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Program Description
Campus & Online
Degree Requirements
Course Schedule
Courses
Program Costs
PROGRAM DESCRIPTION
The University of Washington’s MS-CFRM, offered by the Department of Applied Mathematics, leads the field of quantitative finance and financial engineering programs in terms of flexibility: our domestic and international students, with or without prior finance industry experience, can attend full-time or part-time, on campus or online, completing the CFRM curriculum alongside students ranging from brand-new college grads to senior professionals. The program covers:
- Rigorous mathematical and statistical foundations of quantitative finance
- Extensive instruction in use of the open source R-programming environment and rapid growth of cutting edge R finance packages
- Classical volatility and mean-variance methods of risk analysis and portfolio optimization, modern fat tails and tail risk methods of risk management, and portfolio optimization
- Integration of theory, methods, and computation
- Separate study options in computing and risk management as critical focal points in today’s markets
The campus program takes students 4 academic quarters with a summer break to complete (Autumn, Winter, Spring, Autumn), which is about 15 months. The online program can be completed in the same amount of time or longer, depending upon the amount of courses taken per quarter. As with other MS and PhD degrees at the University of Washington, the MS-CFRM degree is awarded by the University of Washington Graduate School.
CAMPUS & ONLINE
Campus and Online courses are scheduled at the same time, taught by the same instructors, and involve the same assignments with identical grading expectations. We encourage interaction between campus and online students via email, course discussion forums, and web conferencing. Students in both cohorts gain from sharing the diverse career experience, academic backgrounds, and cultures of a broadly nationwide and international student body.
The experience of being part of the classroom cohort allows for a close-knit community of students, most of whom have an identical course schedule, and are able to work closely with faculty and staff in Lewis Hall. Our career placement services are more effective thanks to this face-to-face interaction, and so we recommend that students who lack professional networks and experience consider the campus program.
The online option is an optimal solution for working professionals to pursue the MS-CFRM degree while maintaining their current job or other obligations. Online CFRM-MS students are able to “time shift” studies around work schedules and time zones, provided that students keep up with weekly assignment due dates and can accommodate exams with fixed dates. Part-time students will be able to finish the degree requirements in three years, on average, when taking one course each quarter. However, students are not restricted to one course per quarter and may complete the program full-time if desired.
Online students are not required to come to campus; the coursework can be completed entirely at a distance. Online students living in the local Puget Sound area can sometimes attend lectures on campus, as long as there is an empty chair in the classroom and it works with the student’s schedule. Local online students sometimes choose to take their course midterms and final exams on campus, as remote online students must arrange a proctor each quarter for exams.
Online Program Details
- 100% remote. Online students will submit all work electronically in CFRM courses, and there is never a requirement that you come to the UW campus in Seattle.
- Fixed dates, not on demand. Online students are enrolled in the same courses, doing the same work, and learning from the same lectures by the same instructors as the classroom section. That means that courses have regular meeting schedules between 8am and 8pm Pacific time, and assignments are due for all students on the same dates and times.
- However, live attendance is not required for online students–class meetings are recorded and available for you to watch on your own time.
- Because of the weekly due dates, online students must keep up with the class during the quarter.
- Proctored exams. Online students will need to find a suitable proctor at a convenient location to monitor midterm and final exams. CFRM will only send the exams to, and will only accept completed exams from, your approved proctor.
- Online students who are located in the Greater Seattle area may take exams on campus if there is extra space in the assigned classroom. Check with your instructor or TA if you are interested.
- Varied media. Courses are delivered using multiple software tools, all of which require a high-speed internet connection and may require the installation of browser plugins or other software.
- The majority of CFRM courses use Panopto, a high-definition lecture capture service that provides a picture-in-picture feed with both video of the class and a digital capture of the projector. These courses are broadcast live via the web, become available for streaming playback immediately after lecture concludes, and are published for offline viewing about four hours after class ends.
- Other CFRM courses rely on a web conferencing tool with collaboration features like instant messaging, voice chat, screen sharing, digital whiteboards, and document sharing. Live video is typically not available in these courses. Class meetings are recorded, but playback requires an active internet connection. Offline viewing is not available in these courses.
- Some CFRM courses adopt a “flipped” class model, where pre-recorded videos are assigned ahead of class, with the scheduled meeting used for a highly interactive exploration of concepts introduced in the video. These courses will use an online video player in combination with web conferencing software.
- Access to classmates. Each course also has a website on the UW Canvas learning management system, where assignments can be downloaded and submitted, electronic course materials are stored, and there are active discussion forums for the use of both online and classroom students.
- Personal contact. Online students also have access to a course teaching assistant (TA), who will hold weekly office hours at set dates and times for direct help. If your schedule or time zone prevents your being able to attend, many of these sessions are recorded and posted online for your later review, and you can always contact the instructor or TA via email or Canvas message, as well as use the discussion forum to help and ask for help from fellow classmates.
Technology Requirements
- A high-speed internet connection with reasonable transfer limits is required for all online CFRM courses. Streaming lectures will require around 2GB per week, per course. If you choose to download lectures for offline viewing (when available), you can expect to transfer at least 5GB per week.
- Students should ensure that they have administrative privileges on their computers to install necessary software.
- Although not required in order to view lectures or access online materials, many CFRM courses involve programming assignments where Mac support can be idiosyncratic. Apple OS X users who do not have the time or interest in troubleshooting these minor but unpredictable quirks should consider installing Windows 7 or later in a virtual machine ahead of time.
- Mobile devices (e.g., smartphones, tablets, Chromebooks) may not be supported by some software products used in CFRM courses, even where a mobile app is available.
DEGREE REQUIREMENTS
The Master’s degree requires a minimum of 42 credits:
- 26 credits of required coursework
- CFRM 501: Investment Science
- CFRM 502: Financial Data Science
- CFRM 503: Asset Allocation and Portfolio Management
- CFRM 504: Options and Other Derivatives
- CFRM 505: Monte Carlo Methods in Finance
- CFRM 506: Financial Data Access and Analysis OR CFRM 507: Optimization Methods in Finance
- CFRM 509: Ethics in the Finance Profession
- 16 credits of elective coursework
COURSE SCHEDULE EXAMPLE
| AUTUMN | WINTER | SPRING | SUMMER | AUTUMN | |
| Required MS Courses | CFRM 501 CFRM 504 CFRM 506 or CFRM 507 | CFRM 502 CFRM 505 | CFRM 503 CFRM 509 | ||
| Elective MS Courses Offerings will vary. | ELECTIVE | ELECTIVE ELECTIVE | OPTIONAL INTERNSHIP | ELECTIVE |
COURSES
Our faculty routinely update and adapt offerings to address new trends in the subject area and based on student feedback.
To see a full list of all courses that could be offered as CFRM electives, please visit the PCE Time Schedule. Please note that courses listed at the previous link are options, but we cannot guarantee offering any courses outside of the required courses below.
Required MS-CFRM Courses
The following courses are part of the core Master’s program curriculum and must be completed by all students seeking the degree.
This course is an introduction to the mathematical, statistical and financial foundations of investment science. Learning of the theoretical concepts will be re-enforced through use of R computing exercises. The material is similar in scope to an MBA level investments course, but at a significantly higher quantitative level. Topics include:
- Basic Theory of Interest Rates
- Term Structure of Interest Rates and Fixed Income Securities
- Mean-Variance Portfolio Theory
- Factor Models and CAPM
- Risk Preferences and Measures
Prerequisites
Coursework in multivariate calculus, linear algebra, and one-dimensional optimization at the level of CFRM 405, and probability and statistics at the level of CFRM 410. Familiarity with the material in CFRM 420 is desirable.
Introduces financial modeling and data analysis for computational finance application. Focuses on the statistical analysis, modeling methods, and computational techniques in key quantitative finance areas including factor modeling, financial time series, and portfolio analytics. Topics include:
- Financial data visualization
- Regression methods and factor models
- Principal component analysis
- Financial time series modeling
- Parametric vs. non-parametric methods
Prerequisites
CFRM 501, or equivalent and competency in R at the level of CFRM 425, or permission of instructor.
Covers long-only and long-short portfolio optimization with real-world constraints and costs using industrial strength optimization software; classical mean-variance and modern mean-versus downside risk optimization for dealing with fat-tailed skewed asset returns; optimization and risk analysis with factor models; and equity, mixed asset class, and fund-of-hedge portfolios. Topics include:
- Mean-variance optimization (MVO) theoretical foundations
- Portfolio performance analysis and back-testing
- Downside and tail risk measures, expected shortfall, coherent risk measures
- Expected utility and risk sensitive portfolio optimization
- Active portfolio management and active management characterization
- Factor portfolios, strategies, and risk analysis
Prerequisites
CFRM 501 and CFRM 502, or permission of instructor.
This course provides basic knowledge of the theory, statistical modeling and computational methods of pricing options and other derivative products. The course blends mathematical and statistical theory with hands-on computing. Topics include:
- Introduction to financial contracts: forwards, futures, and options
- The Binomial Model for Derivatives Pricing
- Arbitrage and the fundamental theorems of asset pricing
- Incomplete markets
- Introduction to stochastic calculus
- Black-Scholes and the Greeks (price sensitivities)
Prerequisites
CFRM 425 and CFRM 501, or equivalent. CFRM 502 is recommended.
This course covers a broad range of standard and specialized Monte Carlo methods in finance with applications to derivatives pricing, trading, and risk management. Students will learn the theoretical rationale for the methods as well as practical implementations through programming assignments. Topics include:
- Simulating random variables: inverse transform, acceptance-rejection methods, etc.
- Simulating stochastic processes: Brownian motions, stochastic differential equations, jump diffusions
- Variance reduction methods: antithetic variables, control variates, importance sampling, conditional MC
- Vanilla & exotic derivatives pricing and sensitivity estimation via Monte Carlo
- Risk management applications: calculating VaR and CVaR, portfolio risk estimation
Prerequisites
CFRM 504 or equivalent, or permission of instructor.
Addresses ethical theory to recognize and demonstrate an applied understanding of ethical conduct in financial markets, financial management and financial services. Explore assessments of, and responses to, ethical challenges in finance. Includes financial law and regulation. Involves case studies with modern applications related to computational finance and risk management.
Required Course Option
One of the following courses must be completed in order to meet MS-CFRM degree requirements.
Working financial analytics practitioners regularly need to access data stored in SQL databases. In addition, it is common for the results of an analysis to be summarized and distributed via an Excel spreadsheet. This course provides practical lessons in the retrieval and manipulation of data using SQL, VBA, and Excel. In addition, it shows how to leverage the powerful financial data modeling and analysis capabilities of R in conjunction with the use of SQL, VBA and Excel. Topics include:
- SQL query development
- Relational database and table design, indexes, triggers, constraints, and stored procedures
- SQL database access from R via DBI
- Data analysis with Excel pivot tables and Solver
- Excel VBA object model and VBA procedure development
- Common VBA application coding exercises encountered in quantitative finance and risk management professions
- SQL database access from Excel
- Excel and R interoperability
- Special topics of current interest in finance
Prerequisites
CFRM 425, CFRM 501 or equivalent, or instructor permission.
This course provides an introduction to numerical optimization methods in finance. The course will discuss the theory and efficient solution methods for major classes of optimization problems. Theoretical concepts will be paired with example applications and computing exercises. Homework problems will include use of an industrial strength optimizer to solve finance applications. Topics include:
- Linear Programming Theory, Algorithms and Applications: feasible sets, duality, optimality conditions, simplex method, interior point methods, sensitivity analysis, asset/liability cash flow matching
- Quadratic Programming Theory, Algorithms and Applications: constrained and unconstrained programming, optimality conditions, solution methodologies, mean-variance optimization, relationships to statistical regression, Black-Litterman, returns-based style analysis, risk-neutral density estimation
- General Non-Linear Programming Theory, Algorithms and Applications: univariate and multivariate models, convexity, non-smooth optimization, GARCH model fitting, volatility surface estimation
- Integer Programming Theory, Algorithms and Applications: cutting plane methods, index replication
- Combinatorial and Network Programming Theory, Algorithms and Applications: shortest path, min-cost flow, foreign exchange, arbitrage checking
- Cone Programming Theory, Algorithms and Applications: second-order cone programming, tracking error and volatility constraints, estimating covariance matrices
- Dynamic Programming Theory, Algorithms and Applications: Bellman equations, forward and backward recursion, knapsack problem, option pricing, structured products
- Stochastic Programming Theory, Algorithms and Applications: data uncertainty, multi-stage models, recourse, value at risk, conditional value at risk, asset/liability management, CVaR, transaction costs
- Robust Optimization Theory, Algorithms and Applications: parameter uncertainty, robust constraints, robust objectives, single-period and multi-period portfolio selection
- Additional Topics: Decomposition and Column Generation, Genetic Algorithms, Non-gradient me
Prerequisites
CFRM 502 or equivalent, or instructor permission. CFRM 503 is recommended.
Special CFRM Electives
These courses do not count toward the 42-credit degree requirements.
PROGRAM COSTS
All students pay the same price per credit, which is assessed annually and subject to change effective each summer quarter. We do not charge nonresident or international tuition rates as a result of our self-sustaining status. Tuition and registration is administered through UW Professional & Continuing Education.
Previous and current academic year fees.
Fees may not include UW student fees and assessments, such as mandatory charges for registration, technology services, the universal U-PASS (public transit), and UW student activity fees. These vary, but are approximately $500 per quarter.
Course fees also exclude optional university charges, such as health insurance, student housing, and meal plans, as well as textbooks and other personal expenses.
Additionally, academic credit for CFRM 601, taken for an organized internship or international CPT opportunity, are charged less than traditional program courses. CFRM 601 does count toward the 42-credit program minimum requirement.
Limited aid awards will be extended during the admissions offer phase for certain highly qualified students based on merit. All applicants are considered and no additional steps are required for consideration. Opportunities for funding through research or TA appointments are infrequent for students in the MS program. Fee-based programs at UW are not eligible for state-supported aid programs, and we are unable to offer tuition waivers for the same reason. MS students do have access to federal student loan programs, and we encourage students in the workforce to discuss possible tuition reimbursement or support with their employers.
Upon an offer of admission, new UW graduate students in the MS-CFRM will be required to pay an Enrollment Confirmation Deposit (ECD) to reserve your place in the program. The full amount of this deposit will be applied to your account balance. However, the ECD is nonrefundable; the full amount will be forfeit if you elect not to enroll in the program.