University of Illinois Financial Engineering program

University of Illinois Financial Engineering program

Established
2010
Type
Full-time
Application deadline
April 15
Location
Urbana, IL
History
In the of Fall 2010, the College of Business and the College of Engineering at The University of Illinois introduced a new Master program Master of Science in Financial Engineering (MSFE). The program was initiated by Dr. Charles Kahn, Professor of Finance and Fred S. Bailey Memorial Chair of Finance and Dr. Jong-Shi Pang, Professor and Head of the Department of Industrial and Enterprise Systems Engineering. The Program is directed by Dr. Morton Lane.

Admission
December 1 – Applications open
April 15 – Deadline to apply
May 15 – All decisions are made

* Admission decisions are being granted on a rolling basis. Depending on the number of applicants, some will receive their decision before May, but every applicant will receive a decision by May 15.

Minimum Requirements for Admission:
A Bachelor's degree from an accredited U.S. university or bachelor equivalent, typically in an engineering field, mathematics, physics, computer science, or economics

GPA: Minimum requirements of a 3.25 (A=4.00) for the last 60 hours of undergraduate study

Mathematical background: All applicants should have completed
1 year of Calculus
1 semester of Linear Algebra and Differential Equations
1 semester of Probability and Statistics
1 semester of Programming
Knowledge of finance is helpful by not required

GRE or GMAT: Either a GRE or a GMAT test score is required. We do not set a minimal score for the GRE or GMAT test but we definitely use it as well as other factors when making an admissions decision. The average quantitative score of our students is in the 90th percentile.

GRE Exam Codes: University of Illinois Master of Science in Financial Engineering

1. Institutional Code: 1836
2. Department Code: 99 (or leave blank)

Department codes are not necessary for our school; you can fill in any number or leave it blank (if that is an option). As long as the institution code is correct, all scores received from ETS go into a database where each department can access the scores.

GMAT Exam Codes: University of Illinois

1. Reporting Code: VKRTK14

Again as long as the institution code is correct all scores will be received.

English Proficiency-TOEFL: We follow the Graduate School's requirements for English language proficiency standards for international students. See the Graduate School's TOEFL page for exact details and latest updates.

TOEFL Exam Codes: University of Illinois Master of Science in Financial Engineering
Institutional Code: 1836
Department Code: 99
Reference Letters: 3 letters of reference must be provided. They must be sent electronically from a university or company email addresses, or is signed and appear on official letterhead.

Resume: A resume with exact dates of employment is also required (note: work experience is NOT required for MSFE)

Personal Statement: In 300 words or less, describe your area of interest and what your goals are upon completion of the MSFE program (note: you do NOT need to provide 1500 words as requested in the on-line application)

Application fee:
Domestic - $70; International - $90
Link to application

Academics
Academics at the University of Illinois are renowned. ILLINOIS was ranked #5 in terms of return on investment; ahead of all Ivy League, private, and other Big Ten universities. Our College of Engineering is No. 4 worldwide in the "Academic Ranking of World Universities in Engineering/Technology and Computer Sciences" and is consistently among the top-ranked schools nationally in U.S. News and World Report.

The Illinois Master of Science in Financial Engineering degree is both technical and pragmatic. Students receive training in the most advanced techniques, providing them the grounding and tools to advance quickly in the field. The program features practice-based learning opportunities which assure the curriculum is always demanding and contemporary. Further, the featured Practicum in the third semester of the program serves as a bridge with industry focusing on real world financial modeling problems.

We teach the skills needed for quantitative analysis of financial instruments and markets. Our graduates are able to take these tools to corporations, financial institutions, and regulatory bodies, to use these markets to manage risk effectively today—and to develop the techniques and institutions to manage the new risk challenges of tomorrow.

Curriculum
The University of Illinois MSFE degree is a three-semester program (fall, spring, summer internship, fall) offered by the Departments of Finance and Industrial and Enterprise Systems Engineering at the Urbana-Champaign campus. The curriculum is drawn from topics in stochastic modeling optimization, computing and computational methods, finance, and an applied practicum experience, and is taught by internationally recognized engineering and finance faculty. The program provides an opportunity to study with an international peer group at one of the premier research universities in the world.

First Semester (Fall)
FIN 500 (4HRS) - Introduction to Finance
FIN 501 (4HRS) - Econ. Market Fundamentals
IE 522 (4HRS) - Statistical Methods in Finance
IE 523 (4HRS) - Financial Computing
IE 527 (1HR) - Professional Development

Second semester (Spring)
IE 525 (4HRS) - Numerical Methods in Finance
FIN 580 (4HRS) - Financial Risk Management
FIN 512 (4HRS) - Financial Derivatives
IE 526 (4HRS) - Stochastic Calculus in Finance
IE 527 (1HR) - Professional Development

Third semester (Fall)
IE 524 (4HRS) - Optimization in Finance
IE 598 (4HRS) - Neural Networks & Deep Learning
FIN 516 (4HRS) - Term Structure & Valuation Models
FIN 566 (4HRS) - Algo Market Microstructure
IE 597 / FIN 590 (4HRS) - Financial Engineering Project
Elective Course (4HRS) - See Below

Sampling of Available Electives
Advanced Corporate Finance
Financial Intermediation
Business and Public Policy
Stochastic Processes and Applications
Empirical Analysis in Finance
Stochastic Simulation
Accounting Measurement, Reporting & Control
Introduction to Data Mining
Machine Learning
Decision Analysis I
Advanced Data Analysis
Statistical Learning

*Curriculum subject to change without prior notice.
**Additionally the MSFE Program will be allowing for a "Two Year Option". This will allow for students to conduct their study over two years - four full semesters. This will allow for more flexibility in electives. This option can only be exercised after the completion and evaluation of the first semester and with department approval. Fees are scaled accordingly.

Practitioner Speaker Series
Several times throughout the year, the MSFE Program will host guest speakers from the industry. A list of those practitioners and their presentation topics can be found here.

Notable Faculty
College of Business Finance Faculty
Louis Chan
Adam Clark-Joseph
Tatyana Deryugina
Timothy Johnson
Charles Kahn
Neil Pearson
Martin Widdicks

College of Engineering ISE Faculty
Alexandra Chronopoulou
Liming Feng
Rakesh Nagi
Richard Sowers
R.S. Sreenivas

MSFE Administration
Morton Lane – Director
Emily Ziegler – Assistant Director
Tyese McClain – Office Manager

Career services
Since the MSFE Program is a joint venture between the College of Business and the College of Engineering, our students get access to both Business Career Services and Engineering Career Services. Students in the program benefit from a wide range of services to guide them through their job search and assist them in meeting their career goals. Recruiters seeking to hire financial engineering talent can post positions, request resume books and participate in on-campus recruiting fairs or specialized on-campus interviewing.
Students in the MSFE program receive the following valuable services to assist them in reaching their career goals:
Career Counseling
Workshops and Seminars
Resume and Cover Letter Reviews
Mock Interviews
Career Fairs
Company Recruiting Events
On-campus Interviews
Co-ops and Semester Internships
Additionally, our students get access to Symplicity (in both Colleges). Symplicity is a web-based system for applying for on-campus interviews and accessing job descriptions and postings

Employment
Please visit our website for updated statistics

Internships
AIR Worldwide
Bank of Thailand
Busey Wealth Management (2)
CAN Insurance
Chicago Trading Company
China International Capital Corporation New York
China International Capital Corporation
China Merchants Futures
Chinese Investment Bank (CCB)
Chopper Trading
Cozad Asset Management
Everbright Securities
Federal Reserve Bank of Chicago
Flyberry Capital
Gelber Group
Goldman Sachs
Guangfa Securities
Guitaijunan Securities
Guosen Security Investment Bank
High Radius
Integral Derivatives
Investment Technology Group
John Deere
Jump Operation
Marcus & Millichap
Morgan Stanley
NISA Investment Advisors LLC Fixed Income
Orient Securities Co.
Parametrica
Philadelphia Computer Institute
Securities and Exchange Commission
Shanghai Pudong Development Bank
SogoTrade
SPD Bank
State Farm Insurance
Stonebridge Advisors LLC
Wolverine Trading

Employment
Aon Benefit
Bank of America
Busey Wealth Management
CBR - TIM Tiger Investment Management
China Capital Investment Corporation
China Development Bank, International Planning Department
China Securities Capital Markets Statistics & Monitoring Center
Chopper Trading
CITIC Securities
Contax
Ernst & Young
Eurekahedge
Enova
Federal Reserve
Flyberry Capital, LLC
Goldman Sachs
Infinium Capital Management
Investment Technology Group
Kasikorn Securities
Loyalhanna Capital Management, LLC
Morgan Stanley
Neilsen
Parametrica Asset Management
Peak 6 Investment
PNC Bank
Securities and Exchange Commission
Shanghai Clearing House
Siam Commercial Bank
Societe Generale
SVK Systems
Systems Logic
Trading Block
Westchester Group, TIAA-CREF Investment Company
Zhejiang Rural Credit

Housing
You will find that housing in the Urbana-Champaign community is inexpensive compared to larger metropolitan areas. In fact, the cost of living in Urbana-Champaign is anywhere from ¼ to ½ the cost of living in places such as Boston, London, New York or Southern California. Compare costs of living for yourself.

Tuition and Funding Options
MSFE tuition and program fees for 2018-2019 will be $68,499 for all three semesters of instruction: fall, spring, and fall terms. This amount does not include University fees which cover such things as health insurance, health services, facilities fees, etc. More information about University fees can be found at the Office of the Registrar's website.

$59,499 tuition
$8,850 program fees
$68,349 + University fees

You can think of this as $22,783/semester compared to other programs
University fees is approximately $2,260/semester

Scholarship recipients (available to Illinois Residents ONLY) up to 50% off tuition

$29,749 tuition
$8,850 program fees
$38,599 + University fees

You can think of this as $12,866/semester
Federal student loans are available for US citizens and permanent residents through the Financial Aid office on the UI campus. Office of Student Financial Aid

Contact Information
General Inquiries
msfe@illinois.edu
217-333-3284

Application/Admissions Inquiries
msfe-apply@illinois.edu
217-333-3284

Mailing Information
MSFE
University of Illinois
3251 Digital Computer Lab, MC 273
1304 W Springfield Ave
Urbana, IL 61801
Author
Emily
First release
Last update
Rating
4.69 star(s) 29 ratings

Latest reviews

If I could, I will give a zero to this program. The director of the program is a fraud. The whole program is a way he cheats money. The whole project is of no help to professionalism. What you do every day is just taking class. Besides, the quality of the teacher is bad, and even widely criticized on the Internet, but he still insists that every student must take this class. For non financial majors, though you can apply, he will also admit you for money. But you don't get the promotion you want because they think you're an expert in finance and unfairness to different majors is a performance of a "professional program". After this program, you are still a novice in finance, and you will continue unable to code well.
1. Two fundamental courses provided on first semester waste so much time and they are actually not so useful.
2. The statistics and computing courses are actually "touch" so many fields. Without a detailed explanation with how and why we use these, I am wondering if anyone could still know how to do these when they really take interviews or work.
3. Extremely expensive tuition. U of I actually is located in a small town and we got no advantages when finding jobs but the tuition is incredible high and almost the same with most private U.
4. Too much international student(including me) and homeworks that everybody works on the homework every week. Students really need some freedom to work on their weak. Some needs to work on programming while some need time to passing CFA or FRM exams.Students are actually exhausted and have no time to develop.
5. Some of the professors gave no patient to students while some even do not show up in the office hours.
As a current MSFE student, I really like this program. Class size is relatively small. The curriculum is very well structured. The program is very intense. Dr. Lane and other staff members are doing their best to provide us networking opportunities.
Intensive coursework, excellent professors, can learn everything needed. There are cutting edge stuffs including most advanced derivative valuation models, most prevailing numerical methods, machine learning technics and so on while very fundamental yet profound knowledges in programing, finance, math, stat and economics are also provided.
As a current student, I am finding this program extremely well structured. There is a specific focus and attention given to the program in terms of what is taught and how the curriculum can be directly linked to the current financial world.
The program gives access to both engineering and business career fairs with a widest range of options in positions and companies to choose from.
Morton Lane is the director and is pro actively involved in creating networking opportunities for students. The practitioner series is one step in that direction.
The program is rigorous, tough and demanding but I definitely see excellent prospects for students.
  • Anonymous
  • 5.00 star(s)
Excellent experience.
The practicum choice in the second semester gives MSFE students a valuable opportunity to cooperate with companies and gain real world experience in financial engineering industry. It is really helpful for MSFE students to find an internship or a full time job in US. A lot of students of class 2014 have found internships in US this summer.
I graduated from the program in 2011. Since after then, I have met people from other comparable programs through work or social networking.

I would like the comment that this program really hits the sweet spot in terms of elegantly balancing course work between academic rigorousness and industrial practicality by connecting world class engineering school resource with strong (and evolving) exposure to financial industry experience in Chicago as well as elsewhere. I am very glad to have made such a decision to go to UIUC MSFE.
About the program:
Overall, my experience at UIUC was positive. The program was demanding, and although I joined some social organizations like the tennis club in my first semester, I was unable to find time later on to do anything aside from studying and looking for jobs. I learned a lot and gained a lot from attending the program. My technical/quantitative skills have vastly improved.

-The people at the MSFE office are very nice and accommodating, and I sense that they are truly committed to providing for their students and helping them succeed.

-The professors (for the most part) are very respectful of the students, and committed in helping them succeed.

-The student body, in my year, was too homogenous in culture. I think the program should strive to achieve a balance in class diversity – as they seem to have done for the 2015 class.

-The practicum is really what makes this program unique and exceptional. There is really no replacement for hands-on experience with an employer. You can think of the practicum as an apprenticeship. There was a lot of diffusion of knowledge between the sponsor and our team, and our sponsor was also nice enough to offer compensated summer work for students whom were unable to find summer internships. The practicum for us was where we really saw the interdisciplinary blend of practices come together in finance, as we saw how text-mining was used in finance for Twitter sentiment scoring, got to work with the data and build forecasting models, and also receive feedback on our work throughout the entire process. Skills obtained through the practicum could not be obtained through the classroom.
However, the biweekly meetings in Chicago was a bit strenuous for me particularly, because I also chose to take extra courses that were in session on Fridays. Going to Chicago takes about 3-4 hours one way by Greyhound, and we had to allocate every other Friday for the trip to go to Chicago for a 1-hour meeting with the sponsor. In the end, I was overloaded with work throughout the semester, and I wish I had the capacity to put in more time and effort for the project.

-There were too many mandatory meetings in the second semester in Chicago like the IAQF panel and the volatility workshop. I think mandatory meetings in Chicago should occur on Saturdays, so students taking classes on Fridays don't have to skip class.

-Career services/preparation really needs to ramp up.

About the University of Illinois:
Apart from the program, my experience at UIUC was very positive. I took 5 classes outside of the MSFE program (machine learning, finite element methods, partial diff. eqs, econometrics, and mathematical statistics), and they were all demanding, but truly world-class. This amount of coursework, combined with the rigorous contents, was a bit too much for me and affected my GPA, but I think the exposure I got was really worth it. It was an eye-opening experience where I got to take the same classes with statistics phds, economics phds, computer science phds, and mathematics phd students, and see for myself how I would do comparatively. The University of Illinois is truly a top university across all these fields and more. Financial engineering is by definition an interdisciplinary field, and I think it is important for any top institution to stay true to this interdisciplinary spirit, and offer elective coursework in all these areas. Given that the need for quant professionals changes constantly in the finance industry, I believe that a program that prescribes a fixed curriculum risks losing relevance to industry quickly. In this regard, the University of Illinois exceeded my expectations with the vast amount of top-notch coursework available. As a direct result of this, I was able to obtain interviews across a wide range of positions from algorithmic trader, to risk management consultant, to data scientist positions.

Apart from my review, I have a couple suggestions (ideas) on how the program can be improved:
1. Career Services (for Chinese Students)
- Make a separate career services specializing on getting Chinese students hired, and diffusing the sino-american cultural barriers. I think many of the Chinese students are technically talented enough to pass the technical interviews, but I would guess they must get held up in the behavioral interviews.
- I think that career services should already begin when the student enters the program, where students should identify a target position they want to apply to and receive counsel on how to strategize and build their resumes for those positions.
- Emily's occasional e-mails notifying us about open positions and events/tips weren't very helpful. I think quant interview workshops and role-playing workshops is what is really needed. Maybe bring in an outside quant interview expert for a day to hold a workshop or something(?).
- I would like to see some sign that the department is actively soliciting employers to come to campus and recruit MSFE students. At the present, the only visible relationship between the department and employers is the practicum, which I am hoping would change.
- Things they could use help on include building their resumes for specific positions through experiences and coursework, behavioral and technical interviews, finding the right jobs to apply to, how to approach recruiters at career fairs, understanding the typical recruitment process at American companies, understanding the power of acquainting with the recruiter beforehand, how to write follow-up e-mails, strategies on getting past the 'do you have work authorization' question, etc.
- Chinese students also need to recognize that they need to accept some American values and 'americanize' if they want to find jobs in U.S.

2. Re-evaluate the current curriculum
- While I realize that derivatives valuation is at the heart of the financial engineering discipline, the reality appears to reflect that the need for such people in industry is fast declining. Many of the tools acquired through an FE education are still relevant – like risk management, optimization, clustering, monte-carlo simulations, time-series modeling, and programming. However, it appears that current industry is more interested in using these tools within the context of data analytics. I am unsure of how relevant courses like financial economics and stochastic calculus are in the current industry, and they could be replaced to teach more data-oriented skills like Hadoop, cloud computing services like AWS, SQL, machine learning & data mining, data visualization, and statistical programming, that could make students more employable.

3. Standardize the programming language used throughout the curriculum, and then implement a baseline standard for programming skill across all students
- The employability of a student is highly correlated with that student’s programming skills. For a student to gain a high level of competency in a language, he/she needs to continue using it for a period of time. To make this process faster, I really believe that the program should just stick to one language used throughout the entire curriculum, and I further argue that the ideal language for this would be Python.
- With the current way things are, a lot of students graduate with little to mediocre programming skills, and most students graduate with Matlab being their primary language of choice. I believe this model is unsustainable because Matlab is rarely used in industry, and it is a superficially easy language to use. Programming skill in Matlab does not carry over to many other languages.
- Many students enter the program with no prior experience using Matlab, and then get introduced to C++ and R - all while still climbing the learning curve for Matlab. This results in them never fully climbing the learning curve for C++ or R or Python. Instead of trying to learn all these different languages at once, it's better to just concentrate on learning one main language that can be used in almost all situations, which isn't Matlab.
- Financial computing teaches us the type-safe language C++, which is useful to know, but a different beast from dynamic languages like Matlab, Python, and R. For the purposes of finding quant employment outside of quant development, knowledge of dynamic languages is more important, and Python seems to be the king in this field. Python seems to suite all the needs of a financial engineer in one language, and it is used widely in industry as opposed to Matlab.
- Python is probably the most frequently used language in the growing area of data analytics.
- I think that programming is important enough that the MSFE department should monitor and set a baseline standard for how well the students can do it.
We had worked with six students from the MSFE program at UIUC on a quant project for around 5 months this year. These students have very strong quantitative skills and are good at solving practical problems. You can also find star developers who can really code in C++ among them. All the students in this group worked very hard and were easy to work with. I highly recomend this program.
I work for the University of Illinois's Investment Department, and we partnered with the Financial Engineering Program as part of their practicum program. The students did an excellent job creating a scenario analysis database for us. Dr. Lane was very involved in our project and provided great insight. We were impressed not only with the final product, but also with the quality of students and their experience through the program.
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