MSc Financial Engineering

A multidisciplinary programme that applies engineering problem-solving tools and skill sets to the field of finance. Our graduate programme in Financial Engineering prepares students for the ever increasingly complex financial markets and products of the modern world.

Overview

A student stands in the Sun in RU

The field of financial engineering is young, and is growing by leaps and bounds each year. This graduate programme is designed for leading employees of both financial institutions and corporations where a deep understanding of financial markets is critical. 

Students will be placed in an intensive and interdisciplinary environment where the financial knowledge, engineering methods, mathematical and statistical tools, communication skills, and programming are brought together and put to use.

The Department of Engineering's Financial Engineering program was designed in close collaboration with the Sloan School of Management and the Operations Research Centre at MIT.

Credits

120 ECTS.

Language

Language of instruction is English.

Length of study

Two years, full time.

Careers

Our programme aims to produce high-calibre practitioners and researchers who will be able to apply quantitative methods with informed heuristics to develop new and profitable financial solutions that will impact the way consumers and corporations manage financial market risks. As a part of the programme the students have the option to and are encouraged to acquire hands-on experience, working on practical problems in finance as part of the curriculum.

Chartered Engineer

The programme is designed to meet the curriculum requirements for the professional title of chartered engineer, as defined by the Ministry of Industry and the Association of Chartered Engineers in Iceland (Icelandic: Verkfræðingur).

After successful completion of the programme the student is awarded the degree Master of Science in Financial Engineering, and is eligible to apply for the title of Chartered Engineer in Iceland.

Structure

The MSc program in Financial Engineering is a full-time two year program divided into 4 semesters.

Over the first three semesters all students take six core courses that cover applied probability, statistics and data mining techniques, quantitative methods for investment decisions, stochastic processes, financial derivatives, optimisation methods, risk management and a seminar series where real-world problems are presented, analysed and solved in collaboration with professionals. A normal workload during the first three semesters is three MSc level courses and either research work or an extra elective course, selected with the intention of enhancing their understanding of a particular research topic. 

During the fourth semester, the students complete the research project and write a thesis.  Students are encouraged to take a semester abroad during the second year.

Year 1 Year 2
Fall
  • Data Mining and Machine Learning
  • Applied Probability
  • Financial Engineering in the Firm
  • Elective
  • Optimization Methods
  • Fixed Income and Interest Rate Modelling
  • Elective
  • Elective (3 weeks)
Spring
  • Research Methods I
  • Derivatives and Risk Management
  • Elective
  • Elective (3 weeks)
  • Thesis

Please refer to the online Course Catalogue for information about courses.

Admission

  • An undergraduate degree in engineering, mathematics or physics is required.
  • The respective undergraduate degree must include courses on calculus, linear algebra, probability, statistics, and programming.
  • Applicants must possess a basic knowledge of stocks, fixed income instruments, and derivatives.
  • Applicants must have experience programming in MATLAB, C++ and/or programming languages.

Exceptional students who does not satisfy the requirements above may be accepted to the programme, on a case-by-case basis. In the event that such a student is accepted, they will be expected to make-up the aforementioned requirements during their first year of study.

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Contact us

For further information please do not hesitate to contact us.

Department of Engineering Office: vfd@ru.is

Páll Jensson Head of Financial Engineering and Engineering Management

Páll Jensson

Head of Financial Engineering

Email: pallj@ru.is
Phone: 599-6563

Verity Louise Sharp International admissions officer

Verity Louise Sharp

International Admissions Officer

Email: verity@ru.is
Phone: 599-6200


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