Mathematical Finance Program

Intellectual Rationale for the MSMF

Two remarkable changes in the last thirty years have led to the demand for a new kind of scientific skill. Globalization has led to greater interdependence of markets: more distant information from many parts of the world intervenes to determine the prices of commodities and securities on US markets. Markets move faster and are much more volatile. As a result many corporations and financial institutions have found themselves exposed to greatly increased risks that traditional financial instruments were ill equipped to handle.

During the same period the theoretical modeling of financial markets underwent a major revolution. A mathematical theory of finance was developed, which led to a new understanding of risk diversification and hedging, and to remarkable pricing formulas for derivative securities which have proved to be of great practical utility for reducing risks. It is now possible to design and price sophisticated, tailor-made securities for controlling the exposure to risk of corporations and financial institutions. The explosion in the growth and calculating power of computers has also made it possible to better evaluate risks and implement highly effective hedging strategies.

Traditional programs at universities have proved ill suited to train a new generation of students, to equip them with the requisite skills. A program that can meet the needs of the new environment is indeed demanding: students must acquire a good mathematical knowledge of stochastic processes, a good knowledge of numerical analysis and computation, plus a good understanding of the structure, functioning and modeling of financial markets. It is with this in mind that the MS degree in Mathematical Finance was created as a joint Program between the Economics and Mathematics Departments at USC. The objective of the Program is to produce graduates with a rigorous foundation in the economic theory and mathematical modeling of financial markets.

The objective of this Master of Science program is to produce graduates with a rigorous foundation in the economic theory and mathematical modeling of financial markets. The program creates an integrated curriculum spanning four disciplines: economics, mathematics, econometrics/statistics and computational/numerical analysis. The program is designed for recent graduates in the fields of applied mathematics, physics and engineering – or for graduates in economics, business and finance with strong mathematical backgrounds – who wish to pursue quantitatively-oriented careers in financial institutions, industry, or government.