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Columbia University Mathematics of Finance MA program

The Columbia MAFN program is sponsored by the departments of mathematics and statistics

  1. Nels
    Established:
    1997
    Type:
    Full-time, part-time
    Tuition:
    $60,332 for two semesters full time
    Application deadline:
    May 16
    Location:
    New York, NY
    The Department of Mathematics at Columbia University offers a Master of Arts program in Mathematics with specialization in the Mathematics of Finance (MAFN). It is co-sponsored by the Department of Statistics, and it draws on the diverse strengths of the university in mathematics, statistics, stochastic processes, numerical methods, and financial applications.

    Admissions

    The program attracts students whose academic background is in quantitative areas such as mathematics, statistics, physics, economics, computer science, or engineering. Most have previous work experience or internship experience in finance.

    www.math.columbia.edu/mafn/admissions/application-procedures/
    www.math.columbia.edu/mafn/admissions/admissions-statistics/

    Full Time and Part Time

    The program may be followed either full-time or part-time. International students on F-1 or J-1 visas must register full-time. Full-time students complete the program in two or three semesters, while part-time students typically take 2-3 years. In the past, most full-time students graduated after two semesters, but now most of them take advantage of the three semester option.

    Governance

    The program is overseen by a steering committee consisting of faculty from the departments of mathematics and statistics, including the two department chairs.

    The director of the program is Lars Tyge Nielsen - www.ltnielsen.com

    Curriculum


    We strive for a balance between rigorous theoretical courses and cutting-edge applied courses, the latter in many cases taught by professionals from the financial industry. In addition to the finance, mathematics and statistics course offered by the program, the students can take courses from all over the university.

    www.math.columbia.edu/mafn/courses/mandatory-mafn-courses/
    www.math.columbia.edu/mafn/courses/elective-course-examples/

    Structural Changes


    Several structural changes have been made to the MAFN program in the last few years.

    The three semester option: Full time students, including all international students, now have the option to stay in the program for three semesters. Most of the students choose this option. It allows them to

    (1) take four courses instead of five in each of the two first semesters,
    (2) do internships during the summer and the third semester,
    (3) take additional elective courses beyond the degree requirements, and
    (4) conduct a thorough and well informed job search during the third semester.

    In connection with the three semester option, we have introduced an MAFN Fieldwork course (CPT), which allows both domestic and international students to do paid internships in the financial industry and earn credit towards the degree.

    The number of finance semester-courses offered directly by the program as electives has grown from 3 per year to around 8-10 per year in 2015-16.

    Test scores used to be optional for applicants but are now mandatory. The test scores of the students in the program are very high.

Recent Reviews

  1. fastrack
    fastrack
    4/5,
    Things worth mentioning:
    - Lars Nelson is the new director of the MAFN program
    - Application process has been changed
    - MAFN website has been updated
    - Employment statistics are now being collected


    Can you tell us a bit about your background?
    Worked in Risk Management for 3 years at an international investment bank in NYC.
    Studied Business Administration at a US university.
    GRE: 167 quant, 160 verbal
    I studied full-time in the MAFN program from 9/2012 to 5/2013
    I studied full-time in the QSF (Quantitative Studies for Finance) program from 9/2010 to 5/2012


    Did you get admitted to other programs?
    Yes


    Why did you choose this program (over others, if applicable)?
    Location, brand recognition, familiarity with campus


    What alternative sources of info you used to learn more about the program?
    Quantnet, Columbia MAFN website


    Tell us about the application process at this program
    Usually find out very late into the year.


    Tell us about the courses selection in this program. Any special courses you like?
    Fall semester:
    MATH G4077 - COMPUTATIONAL FINANCE – not typically offered, but definitely worth taking if it is offered. You will learn about Monte Carlo simulations and how to implement them (you will get very familiar with c++ and object oriented programming)
    MATH W4071 - INTRO TO THE MATH OF FINA
    STAT G6503 - STAT INF/TIME-SERIES MODE
    STAT G6501 - STOCHASTC PROCSSES-APPLIC
    STAT W4315 - LINEAR REGRESSION MODELS

    Spring semester:
    STAT W4249 - APPLIED DATA SCIENCE – new course, I thought this class was awesome. You will learn how to use linux, how to code in python, what github, natural language text processing, and L1/L2 regularization is, and more.
    IEOR E4718 - INTRO-IMPLIED VOLATILTY – a good course on equity derivatives, the Black Scholes model and the extensions of the Black Scholes model that account for the volatility smile.
    MATH G6071 - NUMERICAL METHODS IN FINA – a nice course focused on interpolation techniques, root solving methods, and finite differences. You will get lots of practice using Excel/VBA. Professor Fung is a practitioner (senior manager at Misys) and has useful real-world knowledge (compared to some of the other professors who have been out of the industry for quite some time).
    STAT G6505 - STOCHASTIC METHODS IN FIN
    MATH G8210 - MATH FINANCE PRACTITIONER
    HRMG B8412 - Managerial Negotiations


    Tell us about the quality of teaching
    Depends on the professor. Some of the core classes only have one professor.


    Materials used in the program
    For most classes, the professor will provide lecture notes/slides.
    John.C Hull - Options, Futures, Derivs (Intro to the Math of Fin.)
    Shreve – Stochastic Calculus for Finance


    Projects
    Trading Strategies (Intro to the Math of Fin.)


    Career service
    Columbia’s career service is solid: resume help, mock interviews, career fairs, employer presentation sessions, networking/social events, and Lionshare (job website).

    The MAFN program does help out with job placement as the program has a strong alumni network. They will email you about openings and job leads but make no mistake, this is the Columbia math department and not the Columbia Business School.


    What do you like about the program?
    The MAFN covers all the important topics: stochastic processes, time series, numerical techniques, Monte Carlo simulation, option valuation, and etc.
    At Columbia, you have the opportunity to meet a lot of smart and motivated people (including undergrads and phds) and interact with top notch faculty.
    You are minutes away from the top financial companies of the world.
    Tons of resources at Columbia University.
    Extensive alumni network.


    What DON’T you like about the program?
    The only knock on the MAFN program is that it doesn't have a huge selection of elective courses and there are limitations on taking courses with the business school and engineering department. You are allowed to take one MBA course per semester and one IEOR elective course in the spring semester. Otherwise, you must be affiliated with IEOR or CBS in order to take their courses.
    It would be nice to have an in-house programming/database class and an exotic products (MBS, CDO, etc.) class. But it would make so much more sense if MAFN students were allowed to take FE and business school electives instead of duplicating courses across departments.



    My personal remarks:
    - Calibrate your expectations.
    - You must take at least 5 courses per semester and a few of the course classes are phd level. The phd level courses are very theoretical so know what you are getting into. The MAFN program is very intense and you will have to manage your time very well if you want to attempt to secure a job offer before graduation.
    - The MAFN career service will not be able to place everyone. Just because you get into Columbia MAFN doesn’t make you instantly smart and you sure aren't guaranteed a job. You have to work and hustle to get a job just like everyone else.
    - There are so many programs at Columbia that teach more or less the same things: Stats, FE, OR, Applied Mathematics, Management Science and Engineering >> and that’s just the master programs!!! So don’t rely on just Lionshare to find jobs. Use linkedin, monster.com, etc. And of course, network.
    - In my opinion, everything comes down to the individual. It’s not so much which program you are in but your knowledge, skills, and ability. I know a student who is just brilliant. He had multiple offers, ranging from AQR, SIG, CS Quantitative Strategies, and MS Strats & Modeling. It didn’t matter which program he was in because he was just that smart. You could put him in any of the lower ranked programs and he would still get job offers because he understood everything inside out. Find out which area you are weakest at (math/finance/programming/communication) and get better at it.
    - Columbia has tons of resources >> use them. For example, you need a subscription to view articles on InstitutionalInvestor.com but when you are on campus using the wifi, you can view articles for free. The same goes for many journals and publications.
  2. alexy
    alexy
    4/5,
    Flexible, cheap and very effective

    What do you think is unique about this program?
    I don't think there is anything unique in the program as most of the MFE and Math Finance Programs are pretty much identical. The best part though is its flexibility. You can take the best courses in MAFN and in MFE and pay substantially less than what columbia MFEs pay.You can learn a lot in this program by taking good courses or you can just take fraudulent courses under industry practitioners and learn nothing.

    What are the weakest points about this program?
    There are absolutely no electives offered by the department in the 2nd semester. Its not easy to get registered into the MFE courses but if you go to their classes in the first couple of weeks and talk to the professor, you can eventually get registered into the course.

    Career services
    Career services in general suck at Columbia

    Student body
    Chinese French US Russian and Indians
  3. Andrei
    Andrei
    4/5,
    A very intense phd level Math-Stat Program with concentration in finance

    What do you think is unique about this program?
    To this question - I don't know how it is in other programs. But I certainly felt very motivated may be coz of that calmness inside the campus and huge amount of energy right outside the gates to broadway. It is definitely unique. Curriculum, it is very demanding, get the heck outta u. One administrator in Kent hall told me it is The most intensive program in the university. Course wise, Whatever course offered are really good and professors are top notch, but when it comes to electives, i see that there is no preference for math fin students when apply for courses in other departments.

    What are the weakest points about this program?
    Electives in Finance courses, I don't know whether it is that much a hassle to tie with B School or IEOR to intake good amount math fin students for just 2 courses. Secondly career service.

    Career services
    University career service - Lion Share but again it is meant for ALL Columbia students and Alumni - We have to compete with MFE & BSchool (who also has separate career services) + MA Stat, MSOR, MA Econ, Bachelors in Business/finance etc. So at the end, to get a call for interview from Lion share is like "-------" . I still hope it works.

    Student body
    I see many students founds jobs in their own countries like Russia, HK, Thailand, Toronto and the like. I know only a couple who got jobs in USA. I think the time is really really bad.
  4. degot
    degot
    4/5,
    Excellent brand, smart people and in NYC.

    People say the careers service isnt good but actually found it helpful and got a number of offers through them. I think the problem is people are too late. If you want a full time position then you start interviewing on campus from the first week you arrive and positions are taken by Christmas. Then you are on your own, but even that is okay being in NYC is very easy to go for interviews and networking things.

    Other than that I think the program is tough, the people are smart and it has a good brand name.

    My background:
    1st Class (Honors) Math undergrad in the UK. Internship at Goldman Sachs. 800 on math GRE.
    Now working as a currency options trader.
  5. anonymous
    anonymous
    3/5,
    Can you tell us a bit about your background?
    Worked as a Business Analyst for 2 years in Financial Services before joining the program.
    GRE: 800 quant, 650 verbal.
    I studied full-time in the program from 9/2009 to 5/2010

    Did you get admitted to other programs?
    Yes

    Why did you choose this program (over others, if applicable)?
    Notoriety

    What alternative sources of info you used to learn more about the program?
    Quantnet, Forbes Magazine, etc

    Tell us about the application process at this program
    Respond via email, waitlist candidates usually find out very late into the year

    Tell us about the courses selection in this program. Any special courses you like?
    Stochastic Finance was very interesting, and very challenging course.

    Tell us about the quality of teaching
    Depending on the professor, the courses can be extremely interesting or incredibly boring. TA's can be helpful in some courses but not all.

    Materials used in the program
    John.C Hull - Options, Futures, Derivs Stochastic Processes - Lawler

    Projects
    Development of Trading Strategies

    Career service
    Not helpful at all. Very minimal support by the University or the program.

    What do you like about the program?
    I liked applied courses, where we could see the theory applied in practice

    What DON’T you like about the program?
    Career Service and Support

    Unfortunately the Faculty, and the Department that sponsors my program was not helpful at all. Besides the occasional email about a job posting, or career fair there was really nothing much they did. All the students are pretty much on their own as far as finding a job is concerned.

    That was my biggest gripe with the program. I understand markets are tough, but we are paying quite a bit of money to the University, and I feel like we should get more help than we did.

    Also I didnt particularly like how at Columbia, you must be affiliated with a program in order to take their courses. Some really nice courses like Quantitative Risk Management, Advanced Derivatives,etc. were only offered by the Business School, and the School of Engineering. Students from our program we're not allowed to take these courses.

    It was not all bad though, the core courses that a Quant is required to take (Stochastic processes) were taught by a very high quality professor and staff. I also liked how Columbia does push students to their limits as far as academia is concerned. Hard work is definitely rewarded.

    Suggestions for the program to make it better
    Improve the Career Service, and make it easier for Students to take courses from other departments

    What are your current job status? What are you looking for?
    Employed full-time as an associate

    This review was submitted anonymously