The program is formally a Concentration within the Master of Engineering (M. Eng.) degree in Operations Research and Industrial Engineering. Students must qualify for admission into the M.Eng. program and be selected for the Concentration in Financial Engineering. Some students are admitted to the M. Eng. Program desiring to pursue Financial Engineering are not selected for the Financial Engineering Concentration. Several other valuable concentrations and minors are available to them, and permit them to take financial engineering courses.

In addition to the requirements for admission to the ORIE M.Eng. program, entering the Financial Engineering Concentration requires advanced knowledge in mathematics and probability theory. We also strongly recommend taking a course on stochastic process, for instance, ORIE 3510 or equivalent, before entering the program.

Prior to entering the Master of Engineering in Financial Engineering program at Cornell, it is expected that students will have taken the following courses or will have equivalent coursework from another institution in the following subject areas:

Prerequisites for Financial Engineering:

Required Courses:
Engineering Probability and Statistics II (ORIE 3500/5500) or Equivalent:
A rigorous foundation in theory combined with the methods for modeling, analyzing, and controlling randomness in engineering problems. Probabilistic ideas are used to construct models for engineering problems, and statistical methods are used to test and estimate parameters for these models. Specific topics include random variables, probability distributions, density functions, expectation and variance, multidimensional random variables, and important distributions including normal, Poisson, exponential, hypothesis testing, confidence intervals, and point estimation using maximum likelihood and the method of moments. Prerequisite: ENGRD 2700 or equivalent.

CS 2110 Computers and Programming (also ENGRD 2110) or Equivalent: Intermediate programming in a high-level language and introduction to computer science. Topics include program structure and organization, object-oriented programming (classes, objects, types, sub-typing), graphical user interfaces, algorithm analysis (asymptotic complexity, big “O” notation), recursion, data structures (lists, trees, stacks, queues, heaps, search trees, hash tables, graphs), simple graph algorithms. Java is the principal programming language. Prerequisite: CS 1110 or equivalent course in Java or C++.

Strongly Recommended Courses:
Managerial Finance (NCC 5560) or Equivalent (such as prescribed self-study)
This course provides an introduction to business finance through theory and assignments. Topics include stock and bond valuation, the capital-budgeting decision, portfolio theory, basic asset-pricing models, cost of financing alternatives, basic long term financing, capital structure. Application of theory to practical applications will be stressed in the lectures. Letter grade only, based on a final exam, group homework, quizzes and class participation. This course is similar in content to the MBA core course: NCC 5060. For non-Johnson School graduate students and seniors only. Graduate students have first priority in the event the course is oversubscribed.

Operations Research II: Introductory Engineering Stochastic Processes I (ORIE 3510) or Equivalent
Students use basic concepts and techniques of random processes to construct models for a variety of problems of practical interest. Topics include the Poission process, Markov chains, renewal theory, models for queuing, and reliability.