Cornell University - Master in Financial Engineering

Cornell University - Master in Financial Engineering

Cornell MFE is a full-time program from School of Operations Research and Information Engineering

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Location
Ithaca, NY 14850
Application deadline
Dec 1
Program Philosophy
Cornell MFE degree is offered by School of Operations Research and Information Engineering (ORIE) as part of its Master in Engineering program. Cornell MFE is a highly competitive and professionally oriented program building on traditional mathematical, scientific, and engineering skills, but focusing closely on the application of these skills in the field of finance. Great emphasis is placed on career development with the goal of giving our students the necessary tools and information to become successful employees for the duration of their professional lives.

Brief History
1989: The first academic meeting in Financial Engineering took place at Cornell on May 29, 1989, bringing together many of the most prominent national and international researchers in the field of computational finance. Two very significant developments came out of this meeting:
(1) Mathematical Finance, the first research journal in the field was born; and
(2) Cornell's program in financial engineering was developed, establishing Cornell as a pioneer in a young and emerging field
1995: MFE is formalized as a concentration in cooperation with Johnson Graduate School of Business (JGSM)
2007: Cornell Financial Engineering Manhattan is established to further strengthen ties with financial industry and the MFE program is extended to 3 semesters

Highlights of the Program
  • The faculty aims to keep the program small (35-45 students) to ensure close interaction between students and program directors.
  • Cornell MFE is a 3-semester (Fall-Spring-Fall), full-time program allowing students to benefit from summer internship experience.
  • All MFE students spend their first two semesters on Ithaca campus and the third semester at CFEM.
  • Cornell MFE curriculum is structured to benefit students from the world-renowned faculty on Ithaca campus and experienced Wall Street professionals in NYC.
  • Capstone project is one of the highlights of the program and takes place in the third semester at CFEM. Students work in teams on real-world problems offered by various sponsors.
  • Professional development is an integral part of the program. Students are engaged in career planning through group workshops and individual counseling.
Curriculum
The main objectives of the MFE program at Cornell are to advance the breadth and depth of our students’ technical knowledge and to provide students with opportunities to synthesize and apply this knowledge in the financial industry. In ORIE, the technical tools of primary importance are mathematical modeling and the application of quantitative techniques developed within the fields of optimization, probability, stochastic processes, statistics, and simulation. During the first two semesters spent in Ithaca, students are exposed to these subjects via a structured curriculum specifically designed for our MFE students. Another integral part of the Cornell MFE Ithaca curriculum is a selection of related courses offered at Cornell business school. We strongly believe that this combination of the ORIE and business school courses prepares students best for a wide range of quantitative careers in finance.

The emphasis of the third semester, which takes place at CFEM in New York City, is on further advancing and broadening our students’ practical knowledge. At CFEM, students are given ample
opportunities to take courses taught by practitioners and attend practitioner-led seminars. The capstone component of the Cornell MFE program is the team-based financial engineering design project, which all students complete with the guidance of a sponsoring financial institution and Cornell faculty advisor.

Role of CFEM Semester
CFEM academic programs complement the theoretical education of our Master of Engineering students in Financial Engineering by providing practical understanding of the financial markets through professional development programs and third semester curriculum.

All Master in Financial Engineering students spend their third semester at CFEM. Practitioners are actively involved in the classroom as course instructors, project sponsors, and guest lecturers. CFEM elective courses vary from year to year to accommodate the changing demands of the financial industry and to ensure that our students acquire the necessary knowledge and learn directly from professionals.

Professional Development
Cornell MFE strives to teach students how to become valued and successful professionals. Several career development programs are integrated into the curriculum and are complemented by individual counseling. Our placement rates are a great indication of the success of the professional development programs.

Additional Information and Contacts
For more details about the program structure, requirements, and pre-requisites, please review our webpage at Financial Engineering Concentration and Cornell Financial Engineering Manhattan (CFEM) | Operations Research and Information Engineering
You can also contact Dr. Victoria Averbukh at vza1@cornell.edu
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65 FT
Tuition
$102,570

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Andy Nguyen
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4.71 star(s) 7 reviews
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Beautiful Ithaca campus, rigorious courses but weak career services.
I am a recent graduate from this program. I think one thing to remember with any programs you are researching is to take into account your own background when selecting a school. I came straight from undergrad with very little work experience and I think my perception of the strength of this program is different from that of someone who comes from 3-5 years of working in finance.

Overall I am very happy and believe that Cornell has a very strong program. The first two semesters in Ithaca are quite rigorous and allow for opportunity to be exposed to many classes to build the fundamental mathematical and modeling skills needed. It feels very much like a high-level academic environment and does sometimes lack the practical application side, which I think is seen as a negative by most students but could be seen as a positive when looked at in conjunction with the third semester.

This third semester is almost completely applied as it is taught by practitioners (mostly) working in NYC. The majority of these classes were very interesting and well-taught. Definitely get to know your professors and what they do as they are often very well-connected and are there because they at least have some passion for helping Cornell's students. There is also a very intentional effort by Victoria to create new and relevant courses offered in the third semester and to find the right practitioner to teach it, which is cool.

If I could pick the biggest weakness of the program it would have to be career services. The head of the dept was very nice and tried hard to help students where she could, but networking and reaching out myself was much more beneficial to my job search than any help I got from career services. This may be the reality of the situation even at the top schools like Cornell, but I think there is a clear disconnect in perceptions about how helpful career services is portrayed in program marketing vs how much help they actually contribute.

I feel that I got about as much out of this program as I reasonably could have, given my background. Arguably the most important metric to measure a program by is whether it gave you the necessary skills you were lacking in order to be successful in a quant finance role, and I believe Cornell definitely did this through very rigorous coursework and adequate applicative knowledge.

A final, less important note is on the beauty of Cornell's Ithaca campus. Having visited all Ivy League campuses, it is pretty much no contest for Cornell as the most naturally beautiful. There were many times during the first and second semesters where I (like many of my classmates) was very stressed with pressure and workload, but consciously thought that there really isn't a much better place to be going through that when watching the sunset over the lake while doing homework in the library.
Recommend
Yes, I would recommend this program
Students Quality
5.00 star(s)
Courses/Instructors
5.00 star(s)
Career Services
3.00 star(s)
Upvote 1 Downvote
V
I have graduated from the program in 2018.

Is there any aspect that you wish you knew earlier, can you remind new students to pay attention?
Don't choose too many courses, about 4 is best
I remember that in the second semester of Optimization, you can study with the professor, and if the professor approves, you can jointly publish the paper with him.

Social life aspect:
Basically we hang out with people from our homeland, most of the class are Chinese students.

Career service:
Cornel MFE has a good career service

About the application:
The average GPA of Chinese people is around 3.8,and the GPA requirements of foreigners are not so high. Basically, TOEFL 105+, GRE 320+ have a chance to get an offer.
To be honest, most of the applicants have good background, basically it depends on your internship and scientific research experience and the degree of correspondence with this program.

Regarding employment:
Basically everyone has a summer internship. If you can’t find it, an unpaid internship in a small company will be arranged for you. Most students will receive a summer internship offer at the beginning of the second semester. Most of the first semester is the recruitment of big banks.

For full-time jobs, generally speaking, most people will find jobs upon graduation, and the rest will go back home oversea in the next 3 months.

Personally, I think the employment of Cornell's program is still very good,and the industry's reputation is also very good.
During the period of 3-5 years, alumni have a good development, asso->VP, or jumping to TopHFs, taking off in life.
I am currently working as a Quant in an asset management company. Every year we will give Cornel MFE one or two rotation places.
Upvote 1 Downvote
I am a recent grad.

This program has recently made many changes in terms of both academics and career services.

For academics:
They change their old Computational finance course with Matlab to Quantitative trading strategies with Python, due to the increasing popularity of Python. There are new practitioner courses taught by senior level people from BB, such as Quant AM, Volatility surface, Quant risk, and etc. Although not all of them are well-taught, most of them are still inspiring.

For career services:
They hired some new people to be in charge of the FE career service with Victoria, and it is a dedicated career service only for FE students in Ithaca and NYC.

Strengths:
Huge alumni network and many jobs' direct apply opportunities from Victoria at a fairly frequent pace.

Weakness:
A few classes at Ithaca have a fancy name and famous professor, but is poorly-taught. Learn materials yourself.


Overall, a fairly strong program if you want to work in NYC or Asia, you will get a lot of the exposure at those places.
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I graduated from Cornell FE in recent 3 years, and now I am working for a large buy side company as an analyst.

For academics:
Cornell ORIE is one of the top operations research department in the country. So, you have the opportunity to meet many famous professors. The courses are definitely high standards. Optimization Modeling by Jim Reneger is a very practical and interesting course. Statistics for Financial Engineering by Matteson is another practical course that you can see immediate connection with the real world. Moreover, you have Bob Jarrow for your Fixed Income class. The last semester at Wall Street is the best part of the program. Victoria is a great professor that will teach you everything you need to know about Bond math and MBS, which will directly help you with your interviews. One alert though, don't take any quantitative risk management courses, because both professors for this course are below the bar.

Programming language:
Python for quantitative trading, R for statistics and time series, Matlab for Optimization modeling, C++ for Monte Carlo Simulation.

Career service:
Cornell has a dedicated career service that is only for Cornell Financial Engineering students. Even if you have already graduated, Victoria will still forward you new jobs, and directly send you resume to those BB. Myself enjoyed this career service a lot. I received interview from US, London, Hong Kong, Singapore directly from alumn referral. The alum network is huge.

Project:
You will probably work 3 small projects that last for one semester, and 1 big final master project that is sponsored by a company on wall street. Some of my classmates managed to turn this project into a full time offer, and this happens every year.

Internship:
Internship is 100% every year. Victoria will help you eventually land an internship.
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D
Can you tell us a bit about your background?
Mathematics undergrad from a small unknown university outside the US. Went straight to grad school and completed the program 08/2011-12/2012.

Did you get admitted to other programs?
Columbia MAFN, LSE Financial Mathematics. 7-months post-graduation I believe I made the correct choice.

Why did you choose this program (over others, if applicable)?
Three semester structure gives a big advantage to international students that have no network to rely on. My internship turned into a full-time offer and given the current environment that makes all the difference especially for non-residents. Cornell/Columbia vs. LSE I think is a clear choice with no need to explain.

Tell us about the application process at this program.
Clean and inexpensive. Easy communication with both administration and the program directors (both in Ithaca and CFEM). Quick and honest replies.

Does this program offer refresher courses for incoming students? How useful was it?
I believe these are optional. I certainly took no refresher courses but heard some students did in the 4-6 weeks prior the start.

Tell us about the courses selection in this program. Any special courses you like?
Selection is pretty standard to any MFE program. Students have decent choice of electives. Cornell charges fixed amount and not per credit; given that you have the interest you will have all the means to take additional classes. Third semester is all practitioner's classes. I particularly enjoyed the two Stochastic calc classes. Johannes Wissel was teaching at the time and he gave a lot of insight coupled with instructive set of homework assignments. Other than that Janossi's Credit Risk, Topaloglu/Frazier Monte Carlo and Renegar's Optimization Modelling classes were great. Ruppert's Statistics for FE is something I use in my job on daily basis. On the soft side there are good classes on fixed income - Jarrow and MBS - Averbukh. Stoikov gives a solid introduction to market microstructure.

Tell us about the quality of teaching
Outstanding. Only exception were the two of the three business school Professors. Jarrow was great so it is really the other two.

Materials used in the program

A lot of notes packages written for the classes that use various sources.

Stochastic Calc - Shreve + notes
Credit Risk - notes + Lando
Monte Carlo - notes + Glasserman
Stats - Ruppert
Fixed Income - Jarrow, Tuckman, Hayre + notes
PM - Swensen + notes
CF - Brandimarte + notes
Optimization - Tutuncu + notes

Programming component of the program
A lot of R (Stats); some Matlab (CF and Optimization) and C++ (Monte Carlo, Credit Risk). I personally think that VBA is something that people should know by that stage and it is easy enough to not waste class time on.

Projects
Big group project (6 students) in the third semester sponsored by a large financial company on the street. I worked on market microstructure. Smaller project all the time.

Career service
Cornell's general career services. every single company would visit the campus and come screen on campus. The program director acts as dedicated career services as well.

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
That is really the elephant in the room. 30% of my class was indeed very international with a good mix of all continents. The 70%, however, was perfectly homogeneous forming their own group and speaking their own language; that comes at cost for themselves and unfortunately the whole class/program.

What do you like about the program?
Very solid curriculum offering both technical and fundamental classes. Outstanding teaching. Strong alumni network all over the street. Program has been around for close to 20 years and graduates are to be found on every level. Class size is very appropriate and kept under a certain threshold.

What DON’T you like about the program?
Composition of the class should be more balanced or the majority of students should be incentivized to speak English

Suggestions for the program to make it better
Pretty much covered. I think that the application process now includes a mandatory phone interview (it was only done in certain cases before) which is a step in the right direction. The program is evolving while keeping the class number tight, a very positive trend.

What are your current job status? What are you looking for?
Analyst for one of the biggest/strongest sell-side IBs on the street.

Other comments
MFE does not guarantee placement. Students get exposure that they would not get anywhere else and it really comes down to individual effort; that is valid for any MFE and not particular to Cornell. Soft-skills are extremely important. All the above is my take and impression regarding Cornell's program and it might be considerably different from my classmates'. Feel free to PM me and I can put you in contact with other graduates that may give you a differing opinion.
Upvote 0 Downvote
J
As the former reviewer has submitted a quite thorough introduction, I don't want to waste much time on describing the fundamentals but to share my feelings for this one and half year experience.

I give it a 5-star rating for the following reasons:

1. Although it is more likely a 4 1/2-star program if all you care is the big name, Cornell has solid alumni network foundation in all banks/institutions. Basically it can get you anywhere. With comparatively large (Among Private Universities) alumni base (annual grads 5000+), its alumni network is no less outstanding to any top schools in US. And the staff is quite helping and capable. To be honest, I wouldn't find my job without their help.

2. 1.5 year is the perfect length for those who transferred their major to Finance from a Technical/Engineering background. It gives you time to catch up with learning the business. And the staff is really helpful in terms of finding students summer internships.

3. Unlike some other program's crazy enrollment expansion for money (pls check the data yourself), the size of the class is under 50, the staff is responsible to every student.


4. I would say the only weakness this program suffers is campus's distant location to NYC. But with the advent of CFEM (You'll know what I'm talking about if you do enough homework) it is no longer a problem. Plus the view at Cornell is breathtaking. I've been to almost all the other college's campus listed in QuantNet, ranking it No.1 is an easiest hands down.
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G
Can you tell us a bit about your background?
Cornell Operations Research & Engineering undergrad, went straight to grad school after undergrad, internship experience in Technology at a large investment bank summer before entering the program.
I studied full-time in the program from 8/2008-12/2009

Did you get admitted to other programs?
Did not apply to any others.

Why did you choose this program (over others, if applicable)?
As a Cornell engineering undergrad, I didn't have to take the GRE. I was also able to knock out some of the requirements specific to the Cornell program as an undergraduate. I was able to take other courses instead of Optimization I & II and Monte Carlo Simulation, having already completed them in previous years. Cornell has an amazing faculty and the program is top notch. It also has great career services and (less importantly) has a lot of name recognition.

Tell us about the application process at this program
No problems. Emails and phone calls answered same day usually.

Does this program offer refresher courses for incoming students? How useful was it?
Cornell has recently decided to use C++ and offers a C++ refresher course in the fall in preparation for Monte Carlo Methods for Financial Engineering. They did this after I went through the program though so I don't know the quality. They do have probability and optimization courses offered in the summer that some students used to brush up or get prereqs out of the way.

Tell us about the courses selection in this program. Any special courses you like?
Courses in the business school are very valuable. I liked International Finance and Investment & Portfolio Management. The Intro Derivatives course was good and had some great Harvard Business School risk management case studies on corporate use of derivatives. Also, in the third semester, there were four different electives offered that were very good. My friends also liked the electives they took. Overall there is a huge number of electives you can take, based on your interests.

Tell us about the quality of teaching
Practitioners taught three of the electives in the fall. Someone from JPMorgan and someone from SAC Capital taught an Algorithmic Trading course. Someone from Moody's taught Corporate Credit Analysis. The head of Risk Management at Mizuho Alternative Investments taught a Quantitative Risk Management course. The fourth (Bond Mathematics and MBS) was taught by Dr. Victoria Averbukh who used to head RMBS Strategy at Deutsche.
TAs are very good at helping with homework, especially in the more technical courses. They are ORIE PhD students for the most part, so they know their stochastic calculus and probability top to bottom.

Materials used in the program
Derivatives - Hull
Fixed Income Derivatives - Jarrow
Stochastic Calculus - Shreve
Statistics for Financial Engineering - Ruppert
Quantitative Risk Management - McNeil, Frey, and Embrechts
A lot of the courses used thick course packets prepared by the professor specifically for their course or published copies of the slides for the course before lecture (some printed out copies of the slides for us)

Programming component of the program
R is used a great deal in statistics and time-series classes
MATLAB is used a lot in Monte Carlo and Computational Finance
VBA and Risk were used sparingly in electives
Overall, the programming wasn't very taxing, but it was used regularly. Some classes used no coding, while one class used it in lab every week and regularly on the homework.

Projects
There were a great deal of group projects assigned, which was great. There were several case studies that we did in groups of four or five and presented to business school classes of MBAs and MFEs. There were six to nine classes (including electives) that had several group projects, which I think greatly increased the value of those classes. There were also individual projects assigned along the way. The degree project that was sponsored by various firms (two by Goldman, one by Deutsche, one by Barclays, one by Bloomberg, and one by the Cornell Endowment) is a semester long project completed in your final semester that involves working in a team of four to six people to solve a real world problem presented by the sponsor using financial engineering concepts.

Career service
Cornell career services is great. A large number of companies interview on campus for both internships and full-time. Those looking for full-time opportunities can use on-campus recruiting but must take a bus to Ithaca from Manhattan in the third semester to do the interviews. This wasn't a big deal and people would sometimes rent a car and drive up together. A lot of the internships were obtained by going through career services. In addition, the Operations Research department is always sending out job postings for people looking for OR people, FE people, and other things that individual professors get from former students or headhunters.

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
The group is very international, but other than some (but far from all) of the Chinese students forming their own group, people interacted and were friends with all the ethnicities. There was just that group of 4 or 5 that didn't associate with others very much. There were many Chinese students who were part of the majority of people who interacted with each other though.

What do you like about the program?
Great exposure to employers. The material covered is solid FE stuff. The professors are very well regarded and some come from practitioner backgrounds.

What DON’T you like about the program?
Stochastic Calculus and Credit Risk was a bit too theoretical. The stuff we learned would be useful if we were PhDs doing quant research, but for MFEs, it was interesting, but nothing we would be able to implement. That being said, the models aren't used that much from what I have seen and the professor introduces them by explaining the model and then explaining the shortcomings of the model, so perhaps they were just using the models as a vehicle to teach Stoch Calc II and Credit Risk concepts.

Suggestions for the program to make it better
Be more involved with checking on how students are doing. Our director did not know much about people's offers until the end of the semester when we did exit interviews. I think others brought it up as an issue and should be corrected in the future.

What are your current job status? What are you looking for?
Analyst in Trading at one of GS/MS/BarCap/JPM. Would prefer not to say which.

Other comments
MFE programs can be very valuable if you have a reason for doing it and know what you want to get from it. Don't just do an MFE or other quantitative finance graduate program because you want a job in finance. Make sure you have a specific plan for how you are going to accomplish it.
That being said, be willing to change the plan around because you often are dealt different cards than you would like in life.
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