Master of Science in Quantitative Finance

Philip Horvath,
Graduate Program Coordinator

A variety of firms in many industries but especially financial institutions, investment banks, portfolio and fund management firms, and commodities firms rely upon very complex and sophisticated mathematical financial models to identify, measure, and manage risks as well as price certain assets. This phenomenon has led to the need for professionals with extensive skills in both finance and mathematics. Programs that prepare these professionals are variously termed “financial engineering,” “computational finance,” “mathematical finance,” or “quantitative finance.”

The Department of Finance and Quantitative Methods offers a graduate program leading to the Master of Science in Quantitative Finance degree. The program provides graduate education that prepares students to meet professional finance challenges in public, private, and not-for-profit organizations. The program is interdisciplinary and is designed for students with very strong quantitative backgrounds who have objectives of understanding, modeling, and determining solutions to complex financial problems such as uncertainty (risk) management and derivatives. The program is rigorous and requires completion of 30 credit hours of coursework. It combines strong quantitative skills such as calculus, probability theory and numerical methods, computer science such as algorithms, neural networks and computation with uncertainty measurement and management, as well as dynamic valuation and pricing from finance. The program emphasizes applied skills while providing sufficient theoretical background. The program is open to full- and part-time students.

Entrance Requirements—Students possessing an undergraduate or graduate degree

1. Students may be admitted from a variety of undergraduate backgrounds, including finance, mathematics, economics, computer science, actuarial science, statistics, information systems, and engineering. Students may not have the required background to immediately begin taking advanced courses from the required program of study. In such cases, the individual’s background will be assessed and a program will be devised to prepare them for the advanced material contained in the program.
2. Prerequisites: completion of MSQF track in FCBA (See Bradley’s Undergraduate Catalog), or
   • Calculus: topics in analytic geometry, limits, continuity, differentiation, calculus of logarithmic, exponential and trigonometric functions, integration, indeterminate forms, improper integrals, infinite series, calculus of functions of several variables, multiple integrals, vector calculus;
   • Linear Algebra: matrix algebra, determinants, simultaneous equations, vector spaces, bases Gram-Schmidt orthogonalization, eigenvalues, eigenvectors, transformations, and applications;
   • Ordinary Differential Equations: existence and uniqueness theorems, solution methods for initial and boundary value problems, linear and nonlinear systems, stability theory, difference equations;
   • Probability: continuous and discrete distributions, multivariate distributions and their moments; independence, ordinary and conditional expectations, Central Limit Theorem;
   • Statistics: statistical concepts, theory, and applications: random variables, sampling, theories of estimation and testing of hypotheses, linear models, and nonparametric methods, regression analysis including detection of and solutions to various violations of classic regression assumptions (heteroskedasticity, autocorrelation, multicollinearity and simultaneity);
   • Computer Programming: programming ability in a high-level language such as C, C++, Fortran (70 or 90/95) Basic, Visual Basic;
   • Economics: basic micro-and macroeconomic topics including supply and demand functions, market structure and the role of money;
   • Finance: Financial markets and institutions, fundamental and technical analysis, asset pricing (CAPM, APT), derivatives, financial research, and modeling.

Admission—MSQF

Admission to the Master of Science in Quantitative Finance program is based on a thorough review of the required documents as well as any supplemental material that may be appropriate. The graduate admissions committee of the Department of Finance and Quantitative Methods makes the admission recommendation. The required documents are the following:

1. Application form. All applicants must submit an Application for Graduate Admission, signed and dated by the applicant. Applications for Graduate Admission may also be submitted on line. A check of $40 (international students pay $50), payable to Bradley University, must accompany the application.
2. Transcript(s). Applicants are required to provide one official transcript sent directly from the Registrar's office at the institution from which they receive their bachelor's degree or the international equivalent. Additional transcripts may be required at the discretion of the Graduate School. Applicants should submit additional official transcripts from post-baccalaureate coursework for consideration. Applicants who have completed graduate-level coursework should submit all transcripts reflecting graduate coursework. Official transcripts should be submitted to: Dean, Graduate School, Bradley University, Peoria, IL 61625.
3. Letters of recommendation. Two current letters of recommendation are required from persons who can comment meaningfully on the applicant’s capability for graduate-level study. Character references are not appropriate. Faculty members under whom the applicant has studied and employers are considered appropriate references.
4. GMAT (Graduate Management Admissions Test). The GMAT is a standardized test designed to measure aptitude for graduate study in management. Applicants must arrange to take the test in sufficient time to permit processing of the results. The Bradley University GMAT institutional code is 1070. Information about the GMAT may be obtained by contacting the Graduate School or visiting the GMAT Web site at www.gmac.com.
5. Essays. Answers to essay questions must be complete with meaningful and well-developed answers to the questions on the goals of the applicant.
6. A current resume.
7. TOEFL (Test of English as a Foreign Language). Applicable only to international students whose native language is not English. The test measures proficiency in oral and written English. The IELTS is an acceptable substitute for TOEFL.

Graduate courses in business administration at the 600-level are restricted to graduate students who have been admitted to a degree- or certificate-granting program in the Graduate School. Students-at-large may not take 600-level graduate courses in the Foster College of Business Administration.

Admission—BS/BA-MSQF Program

Students may begin undergraduate courses along the BS/BA-MSQF track when they are initially admitted to Bradley as freshmen, or by transferring from other majors, colleges in the university, or from other colleges and universities by application. These students must be subsequently admitted to the BS/BA-MSQF program during their senior year (90 or more credit hours); provided they maintain at least an overall 3.0 GPA. BS/BA-MSQF students are admitted as graduate students to the Graduate School subsequent to the completion of 124 undergraduate hours and the BS/BA-MSQF undergraduate track.

Admission as a freshman: students must be admitted in good standing into the Foster College of Business Administration. Students must apply to the BS/BA-MSQF program in writing. Admission to the BS/BA-MSQF program will be based on ACT or SAT score, a class standing usually in the top 15 percent of their high school class, and two academic letters of recommendation. Under this process, students must maintain at least a 3.0 GPA at Brad–ley and complete at least 90 credit hours prior to taking 500-level courses.

Transfer Student Admission: students entering the BS/BA-MSQF via transfer from other undergraduate majors or programs must apply in writing. Admission is based upon ACT or SAT score, grade point average (minimum acceptable is 3.0), and two academic letters of recommendation.

Admission to the Graduate School: students possessing undergraduate degrees apply directly to the MSQF program. Admission for these students will be based on GMAT scores, two short essays, and two letters of reference, and undergraduate GPA.

Admission Criteria

The entire application package including the GMAT score, the undergraduate GPA, transcripts, letters of recommendation, experience, essay responses, and other materials are all considered in an application review for student admission.

The final recommendation on admission rests with the Director of the MSQF program with the advice of an admissions committee consisting of three Department of Finance and Quantitative Methods graduate faculty members.

The GMAT may be waived if the candidate has a master’s degree in an analytically rigorous discipline (i.e. mathematics, engineering, etc.) and a master's GPA of at least 3.4. The GMAT may also be waived for candidates completing the undergraduate portion of BS-MSQF 3:2 undergraduate program designed specifically to prepare students for the MSQF. The decision on the waiver of the GMAT rests with the Director of the MSQF program.

Degree Requirements

The Master of Science in Quantitative Finance program is 30 semester hours at the 500- or 600-level as outlined below.

Foster College of Business Administration Courses:

FIN 633 Quantitative Methods in Finance 3
FIN 636 Fixed Income 3
FIN 637 Advanced Financial Derivatives 3
FIN 639 Uncertainty Analysis and Measurement 3
FIN 649 Quantitative Finance Capstone 3

Courses outside the Foster College of Business Administration:

MTH 510/CS 510 Numerical Methods I 3
MTH 511/CIS 511 Numerical Methods II 3
MTH 514 Partial Differential Equations 3
CS 514 Algorithms 3
CIS 588 Expert Systems 3
Completion of MS in Quantitative Finance undergraduate track or equivalent as outlined above.

Other Requirements

Applicants should review the Graduate School admission policies, special regulations, registration and fees, and degree regulations located in the front of this catalog.

Capstone Course

Students must complete FIN 649 Quantitative Finance Capstone, the capstone course, with a B or better to demonstrate their capacity to draw upon and integrate their knowledge from all courses in the program. In case a student earns a grade less than B, the candidate will be allowed to retake the course only once.

Comprehensive Exam

Each MSQF student must take a written comprehensive examination. This examination covers the graduate work that the student is presenting for the degree. The candidate will complete the comprehensive examination while enrolled in FIN 649. In case of failure, the candidate will be allowed to retake FIN 649 and the comprehensive exam only once.