for OPT work authorizations for a total of 36 months (an initial 1-year period and a 24-month OPT STEM extension) of paid work experience in the U.S. after graduation.
  • MSFE alumni go on to leadership roles in some of the most prominent financial firms and companies in the world, such as Goldman Sachs, Barclays, AIG, Blackrock, Western Asset Management, and the Capital Group.

Program At-a-glance

  • 32 units

    required units

  • MS in Financial Engineering

    degree awarded

  • In Person

    modality

  • Spring, Summer, Fall

    program start

  • 1 year | full time*

    estimated completion time

Where You Can Find Our Alumni

Faculty

  • Portrait of Henry Schellhorn

    Henry Schellhorn

    Professor of Mathematics
    Academic Director, Financial Engineering Program

    Research Interests

    Financial engineering, Credit risk, Stochastic analysis, Traffic models

  • Portrait of John Angus

    John Angus

    Professor of Mathematics

    Research Interests

    Probability, Statistics, Computing, Algorithms, Navigation, Systems Engineering, Mathematical Finance

  • Portrait of Marina Chugunova

    Marina Chugunova

    Ellis Cumberbatch Professor of Mathematics
    Program Director, PhD in Engineering & Computational Mathematics

    Research Interests

    Surfactant-driven thin film flows in biomedical applications; Nonlinear parabolic equations; Stability problems in fluid dynamics; Scientific computations; Applied operator theory; Sturm-Liouville problems

  • Portrait of Ali Nadim

    Ali Nadim

    Professor of Mathematics

    Research Interests

    Fluid Dynamics, Mathematical Modeling, Scientific Computing

  • Portrait of Qidi Peng

    Qidi Peng

    Research Associate Professor of Mathematics

    Research Interests

    Statistical inferences, Stochastic differential equations, Stochastic modeling, Simulation, Machine learning, Approximation theory, Graph theory

  • Portrait of Allon Percus

    Allon Percus

    Joseph H. Pengilly Professor of Mathematics
    Director, Institute of Mathematical Sciences

    Research Interests

    Discrete optimization; Network models; Statistical physics; Random combinatorial structures

  • Portrait of Andrew Nguyen

    Andrew Nguyen

    Adjunct Professor of Mathematics

    Research Interests

    Stochastic processes, Statistics, Risk management, Financial derivatives, Actuarial sciences, Statistical software

  • Jay Prag

    Jay Prag

    Clinical Full Professor
    Academic Director
    Faculty Coordinator, Center for Business & Management of the Arts

    Research Interests

    Corporate Finance, Investments, Economics of Strategy, Macroeconomics

Curriculum

View All Mathematics Courses

The Financial Engineering Program provides a flexible curriculum. Thirty-two units are needed to complete the degree. Twenty-four units are required courses. Eight units are elective courses. Recommended electives are offered every year during the semester listed. Other electives are not offered during a fixed semester; they are listed at the end of this curriculum section.

Fall Semester

Required Courses

Methods of Applied Probability and Statistics

The goal of this course is to study the fundamental concepts in the theory of statistical inference. Students will learn how to construct point and interval estimators and test statistical hypotheses based on data. Students will also learn the concepts of sufficiency and completeness as they relate to forming optimal point estimators, and how to apply the Neyman-Pearson theory to find optimal hypothesis tests.

Corporate Finance

This course develops understanding of financial decision making—including investment decisions, financing decisions, and their interaction—and examines the underlying framework of corporate finance, including valuation, market efficiency, portfolio theory, agency costs, and information costs.

Time Series Data Analysis

This course studies standard methods in handling time series data. These include stationary and non-stationary processes, seasonal models, univariate ARIMA and GARCH models. Some multivariate models along with state-space models and Kalman filter will also be discussed.

Stochastic Processes

This first part of the course covers Markov processes: Markov chains and pure jump processes. Ergodic theory and martingales are analyzed. The second part of the course covers second order processes such as Brownian motion. Stochastic integration and stochastic calculus (Ito’s lemma) are covered. Applications are given to queueing systems and default risk modeling.

Spring Semester

Required Courses

Mathematical Finance: Fixed Income and Derivatives

This course starts by describing financial derivatives in the following markets: equities, fixed income, credit, commodities, currency. Emphasis is then on the pricing of these securities by formulae or numerical techniques (Monte Carlo, trees, finite differences). We analyze the following models: Black-Scholes, stochastic volatility, Vasicek, SOFR and others. Stochastic calculus is used extensively. Real options are also discussed.

Quantitative Risk Management

This course focuses on developing tools to quantify and manage the different sources of risk in financial markets. In particular, we will develop tools to forecast volatility, calculate different measures of risk such as Value-at-Risk and Expected Shortfall by Monte Carlo (with or without copulae) or other methods, such as quadratic VaR. We will also study coherent measures of risk, risk aggregation, and capital allocation. Special attention will be given to credit risk: pricing risky bonds, counterparty risk, credit default swaps, securitization, and consumer credit risk. Other types of risk impacting financial institutions, such as model risk, operational risk, and liquidity risk, will also be covered. Topics will vary according to current market needs and may include ESG, climate, and cryptocurrency derivatives.

Recommended Elective Courses

Asset Management Practicum

Theories of asset management are presented via textbook and other readings, lectures, case studies, and student and guest speaker presentations. Students will be responsible for inviting some of the guest speakers with consultation by the instructor. Asset management firms establish and review investment policy, conduct investment research, determine strategies to be implemented, select securities, enter and track orders, measure and report performance, and manage client relations. We will study all these activities in the course.

Machine Learning for Asset Pricing and Management

This course covers basic optimization, machine learning, asset pricing and portfolio theory. Various types of investments such as stocks and bonds are described at the MBA level. Topics include mean-variance, mean-variance with learning (Black-Literman), strategic asset allocation, linear factor models, linear programming, PCA, clustering, and deep learning for asset pricing and management.

Statistical Learning

This course teaches statisticians and financial engineering practitioners cutting-edge statistical learning techniques to deal with vast and complex data in fields ranging from biology and finance to marketing and astrophysics.

Other Electives

The following courses may be offered in different semesters each year. Depending on their availability, they can be taken as electives:

  • Quantum Computing and Applications
  • Partial Differential Equations
  • Math Clinic (two-semester sequence)
  • Linear Statistical Models
  • Discrete Mathematical Modeling
  • Optimization
  • Mathematics of Machine Learning
  • Advanced Big Data Analysis
  • Computational Statistics
  • Financial Strategy & Valuation (Drucker)
  • Selected Topics in Finance: Fixed Income (Drucker)
  • Investments (Claremont McKenna College)

Accelerated Degree Option

Undergraduate students at the Claremont Colleges (Pomona, Scripps, Claremont McKenna, Harvey Mudd, Pitzer) can obtain a graduate degree on an accelerated track through the Claremont Graduate Scholars Program, working toward the master’s requirements simultaneously with the completion of an undergraduate degree. Up to 16 units of transferable credit can be earned upon admission to one of our master’s degree programs. Students are eligible for a minimum fellowship award of $6,500 per semester at CGU, based on 12 units of enrollment. Apply Here

Recent alumni of the Claremont Colleges (Pomona, Scripps, Claremont McKenna, Harvey Mudd, Pitzer) can obtain a graduate degree on an accelerated track through the Claremont Graduate Scholars Program. For alumni who have graduated within the past five years, up to 12 units of transferable credit can be earned upon admission to one of our master’s degree programs. See program-specific details for restrictions on applicable coursework. Students are eligible for a minimum fellowship award of $6,500 per semester at CGU, based on 12 units of enrollment. Apply Here

Application Guidelines

University Requirements
Application Fee

$80 (fee is non-refundable)

Official Transcripts

Undergraduate/graduate

Applicants must submit a sealed, official transcript from every undergraduate and graduate institution that has granted the applicant a degree. Electronic transcripts sent to admissions@cgu.edu are also accepted. For undergraduate coursework, applicants are required to submit proof of a completed bachelor’s degree from a regionally accredited college or university. Unofficial copies of transcripts are accepted for review purposes, but official copies will be required upon admission.

Applicants currently earning a degree that will be completed prior to attending CGU are required to submit a transcript showing work in progress for evaluation purposes. Once the degree has been granted, a final official transcript documenting the degree conferred must be submitted to CGU.

International applicants are advised to review the International Transcript Guidelines for additional information on submitting international transcripts.

English Proficiency Exam

Required (international applicants only)

A valid score on one of the following examinations TOEFL, IELTS, Pearson PTE, Duolingo English Test is required of all non-native English-speaking applicants. The examination is not required for the following applicants:

  • Citizens or permanent residents of countries where English is the sole official language of instruction, e.g., Australia, Bahamas, Barbados, Canada (except Quebec), England, Ghana, Ireland, Jamaica, Kenya, New Zealand, Nigeria, Scotland, St. Vincent and the Grenadines, Trinidad, Tobago, Uganda, and Wales (see the CGU Bulletin for a complete list of accepted countries).
  • Applicants who hold an undergraduate or advanced degree, or will have earned such a degree prior to enrolling at CGU, from an institution in the US or in countries where English is the sole official language of instruction (see above).
  • Applicants who have successfully completed an academic English pre-master’s or intensive graduate bridge program from a nationally recognized, regionally accredited four-year college or university in the United States in the last two years, with submitted evidence of successful completion, and subject to curriculum approval.
  • CGU allows for an English proficiency waiver if the applicant has received, or will receive prior to enrollment at CGU, an undergraduate or advanced degree from an institution where English is one of the primary languages of instruction for the majority of courses in the student’s program. To receive the waiver, documentation must be provided by the applicant to show that English is the language of instruction at their university/college.

CGU’s school code for the TOEFL exam is 4053.

International applicants are encouraged to visit our International Applicants page for more information, including score requirements.

Resume

Applicants must submit an up-to-date copy of their resume.

Program Requirements
Statement of Purpose

Write a 3-5 page statement answering the following:

  • Why is admission to the Financial Engineering program important to you?
  • What special contributions do you believe you will make to Claremont Graduate University?
  • Describe an ethical dilemma you have encountered and the process by which you resolved the situation.
Academic Prerequisites

You must have completed college-level multivariable calculus and linear algebra with a B or better grade.We recommend proficiency in the programming languages C, C++, Visual Basic, Java, or Matlab.

Letter of Recommendation

2 letters required

When filling out the online application, please enter references acquainted with your potential for success who will submit a written recommendation on your behalf. In most academic departments, references from faculty members who can speak to your academic ability are preferred; applicants with substantial work experience may request professional references. Please do not enter family members as references. For programs requiring two letters of recommendation, you are welcome to enter an optional third reference.

You will be required to input information for your recommenders (whether they are submitting online or not) in the “Recommendations” section of the online application. Please follow the directions in this section carefully before clicking on “Recommendation Provider List” to input the names and contact information for each recommender. You will have an opportunity to indicate if the reference writer will be submitting online. These reference writers will receive an email from CGU with instructions on submitting an online recommendation.

Recommenders who are indicated as offline will not receive an email from CGU with instructions to submit. These reference writers can submit via traditional mail and should use the supplemental New Student Recommendation Form. Recommenders can also email their letter of recommendation to the Office of Admissions at admissions@cgu.edu.

Download the Recommendation Form

Standardized Test Scores

GRE recommended

Graduate Record Examination (GRE) scores are optional but recommended.

CGU’s school code:
ETS (GRE and TOEFL) 4053

The MS in Financial Engineering is 40 to 48 units, depending on the academic background of the student. Students with prior coursework in Probability and Financial Accounting will only be required to complete 40 units. Students lacking one or both courses will need to complete 44 or 48 units, respectively. Options on how to complete these courses will be given to students upon acceptance into the program.

Key Dates & Deadlines

CGU operates on a priority deadline cycle. Applicants are strongly encouraged to submit complete applications by the priority dates in order to assure maximum consideration for both admission and fellowships.

Once the priority deadlines have passed, the University will continue to review applications for qualified candidates on a competitive, space-available basis. The final deadlines listed are the last date the University can accept an application in order to allow sufficient time to complete the admissions, financial aid, and other enrollment processes.

Fall 2025
Priority Deadline – February 1, 2025
Final Deadline (International) – July 5, 2025
Final Deadline (Domestic) – August 1, 2025
Classes begin – August 25, 2025

Apply Now

Cost & Aid

ESTIMATED TUITION (CALIFORNIA RESIDENTS, NON-RESIDENTS, INTERNATIONAL)
Program 40 units
Tuition per unit* $2,020

*Based on 2024-2025 tuition rates.

 

STUDENT FEES (PER SEMESTER)
$245 Student Fee
$150 Technology Fee
International Student Services Fee*: $661 fall semester, $776 spring semester
**Applies to all international students (F-1 visa only) who are registered in coursework, doctoral study, or continuous registration. The fee is assessed each fall and spring semester for annual ISO accident and sickness plans and administrative fees. Subject to change.

For estimates of room & board, books, etc., please download CGU’s Cost of Attendance 2024-2025.

Review General Costs

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Financial Engineering exchange program - view of Lausanne bridge and cathedral in background

Exchange Program

The Financial Engineering program offers its students the exclusive opportunity to participate in an exchange program at the University of Lausanne, located in the beautiful country of Switzerland.

Known for its banking system and situated at the heart of Europe, Switzerland offers our students the opportunity to participate in financial forums and engage in stimulating financial discussions, both with world-renowned faculty and seasoned professionals.

Classes offered in the exchange program are comparable to those offered at CGU. These courses include Asset Pricing, Econometrics, International Finance, Probability, Stochastic Processes, Applied Corporate Finance, and Derivatives.

Apply now

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