Financial Engineering is a specialization of the Econometrics and Operations Research master's program.
Expanding markets and the increasing complexity and variety of financial products have generated a growing demand for skilled professionals to create, price and hedge complex derivatives. The specialization in Financial Engineering provides you with advanced qualifications in operations research and finance, from the management of financial portfolios to risk analysis in financial markets. Financial Engineering is the place where finance meets operations research!
Financial Engineering uses techniques from operations research such as simulation and simulation-based optimization for evaluating options or portfolio optimization. Financial analysts find work at major banks, brokers, and institutional investors such as insurance companies.
Four 6 EC compulsory core courses:
- Combinatorial Optimization
- Stochastic Gradient Techniques in Optimization and Learning
- Operations Research Case study (or Case offered by the Duisenberg Honours Program Quantitative Risk Management)
- Behavioural Operations Research
Two 6 EC courses on Quantitative Risk Management:
- Asset Pricing
- Stochastic Processes: the Fundamentals
- Stochastic Processes for Finance and Derivatives Markets
- Econometrics for Quantitative Risk Management
- Institutional Investments and Asset Liability Management
One free 6 EC elective.
Thesis (18 EC): an in-depth study on a challenging finance subject, co-supervised by a researcher from the Finance Department and research from the Operations Research group.
The one-year master allows the student to attain a double degree by combining it with the second year of another closely related two-year master's program, such as Finance or Applied Mathematics.
Financial engineers find work at major banks, brokers, and institutional investors such as insurance companies. They are also commonly found as quantitative analysts in finance departments of general manufacturing and service firms.
Almost all our alumni have leading positions in the companies where they work. This is thanks to their analytical excellence strengthened by the mathematical approach taken in this masters' program.
Annual statistics collected by Elsevier show that, for many years, graduates with a master's in Econometrics and Operation Research are among those with the highest starting salary in the Netherlands. Reflecting the broadness of the topic of Operations Research, graduates are sought after in nearly every branch of industry and society.
A review of over 100 students who did a master's in Econometrics and Operations Research reveals that they found employment in management, finance, consulting, logistics and academia.
During your study, there are plenty of social activities organized by our student association so that you get to know your future colleagues. After completion of your master's, you will be part of our thriving alumni community.
Graduates in Operations Research are highly desired throughout industry and society. More than 25% of our students already find a position during their master study, and almost all of them find a position within 3 months of graduating. According to a study by Elsevier, the average gross monthly income of graduates from Operations Research and Econometrics in their first year is approximately € 3.300.
Why VU Amsterdam?
Our research team has a broad internationally renowned expertise, by which we are able to offer advanced models and methods from the whole spectrum of Operations Research. Moreover, we allow students to personalize and specialize.
This master's in Econometrics and Operations Research is the only master's program of its kind in the beautiful and exciting city of Amsterdam, a major European business hub, and the university is located in Amsterdam’s financial district!
The faculty’s Career Services office supports you with a series of workshops and individual coaching in your transition to the job market.
Admission with an International Degree
We welcome any student with a great interest in solving optimization problems in the field of Supply Chain Management, Financial Engineering, Data Science, or any other field where mathematical optimization plays a key role in making decisions. Besides being extremely motivated, students should satisfy the admission requirements listed here.
The master program Econometrics and Operations Research, track Operations Research, is open to students with a university Bachelor's degree that provides a thorough knowledge of mathematics. Additionally, you need to have successfully completed courses and studied literature related to the core of this program, consisting of (or equivalents of):
- Stochastic modelling
- S.M. Ross, Introduction to Probability Models, Academic Press, 2009
- Operations research and deterministic optimization
- H.A. Taha, Operations Research: An Introduction, Prentice Hall, 2010, Chapter 1-12 or
- F.S. Hillier and G.J. Lieberman, Introduction to Operations Research, McGraw-Hill, 2005 (8-th ed.). Chapters 1-12
Besides these core courses, the requirements of admission are that the applicant has followed courses in Linear Algebra, Probability Theory, Analysis and Statistics at the level of our Bachelor EOR. The levels of these courses are indicated by the following books:
- Linear Algebra:
- D.C. Lay, Linear Algebra and Its Applications, Addison-Wesley, 2013
- Probability Theory:
- S.M. Ross, A First Course in Probability, Pearson, 2013
- J.M. Howie, Real Analysis, Springer, 2001
- J.A. Rice, Mathematical Statistics and Data Analysis, Duxbury Press, 2006 or G. Casella and R.L. Berger, Statistical Inference, Cengage Learning, 2008
Furthermore, it is important that students have experience with optimization and numerical programming in, for example, Python, R, Matlab, Java or C/C++. If you can show certified exam results for courses in operations research and mathematics as listed above you are admissible for the master. The equivalence will be evaluated by the Admission Board.
For more information about this course, requirements contact Dr. R.A. Sitters: firstname.lastname@example.org.
English language proficiency
The admission board wants to stress the intensity of the program: reading scientific articles and writing papers will be a key part, all at a very high pace. Your English language skills, both oral and written, are extremely important in this program. As you will have to communicate frequently with your fellow students and you will be working with and for international companies.
VU Amsterdam requires all applicants to take an English test. You can already apply online without having the test results. We do advise you to plan a test date as soon as possible. Below you will find the minimum English test scores for the program:
- Minimum general score 6,5
- Minimum score speaking 6,5
- Minimum score listening 6,5
- Minimum score writing 6,0
- Minimum score reading 6,0
- Paper-based test 580
- Internet-based test 92-93
- Cambridge Proficiency Exam A, B, C
- Cambridge Advanced Exam A, B, C
The Vrije Universiteit Amsterdam offers the TOEFL ITP English-language proficiency test. The test is offered by the VU Taalloket. You can find more information and register for this test at www.taalloket.nl