2016-17 Catalog

Analytical Finance

Analytical Finance

This program provides students with a strong education in advanced finance and quantitative financial analysis tools to develop graduates who can create innovative solutions for real financial problems, using state of the art analytical techniques and computing technology. Students with undergraduate degrees in computer science, economics, engineering, finance, mathematics and the hard sciences should have the quantitative background needed for success in this field.

This program equips students with the necessary skill set to prepare for the Financial Risk Manager® examination offered by The Global Association of Risk Professionals (GARP).

Prerequisites

Applicants must show basic competency in the following areas: finance, corporate finance, investments, financial accounting, economics, money and banking, statistics, linear algebra, and calculus. These courses will not count toward the master degree.

Entrance Prerequisites

(Examples given from Lehigh courses)

Must show basic competency in the following areas: (Does not count towards the 30 credit minimum degree requirement)

Corporate Finance
FIN 328Corporate Financial Policy (OR)3
GBUS 419Financial Management3
Equivalent course
Investments
FIN 323Investments (OR)3
GBUS 420Investments3
Equivalent course
Financial Accounting
ACCT 151Introduction to Financial Accounting (OR)3
ACCT 108Fundamentals of Accounting (OR)3
GBUS 401Financial Reporting for Managers and Investors3
Equivalent accounting course
Statistics and Probability
MATH 231Probability and Statistics (OR)3
ISE 328Engineering Statistics3
Equivalent introductory calculus based statistics and probability course
Calculus Series
MATH 021Calculus I (AND)4
MATH 022Calculus II (AND)4
MATH 023Calculus III4
Equivalent calculus series
Linear Algebra
MATH 205Linear Methods (OR)3
MATH 242Linear Algebra3-4
Equivalent course

Note: Entrance prerequisites at Lehigh typically have several prerequisites that must be fulfilled.

Note: Prerequisites do not have to be taken at Lehigh University.

Note: ECO 045 or an equivalent introductory course including regression analysis is not rigorous enough preparation for MATH 467 and therefore is not adequate for the Statistics and Probability prerequisite.

Required Courses

The 30 credit hour program is a joint venture of the College of Business and Economics, the P.C. Rossin College of Engineering and Applied Science and the College of Arts & Sciences. Required courses are as follows:

Analytical Core
MATH 467Financial Calculus I (fall)3
MATH 468Financial Calculus II (spring)3
Select one of the following Statistics courses:3
Random Processes and Applications (fall)
Statistical Computing and Applications
Select one of the following computation modeling courses:3
Econometrics I (fall)
Linear Models In Statistics with Applications (spring)
Select one of the following Industrial Engineering courses:3
Optimization Models and Applications
Stochastic Models and Applications
Finance Core
GBUS 421Advanced Investments (Fixed Income - spring)3
GBUS 422Derivatives and Risk Management (fall)3
GBUS 424Advanced Topics in Financial Management (Risk Management - spring)3
Computing Core
ISE 447Financial Optimization3
Capstone Practicum
ISE 441Financial Engineering Projects3
Total Credits30

Note: Students with equivalent courses from an undergraduate degree program will be given credit for fulfilling the field requirement and will be permitted to replace the credits from the list of approved electives. The program director(s) must approve courses for each student’s choice of electives. Typically, a finance elective will be used to substitute for a finance course waiver; a computational elective to substitute for a statistics/econometric course, and programming elective for a computing course.

Admissions

Applications may be made through the Graduate Programs Office in the College of Business & Economics or through the Graduate Office of the P. C. Rossin College of Engineering and Applied Science. Applicants must take either the GRE or GMAT. International students must have 16 years of schooling with four years at the University level to be considered for admission. Applicants whose native language is not English are required to take the Test of English as a Foreign Language (TOEFL). Deadline for international students to apply is February 15. U.S. Citizens may apply until July 15.

Further information about the M.S. in Analytical Finance Program may be obtained by visiting http://cbe.lehigh.edu/msaf, contacting the Graduate Programs Office of the College of Business and Economics or one of the following Co-Directors:

Dr. Richard Kish, Perella Department of Finance, College of Business and Economics, Lehigh University, 621 Taylor Street, Bethlehem, PA 18015, phone (610) 758-4205, email: rjk7@lehigh.edu

Dr. Daniel Conus, Department of Mathematics, Lehigh University, 14 E. Packer Avenue, Bethlehem, PA 18015, phone (610) 758-3749, email: dac311@lehigh.edu

Dr. Luis Zuluaga, Department of Industrial and Systems Engineering, Lehigh University, 200 W. Packer Avenue, Bethlehem, PA 18015, phone (610) 758-5182, email: luis.zuluaga@lehigh.edu