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Academics

Program requirements

The Masters in Mathematical Finance (MMF) is a professional master's degree jointly offered by IIT Stuart School of Business and Department of Applied Mathematics. In order to earn a degree, the student needs to complete a total of 11 semester courses (33.0 semester credits). A thesis is not required.

For all academic questions please contact one of the academic advisors:

Professor Tomasz R. Bielecki, MMF Program Director
   312.567.3165, bielecki_at_iit_dot_edu

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Assistant Professor Igor Cialenco
   312.567.3131, igor_at_math_dot_iit_dot_edu

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Assistant Professor Geoffrey Harris
   (312)-906-6533, gharris_at_stuart_dot_iit_dot_edu

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Core courses:

All MMF students must complete the eight core classes.

Class Designation	Course Title	Credit Hours
MSF 505	Futures, Options and OTC Derivatives	3
MSF 526	Computational Finance	3
MATH 542	Stochastic Processes	3
MATH 548	Mathematical Finance I	3
MATH 565	Monte Carlo Methods in Finance	3
MSF 575	C++ with Financial Applications	3
MATH 582	Mathematical Finance II	3
MATH 586	Theory and Practice of Fixed Income Modeling	3
	Total:	24

For full course descriptions and syllabi please visit
Department of Applied Math Course Descriptions Site, or
Stuart School of Business Course Descriptions Site.

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Electives:

Students must choose at least one course from the Mathematics courses listed below and at least one course from the Finance courses listed below, unless they have obtained a written exception from the academic advisors to substitute an alternative class. 9 semester credits must be earned from elective classes. Not all electives are offered every semester, so confirmation with a faculty advisor for a schedule of when courses will be offered is recommended. 

Choose a minimum of ONE elective from the following Applied Mathematics courses:

Class Number	Course Title	Credit Hours
MATH 512	Partial Differential Equations	3
MATH 522	Mathematical Modeling	3
MATH 540	Probability	3
MATH 543	Stochastic Analysis	3
MATH 544	Stochastic Dynamics	3
MATH 545	Stochastic Partial Differential Equations	3
MATH 546	Introduction to Time Series	3
MATH 566	Multivariate Analysis	3
MATH 567	Advanced Design of Experiments	3
MATH 569	Statistical Learning	3
MATH 577	Computational Mathematics I	3
MATH 578	Computational Mathematics II	3
MATH 579	Complexity of Numerical Problems	3
MATH 587	Theory and Practice of Modeling Credit Risk and Credit Derivatives	3
MATH 589	Numerical Methods for PDEs	3
MATH 590	Meshfree Methods	3
CS 522	Data Mining	3

Choose a minimum of ONE elective from the following Finance courses:

Class Number	Course Title	Credit Hours
MSF 524	Models for Derivatives	3
MSF 525	Term Structure Modeling and Interest Rate Derivatives	3
MSF 545	Structured Fixed Income Portfolios	3
MSF 546	Quantitative Investment Strategies	3
MSF 554	Market Risk Management	3
MSF 555	Credit Risk Management	3
MSF 566	Financial Time Series Analysis	3
MSF 564	Financial Theory	3
MSF 565	International Finance Theory	3
MSF 567	Bayesian Econometrics	3
MSF 574	.NET and Database Management	3
MSF 576	OOP and Algorithmic Trading Systems	3
MSF 577	High Frequency Finance	3
MSF 584	Equity and Equity Derivatives Trading	3
MSF 585	Fixed Income Trading Strategies	3
MSF 586	Advanced Options Trading Strategies	3

For full course descriptions and syllabi please visit
Department of Applied Math Course Descriptions Site, or
Stuart School of Business Course Descriptions Site.

One graduate level elective may be taken from outside the courses prescribed above, provided that it is consistent with the MMF program objectives and has been approved by the Program Director prior to the student's registration.

Students may also transfer up to two classes from a graduate program at another accredited university if the student has not used the classes to satisfy the requirements for a degree at the previous university. Additional classes may be transferred with the permission of the Program Director.

Some students may be required to take prerequisite courses in mathematics, statistics or computer science before being admitted to a graduate course.

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Suggested/typical study schedule for a full time MMF student

Semester One, Fall

Class Number	Course Title
MATH 542	Stochastic Processes
MATH 548	Mathematical Finance I: Discrete Time
MSF 505	Futures, Options and OTC Derivatives

Semester Two, Spring

Class Number	Course Title
MSF 575	C++ with Financial Applications
MATH 582	Mathematical Finance II: Continuous Time
MATH 586	Theory and Practice of Fixed Income Modeling

Summer
Internship or two electives

Semester Three, Fall
One or two electives chosen from:

Class Number	Course Title
MATH 565	Monte Carlo Methods in Finance
MSF 526	Computational Finance

One or two electives chosen from:

MATH 587	Theory and Practice of Modeling Credit Risk and Credit Derivatives
MATH 512	Partial Differential Equations
MATH 543	Stochastic Analysis
MATH 544	Stochastic Dynamics

Semester Four, Spring
(if needed to complete 33 credits)
2-3 electives chosen from:

Class Number	Course Title
MSF 566	Financial Time Series Analysis
MSF 576	OOP and Algorithmic Trading Systems
MATH 544	Stochastic Dynamics
MATH 569	Statistical Learning
MATH 589	Numerical Methods for PDEs