Program Overview

Financial Mathematics, Master of Science

The Financial Mathematics program at Johns Hopkins University is designed to provide students with a strong foundation in the mathematical and computational techniques used in finance. The program is offered through the Whiting School of Engineering and is tailored to meet the needs of working professionals.

Admission Requirements

Applicants to the Financial Mathematics program must meet the general requirements for admission to graduate study at Johns Hopkins University. The applicant's prior education must include:

• An undergraduate or graduate degree in a quantitative discipline (e.g., mathematics, engineering, or the sciences) from a regionally accredited college or university.
• At least two years of experience in finance or a related field is suggested.

Applicants must show competency in:

1. Calculus, through multivariable calculus.
2. Linear algebra.
3. Differential equations.
4. Probability and statistics.
5. Computer programming, which must be demonstrated through coursework, MOOC course completion with verification, or work experience.

Program Requirements

The Financial Mathematics program requires the completion of ten courses within five years. The curriculum consists of:

• Five core courses.
• Two elective core courses.
• Three electives.

Elective courses may also be selected from the Financial Mathematics, Applied Computational Mathematics, and Computer Science programs at the 600 level with advisor approval. Certain course substitutions may be accepted upon approval of the Program Chair via the recommendation of a student's advisor. Only one C-range grade (C+, C, or C) can count toward the master's degree.

Provisional Courses

The following provisional courses may be required for students who do not have the necessary background:

• Calculus I and Calculus II (EN.625.108 and EN.625.109).
• Multivariable Calculus and Complex Analysis (EN.625.250).
• Linear Algebra and Its Applications (EN.625.252).
• Introduction to Probability and Statistics (EN.625.240).
• Introduction to Programming Using Java (EN.605.201) or Introduction to Programming Using Python (EN.605.206).

Courses

The core courses for the Financial Mathematics program are:

• Investment Science (EN.555.642) or Mathematics of Finance (EN.625.641).
• Introduction to Financial Derivatives (EN.555.644).
• Interest Rate and Credit Derivatives (EN.555.645).
• Statistical Methods and Data Analysis (EN.625.603).
• Introductory Stochastic Differential Equations with Applications (EN.625.714) or Stochastic Processes and Applications to Finance (EN.555.627).

The core elective courses are:

• Financial Risk Management and Measurement (EN.555.646).
• Optimization in Finance (EN.625.616).
• Monte Carlo Methods (EN.625.633).
• Time Series Analysis (EN.625.695).

The electives for the Financial Mathematics program include:

• Quantitative Portfolio Theory & Performance Analysis (EN.555.647).
• Financial Engineering and Structured Products (EN.555.648).