Kellstadt Graduate School of Business

Master of Science in Computational Finance

The globalization of markets and competition brings new complexity to business finance. Continual, rapid innovation in financial markets, instruments and institutions, particularly here in the U.S., demands a high level of analytical expertise for success. The Master of Science in Computational Finance is designed to offer students the opportunity to acquire the ability to understand existing financial models in a quantitative and mathematical way. The Computational Finance graduate will be able to apply these quantitative tools to solve complex problems in the areas of portfolio management, risk management and financial engineering.

Individuals with an MBA degree or students currently enrolled in the MBA program may have up to six MBA courses count toward the requirements of the Master of Science in Computational Finance degree. The exact number of courses that can be double-counted in this manner depends upon the specific coursework of each individual.

Curriculum 

In the prerequisite phase students must complete a two course calculus sequence covering infinitesimal calculus, derivatives, integrals, Taylor series and simple differential equations.  Appropriate course sequences offered by DePaul include: Calculus I (Math 150 and 160) Calculus II (Math 151 and 161).

Students must also complete the following two C++ courses or their equivalents: 


CSC 202 or CSC 321

CSC 309 or CSC 261 and 262


Kellstadt Courses (seven courses)

  • FINANCIAL ACCOUNTING (ACC 500)
  • ECONOMICS FOR DECISION-MAKING (ECO 555)
  • FINANCIAL MANAGEMENT (FIN 555)
  • INVESTMENT ANALYSIS (FIN 523)
  • PORTFOLIO MANAGEMENT (FIN 525)
  • DERIVATIVES PRICING & RISK MANAGEMENT (FIN 562)
  • ADVANCED DERIVATIVES (FIN 662: prerequisite GSB 420)

College of Computing and Digital Media Courses (six courses)

  • DATA ANALYSIS & REGRESSION (CSC 423)
  • TIME SERIES ANALYSIS & FORECASTING (CSC 425)
  • SCIENTIFIC COMPUTING (CSC 431: prerequisite CSC 393 or CSC 485 Numerical Analysis) 
  • MONTE CARLO ALGORITHMS (CSC 521: prerequisite CSC 309)
  • CSC ELECTIVE (One 500-level CDM elective course) and either MASTER'S PROJECT (CSC 696) or GRADUATE INTERNSHIP (CSC 697) or (CSC 559).

M.S.C.F. DEGREE REQUIREMENTS

  • Satisfactory completion of the college residency requirement.
  • Satisfactory completion of the 13 required courses.
  • Satisfactory completion of 2 CTI elective courses.
  • All courses for credit toward the degree must be completed within six calendar years after the candidate’s first term of enrollment in the Kellstadt Graduate School of Business. After a lapse of six years a course is expired. An expired course is not acceptable for the purpose of satisfaction of degree requirements and is not applicable to the degree without the written approval of the director of the program or the Kellstadt Graduate School of Business.