2021-22 Catalog

Financial Engineering

The objective of the M.S. in Financial Engineering program is to provide students with a strong education in advanced finance, risk management, and quantitative financial analysis tools, grounded in a common series of courses. This sequence will provide key concepts from financial theory, applied mathematics, and engineering. With these building blocks, program graduates will become instrumental in the creation of innovative solutions for real financial problems, using state-of-the-art analytical techniques and computing technology.

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:  investments, probability and statistics,  and calculus. These courses will not count toward the master's degree.  Examples are given from Lehigh courses; prerequisites do not need to be taken at Lehigh.

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

To those admitted without business coursework: Instructors teaching in the MFE Program's Coursework assume that all prospective students have met the prerequisite business foundation requirements. Although we only require an Investments course, we assume that the student has a background in financial accounting, introductory finance, corporate finance, and investments. Please note you will be competing against students within the classroom that have all these business foundation courses. You are encouraged to gain the necessary background by either taking these courses prior to coming to Lehigh or taking these foundation courses during your first term.


To those admitted without the quantitative coursework: Instructors teaching in the MFE Program's Coursework assume that all prospective students have met the prerequisite mathematics foundation requirements. Although we only require a 2-course Calculus series and a math-based Probability/Statistics course, we recommend an Advanced Calculus course, as well as a course in Linear Algebra. Please note you will be competing against students within the classroom that have all these additional foundation courses. You are encouraged to gain the necessary background by either taking these courses prior to coming to Lehigh or taking these foundation courses during your first term. 

Required Courses

CORE: 6 courses (18 credits)
MATH 467Stochastic Calculus3
MATH 312Statistical Computing and Applications (OR)3,4
Random Processes and Applications
GBUS 421Advanced Investments ((Fixed Income))3
GBUS 422Derivatives and Risk Management3
ISE 426Optimization Models and Applications3
ISE 447Financial Optimization3
ELECTIVES: Choose 2 courses (6 credits) from one of the following 3 tracks
Quantitative Risk Track
MATH 468Financial Stochastic Analysis3
STAT 439Time Series and Forecasting3
GBUS 424Advanced Topics in Financial Management (Risk Management)3
Data Science & Financial Analytics Track
ISE 465Applied Data Mining3
ISE 467Mining of Large Datasets3
ISE 444Optimization Methods in Machine Learning3
STAT 438Linear Models In Statistics with Applications3
CSB 442Blockchain: Mathematical Foundations and Financial Applications3
Financial Operations Track
GBUS 426Financial Markets and Institutions3
GBUS 421 Advanced Topics: Security Analysis (3 credits)
GBUS 424 Advanced Topics: Valuation (3 credits)
ISE 413Asset Valuation3
Machine Learning Requirement: Choose 1 course (3 credits)
CSE 326Fundamentals of Machine Learning (OR)3
Fundamentals of Machine Learning
ISE 364Introduction to Machine Learning3
STAT 465Statistical Machine Learning3
Capstone: 1 course (3 credits)
GBUS 485Financial Engineering Practicum Capstone3
Enrollment required each term (0 credits)
GBUS 484Financial Engineering Professional Development0


financial engineering Certificate Programs

The M.S. in Financial Engineering Program offers three certificate programs to candidates in the MFE program. Certificates are available in Data Science & Financial Analytics, Quantitative Risk Management, or Financial Operations Research and may be earned by completing an additional two courses for a total of 36 credit hours.  Candidates for the MFE degree do not need to apply initially for certificate programs.  Students meet with any Program Director to select their certificate choice (if any) once they are enrolled in the program.

Certificate programs enhance skills and development by allowing additional exploration in three main functional areas.  

For the three (3) proposed Certificate Programs, the description for the Catalog of the Certificate Programs are the following:

1. Data Science & Financial Analytics (DSFA)  Certificate

The objective is to provide students with a unique skill set preparing them for careers in the interdisciplinary field of Data Science and Financial Analytics, with particular application to the financial services industry. Skills developed include working with massive data sets, data-driven analytical methodologies, SAS and R programming, Data Mining, and Machine Learning.

Curriculum: 12 Credits
ISE 465Applied Data Mining (REQUIRED)3
One of the two courses below:3
Mining of Large Datasets (OR)
Optimization Methods in Machine Learning
AND
MATH 312Statistical Computing and Applications (REQUIRED)3
One of two data-intensive finance courses below:3
Derivatives and Risk Management (OR)
Advanced Topics in Financial Management ( Risk Management)

2. Quantitative Risk Management (QRM) Certificate

The objective is to train students in the quantitative methodologies and regulatory practices that are essential for risk management functions within a financial institution.  Prepares students for and reinforces material from the FRM examination.  The Financial Risk Manager (FRM) designation is the premier certification for professionals in financial risk management.  The two-part exam contains the following topics, many of which overlap the curriculum of the MSFE program: Financial Markets and Products, Valuation and Risk Models, Quantitative Analysis, Foundations of Risk Management, Market Risk, Credit Risk, Operational Risk, Risk Management and Investment Management, and Current Regulatory Issues.  Furthermore, Lehigh’s MSFE program is an Academic Partner of the Global Association of Risk Professionals (GARP) who administers the FRM certification.

Curriculum: 12 credits
GBUS 422Derivatives and Risk Management3
GBUS 424Advanced Topics in Financial Management (Risk Management)3
GBUS 426Financial Markets and Institutions3
ONE of the following MATH/STAT courses:
STAT 434/MATH 334Mathematical Statistics3
MATH/STAT 461Topics In Mathematical Statistcs3
STAT 438/MATH 338Linear Models In Statistics with Applications3

3. Financial Operations Research

The objective is to provide the student with an understanding of the fundamental techniques underlying Operations Research Techniques that are of ubiquitous use in all areas of business today like Linear Programming, Game Theory, Dynamic Programming, Integer Programming, Nonlinear Programming, and Machine Learning.

Curriculum: 12 Credits
ISE 426Optimization Models and Applications (REQUIRED)3
ISE 447Financial Optimization (REQUIRED)3
Two (2) electives from the following courses:
ISE 458Topics in Game Theory ( OR)3
Topics in Game Theory
ISE 455Optimization Algorithms and Software3
ISE 407Computational Methods in Optimization3
ISE 416Dynamic Programming3
ISE 444Optimization Methods in Machine Learning3
ISE 467Mining of Large Datasets

Admissions

Applications are accepted through the graduate online application system at https://www.applyweb.com/lehighg/index.ftl.   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 either the Test of English as a Foreign Language (TOEFL) or the International English Language Testing System (IELTS) exam.  

Further information about the M.S. in Financial Engineering Program may be obtained by visiting https://business.lehigh.edu/academics/graduate/masters-programs/ms-financial-engineering, contacting the Graduate Programs Office of the College of Business  or one of the following Co-Directors:

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

Dr. Daniel Conus, Department of Mathematics, Lehigh University,  17 Memorial Drive E.,  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

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