Arbitrage pricing theory underpins the historical growth and contemporary importance of financial derivative markets. The theory is developed systematically for equity, FX, commodity, fixed income, and credit markets.
Discrete and continuous time dynamic models of asset prices are studied, developing the analytical insight of standard industry models, numerical schemes, and computational practice. These tools are used routinely by practitioners to value portfolios, hedge risk, determine regulatory capital requirements, and maintain and demonstrate regulatory compliance. The Quantitative Finance Graduate Certificate program at NJIT explores these concepts to prepares quantitative analysts to use these tools for investment management and for mandated regulatory compliance.
Who would be suited to take this program?
A person pursuing a career in financial modeling, banking, finance, insurance, or investment management. Also, this is a program for staff of larger companies with internal financial modeling, such as those within treasury departments which trade and hedge corporate exposures in the financial markets. A related job title would be a Quantitative Analyst, alongside variations of that in the areas of: portfolio management, investment strategy development, risk modeling/managing, etc. There are many positions in the named industries and others where the quantitative tools in the certificate are actively in demand.
What are the Required Courses?
Code  Title  Credits 

Core Courses  
MATH 604 *

Mathematical Finance  3 
Electives  
Select three of the following:  9  
Term Structure Models  
MATH 607 *

Credit Risk Models  
FIN 641 *

Derivatives Markets  
At most one of the following:  
CS 602 *

Java Programming  
CS 610 *

Data Structures & Algorithms  
CS 634 *

Data Mining 
* indicates as available online
What will I learn?

Mathematical Finance  discusses the mathematical structure of arbitrage free pricing of financial derivative securities in market models.

Term Structure Models  presents the standard industry models for interest rates and explores the hurdles encountered in practical implementation.

Credit Risk Models  examines the mathematical models and consequent pricing methods for credit risk measurement and rating.

Derivatives Markets  introduces students to futures, options, and other derivative securities. Topics include option valuation models, principles of forward and futures pricing, structure of markets for derivative securities, and strategies for hedging and speculation.

Java Programming explores object oriented programming in the Java environment, including process communication, database connectivity, multithreading, and lightweight components.

Data Structures & Algorithms is an intensive study of the fundamentals of data structures and algorithms. The course presents the definitions, representations, and processing algorithms for data structures, and general design and analysis techniques for algorithms.

Data Mining covers the principles of data mining system design and implementation. It presents methods for association and dependency analysis as well as classification, prediction, and clustering. Optional topics may include time series and graph mining, current trends in data mining, and data mining for scientific, medical and engineering applications.
In what industries might a holder of this Certificate find employment?
Banking, Finance, Insurance, Investment Management. Also: large companies in any industry: such companies have treasury departments which trade and hedge corporate exposures in the financial markets. The computational skills are used in a vast range of industries.
In what job titles might a holder of this Certificate fit?
Quantitative Analyst  and variations of that in the areas of: portfolio management, investment strategy development, and risk modeling/assessment/management.
Prerequisites
A minimum of a 2.8 in related coursework during a completed Bachelor's degree. Students should have a mathematical background equivalent to that of a typical undergraduate major in the engineering, physical, or mathematical sciences.
Related Degrees
The Graduate Certificate in Financial Mathematics program relates directly to the NJIT MS in Mathematical and Computational Finance.
Take Note
Check the course descriptions for more information. Some courses have prerequisites and must be taken in order. Complete course descriptions can be found in the NJIT Graduate Catalog.
Faculty Advisor: Andrew Pole