Thoughts on Master's in Mathematical and Computational Finance at UdeM?

[gliph]

Hey folks,

I'm considering a Master's in Mathematical and Computational Finance at the University of Montreal but can't find much information about the program's reputation on here or on risk.net. Here’s the translated curriculum since it's not available in English on the school's website:

Required Courses (30 credits):​

• ECN 6573 - Financial Economics (3.0 Credits)
  • Risk, risk aversion, stochastic dominance, portfolio choice, asset pricing models, continuous-time uncertainty, term structure of interest rates, risk-neutral valuation, options, Black-Scholes models.
• ECN 6578 - Econometrics of Financial Markets (3.0 Credits)
  • Return predictability, present value relations, asset pricing, intertemporal equilibrium models, term structure estimation and testing, nonlinearities in financial data, derivative pricing.
• ECN 6878 - Investment Choice (3.0 Credits)
  • Evaluation techniques for real investments in stochastic contexts, real options value, optimal investment rules, sequential investment, incremental investment, capacity choice, entry-exit decisions.
• IFT 6390 - Foundations of Machine Learning (4.0 Credits)
  • Basic elements of statistical and symbolic learning algorithms, applications in data mining, pattern recognition, nonlinear regression, temporal data.
• IFT 6521 - Dynamic Programming (4.0 Credits)
  • Deterministic and stochastic sequential decision processes, finite and infinite horizons, recurrence equations, value iteration, policy iteration, linear programming, hybrid methods.
• IFT 6561 - Simulation: Stochastic Aspects (4.0 Credits)
  • Discrete event stochastic models, randomness modeling, result analysis, confidence intervals, variance reduction, sensitivity analysis, optimization, random value generation.
• MAT 6470 - Scientific Computing (3.0 Credits)
  • Fundamental algorithms in scientific computing, theoretical principles, programming, practical problem applications, use of specialized scientific software.
• MAT 6717 - Probability (3.0 Credits)
  • Probability spaces, random variables, independence, mathematical expectation, convergence modes, law of large numbers, central limit theorem, conditional expectation, martingales.
• MAT 6798 - Stochastic Calculus (3.0 Credits)
  • Brownian motion, stochastic integral, Itô's formula, stochastic differential equations, representation theorems, Girsanov's theorem.

Optional Courses (Choose 3 credits):​

• ACT 6230 - Mathematical Finance (3.0 Credits)
  • Term structures, stochastic processes, interest rate models and derivatives, immunization, credit derivatives, mortgage-backed securities, volatility.

Optional Courses (Choose 3 credits):​

• ECN 6238 - Macroeconometrics (3.0 Credits)
  • Time series econometric techniques, theory of stationary processes (ARMA), spectral analysis, models with non-stationary regressors.
• STT 6615 - Time Series Analysis (3.0 Credits)
  • Descriptive techniques, stationary processes, optimal linear prediction, ARMA, ARIMA and seasonal models, ARMA estimation and forecasting, spectral analysis, ARCH and GARCH models.

Internship (9 credits)​

Has anyone gone through this program? How was your experience? Was it worth your time? I'm also considering the Master in Mathematics: Actuarial Specialization, as the course work is more flexible. Any insights would be greatly appreciated!

FYI: I have a Bachelors in Finance and currently finishing up a mathematics and statistics major.

Thanks!

 

[MikeLawrence]

If you want to get into quant, don't do an actuarial masters unless you come out of it with absolutely insane skills.

It signals the wrong thing.

 

[gliph]

If you want to get into quant, don't do an actuarial masters unless you come out of it with absolutely insane skills.

It signals the wrong thing.

Thanks for the comment, Mike. I found the Master's in Actuarial Science interesting because it offers the opportunity to take the same math and computer science courses as the Mathematical Finance program, but it allows me to replace the economics classes with other math courses that seem more interesting.