Electives

Elective Options

MSFE students are afforded considerable flexibility in choosing electives within the program and can gear their electives toward a concentration or a focus area.

  • Electives must be at the 400 or 500 level to meet graduation requirements. The elective courses must also be relevant to the Financial Engineering curriculum with approval from the department. Students have the option to choose from electives with MSFE priority designation or other popular electives across the campus.
  • Electives may also meet requirements toward a concentration within the MSFE Program. More details on the concentration page.
  • "Focus" areas can be acheived by selecting electives that have a common focus i.e., statistics courses for all open electives. Focus areas are not reflected on transcripts or diplomas and have no official campus designation.

The following are popular electives students may register for - this list is not inclusive.

Electives with MSFE priority designationd
Course title and description Credit Hours Location

FIN 517: Advanced Term Structure Models: This class is a continuation of FIN 516 Term Structure Models (a core course for MSFE). Coverage of advanced term structure models with a focus on the LIBOR Market Model (LMM). Students will learn the theory behind the model, how to calibrate the model to data and how to to develop numerical algorithms in order to implement the model to price a variety of real world interest rate products.

2

Urbana campus

FIN 580 Special Topics in Finance - Option Trading Market Making: This course will focus on how option theory is actually applied by option traders and market-makers to achieve their desired goals.  The class will include sections on the mechanics of trading and market organization, as well as a review of basic option theory and commonly used pricing models.  From this, we will examine a variety of trading and market-making strategies, with special emphasis on both the theoretical and real-world risks which option trading entails. Lastly, we will look at some of the realized and implied volatility contracts which have become such popular trading instruments.

4

Chicago - DPI

FIN 580 (A1) Special Topics in Finance - Basics of Trading Algorithm Design (1st 8 weeks of semester). This course will focus on the structure of quantitative strategies, and on the different types of strategies used in production by trading firms and asset managers. Detailed research processes and tools for assessing, conceptualizing, replicating, and developing systematic trading strategies will be addressed. Students will apply their knowledge in hands-on projects to replicate and evaluate existing research and to create and evaluate a new strategy model. Development of systematic trading strategies should follow a highly scientific and repeatable process. This course will start by reviewing categories of systematic strategies, drawing out patterns followed throughout the industry.

2

Chicago - DPI

or

Remotely

FIN 580 Special Topics in Finance (A2) - Deeper Analysis of Algorithm Testing (2nd 8 weeks of semester). This course will focus on more advanced techniques for model evaluation, feature engineering, and using modern methods such as machine learning, as well as practical application of these skills to strategy building. This course will provide a detailed research process and tools for assessing, conceptualizing, replicating, and developing systematic trading strategies. Students will apply their knowledge in hands-on projects to replicate and evaluate existing research and to create and evaluate a new strategy model. Development of systematic trading strategies should follow a highly scientific and repeatable process. This course will start by reviewing categories of systematic strategies, drawing out patterns followed throughout the industry.

2

Chicago - DPI

or

Remotely

FIN 580 Special Topics in Finance (CSQ)- Computer Science for Quants: Virtually all aspects of modern finance are now heavily reliant on both technology and computer science. Software engineering has become an increasingly useful and often even essential skill and discipline for those intending to work in the financial industry. This two week course is intended to offer advanced students an ultra accelerated deep-dive into many of the essential aspects of computer science and software development to the students of the MSFE and MSF programs. The underlying motivation of this course is to provide students from non-CS backgrounds with the additional exposure, knowledge, and skills often required in order to secure employment in the financial industry in roles requiring or substantially benefiting from software development or data analytics. Topics covered will include core foundational aspects of computer science (data structures and algorithms, discrete math, boolean logic and algebra, scientific computation, computer architecture, computer networking, operating systems, programming languages and compilers, and databases), professional software developer tools and best practices (object-oriented programming, various IDEs and software debugging methods, unit and integration testing, version control systems, continuous integration, bug tracking, project management, devops, and software design patterns) and various continuing high demand topics and skills in industry (Big Data, AI/ML, cloud computing and virtualization, enterprise system architecture, computer security, and high availability and fault-tolerant design).

  Urbana campus

FIN 580 Special Topics in Finance - Practical Asset Allocation: This is an elective class for students of MSFE. Ph.D. students interested in this class should speak with Professor Morton Lane. Prerequisites are familiarity with modern portfolio theory (e.g., mean-variance optimization), factor models (e.g., Fama and French), and Matlab. Each lecture will be in two parts; the first part is more theoretical and the second will have problems and practical applications.

4 Chicago - DPI

IE 598 Electronic Trading: It behooves participants in today’s electronic markets understand the way the markets work. Few do. The purpose of this course is expose the exact nature of order matching and routing at the compute-packet level in most exchanges. Not knowing the nature the interfaces has led many to analyze market data in comfortingly ‘good fit” predictive models. However, they are in many cases, predicting the past! They need to adjust analyses for speed and time-stamps. The course will address these issues. However, it should be stressed that the course does not purport nor intend to examine nor propose “trading strategies”.

4

Chicago - DPI

d These courses are taught by practitioners and industry experts. MSFE students are given priority registration for these courses.



Other Popular Campus Electives (all offered on Urbana campus)e
Course title and description Credit Hours
ACCY 500 Accounting Measurement, Reporting, and Control 2 or 4
ACCY 517 Financial Statement Analysis 4
CS 412 Introduction to Data Mining 3 or 4
CS 446 Machine Learning 3 or 4
FIN 502 Quantitative Methods 2 or 4
FIN 503 Quantitative Methods2 2 or 4
FIN 510 Big Data Analytics 4
FIN 511 Investments 2 or 4
FIN 521 Advanced Corporate Finance 4
FIN 527 Mergers & Acquisitions 2
FIN 530 Risk Measurements and Management 2
FIN 552 Financial Data Management & Analysis 4
FIN 561 Financial Intermediation 4
FIN 566 Algorithmic Market MicroStructure 4
FIN 567 Financial Risk Management 4
FIN 579 Applied Portfolio Management 4
FIN 580 Special Topics in Finance - Advanced Data Science & Python for Finance 2
FIN 580 Special Topics in Finance - Applied Financial Econometrics 2
FIN 592 Empirical Analysis in Finance 2 or 4
IE 510 Applied Nonlinear Programming 4
IE 526  Stochastic Calculus in Finance 4
IE 534 Deep Learning 4
IE 598 Special Topics - Section NS-Game Theory Models, Applications & Algorithms 0-4
IE 598 Special Topics - Estimating & Filtering 0-4
STAT 448 Advanced Data Analysis 4
STAT 542 Statistical Learning 4
TE 466 High-Tech Venture Marketing 2
TE 566 Finance for Engineering Mgmt 2
TE 567 Venture Funded Startups 1

eOther courses may be considered and requested of the program director.