University of Michigan - Master in Financial Engineering

I heard about this program from a ranking website which tells Michigan ranks top 10 among FE programs. The ranking might change over time. But overall, this is a good program and a good place to learn.

Students need to take GRE in order to be considered. Most students get high mark in quantitative part, from 790 to 800. As for Verbal, it ranges from 300 to 600. Of course GRE is not everything you have to get the administration. Try to gain practice experience in quant finance related fields, this adds great points to your resume and might extend an offer for you.

Personally I like the program and enjoyed it a lot. This program holds about 50 students each year with different backgrounds, such as physics, software engineering, electronic engineering, finance, math, economics, etc. About half of them do not have working experiences before, and others have relative experiences in finance, IT, trading or other areas.

Usually students need to finish 39 credits in three academic semesters. The program begins with a summer boot camp which lasts from mid July to late August. The summer classes cover statistics, finance, programming, algebra, economic, etc. which are mostly foundations. There are also some interesting network event and outdoor games. All these help new students learn basic knowledge which they lack of and get familiar with their classmates and professors. I love the summer semester, we had lots of fun both inside and outside of class. However, the cost is expensive. Many students think they spend too much on the summer courses and some of the courses are not necessary to open since they are too abstract, because one month's time cannot give you a deep understanding in any area.

Students have lots of freedom in taking courses due to their career paths. They can choose to take courses from math school, college of engineering, and Ross school of business. Core courses cover stochastic process, markov chains, statistical methods in finance, optimization methods in finance, fixed income, financial engineering, capital market and investment strategy, portfolio management and investment, options and future in corporate decision make, computational finance etc. Others include risk management, programming skills in quant finance, trading, valuation, international finance, etc. I would say that all professors are pretty good and some courses open public lectures and invite speakers from trading firms, investment banks and hedge funds. There is also a small virtual trading room in business school. Students can learn to use softwares like bloomberg and factset. And most of the course projects require skills in quantitative analysis, MATLAB, C++ and R prog ramming. As you can see, the program is more mathematical and quantitative other than financial.

The career service is good as students can use career recourses both in engineering school and business school. However, most students complain that there is only limited recourses in business school open to MFE students. They cannot get as much chances as BBA or MBA. Although this is the case, many students can also get interviews from top investment banking and consulting firms, and finally get offer there.

Can you tell us a bit about your background?
Work Ex: Accounting and fixed income derivatives trading desk support. Educational background: Finance and computer science. I studied full-time in the program from 7/2008-4/30/2010

Why did you choose this program (over others, if applicable)?
I chose the Michigan program because of its flexibility, relationship with a strong MBA program, and the overall reputation of Michigan as a business school and in general.

Tell us about the application process at this program
Same as the other school's processes except that Michigan required a 2 minute video monologue. Did not have to correspond with the administration during the application process.

Does this program offer refresher courses for incoming students? How useful was it?
Michigan has a fairly intensive mandatory summer program from July-August and organized in a modular format. There are no grades but participation in all modules is mandatory.
The program covers all fundamental topics from corporate finance to calculus to C++. Because of its broad scope, most students including myself found some parts useful and some parts not. For e.g. I had a strong finance background so the finance & econ segments were useless to me, whereas the I was very happy to have the calculus, probability and stats because my math background was relatively weak; most students had strong math backgrounds and so many felt the other way around. Overall my opinion of the program was positive for these reasons: gets you back into academic mode if you've been away from academics for a while, and it gives you the chance and time to brush up on areas of weakness ahead of some very demanding semesters.

Tell us about the courses selection in this program. Any special courses you like?
The flexibility of the curriculum was one of the biggest draws for me. A large proportion of credits are electives, and you can direct these elective credits toward making your program very quantitative or less quant-heavy. I was never interested in becoming a "quant" and the Michigan program allowed me to get about a 60-40 split between quantitative and MBA finance courses. However, one can make it 80-20 or more if one wishes.

My favorite quant finance courses were the capstone Financial Engineering II and Computational Finance courses because they made you actually do, instead of just passively learn, financial engineering type stuff. The FE II course had a heavy amount of project work and if you are looking for quant roles, you would have several instances of self-contained, practical project work that you could show employers. The computational finance course is all very hands-on type of work, with most students choosing Matlab for implementation. Both classes are requisites and are very demanding.

My favorite MBA finance courses were Advanced Equity Security Analysis (fundamental stock selection taught by a seasoned buy-side PM), Financial Trading (practical market making course), Private Equity (all work is on live PE deals with tremendous exposure to industry players), and Applied Financial Analysis and Portfolio Management (practical course where you play the part of a buy-side sector analyst on a real equity fund). These courses are all electives. Note that you can take a PE course in an MFE program. You can actually take just about any higher level MBA finance course as an elective.

Tell us about the quality of teaching
I thought that most instructors were good, a couple were unforgettably amazing, and a couple were completely forgettable. A significant downside to the Michigan program in my opinion is the dearth of practitioners. Although there is a lot of solid theory behind it, finance is a craft, and no matter how well you know your subject matter and how good a teacher you are, you cannot teach what a practitioner can, which is the craft side of it.
There were TAs for just about every class but I never used them [because I'm so smart].

Materials used in the program
For the quantitative finance courses: Shreve I & II, Tomas Björk (arb theory in continuous time), Glasserman (MC methods in FE), Wilmott (mathematics of financial derivatives), Hull, Cornuejols (optimization methods in finance).

Programming component of the program
Depending on what electives you take, there can be a lot of programming. Among the required courses, there are three courses that require programming. For two of these you can choose to use whatever applications you want, with most students choosing Matlab, and for the third we used R.

Projects
All projects were group projects. Among the required quantitative finance courses, examples of projects were modeling the implied vol surface for equity options and modeling the yield curve using various interest rate models. There are quantitative finance electives which I did not take that have very heavy project work. The MBA finance electives I took had a lot of very practical project work. In my opinion there is enough project work that you can do and have to show employers examples of your work.

Career service
The MFE program is housed in the engineering school but is a JV between the engineering side and the business school. MFEs now have full access to both engineering recruitment and business school recruitment resources (on-campus hiring, alumni databases, career counseling, etc). In the past access to b-school resources was curbed but no longer; and from now on there should be an escalation of hiring opps through the b-school as the MFE program gets more visibility amongst recruiters who traditionally came to the b-school knowing only the b-school talent pool.

A word of caution for prospective students with full-time work ex: Michigan is by and large not a target school for associate-level sales & trading recruiters. Banks are happy to interview and hire MFEs without full-time work ex (or very limited full-time work ex) for analyst positions, i.e. they club MFEs without work ex along with bachelors students in the b-school. However they just don't seem to like Michigan for associate-level hiring into sales & trading; they seem to go to Chicago and Wharton & the other ivies.

On another note, we unfortunately don't get the hedge funds that NYU and Columbia probably get being in Manhattan, but we do get some prop trading firms given our proximity to Chicago.

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
There was a fair amount of cross-ethnic interaction as far as coursework went, but as far as "socializing" went, my take on it is that a large portion of the Chinese students did cordon themselves off whereas most other people intermingled. Also, I put socializing in quotes because we are talking about MFEs, and MFEs (in all programs, not just U-M) aren't the most gregarious creatures in the world.

What do you like about the program?
The flexibility of the program. The ability to get a mix of quantitative and non-quantitative finance coursework. Michigan alumni network.

What DON’T you like about the program?
Not enough practitioners on the faculty, a serious negative in my opinion.
Not enough financial engineering specific career counseling. There's counseling through the b-school and there's counseling through engineering, but they are not very useful for MFE students, who have their own differentiated backgrounds, skill sets, and career focuses.

Suggestions for the program to make it better
The program should have a focused and comprehensive career services effort especially for MFE students, i.e. career services beyond a resume book, resume critiquing, general interview prep, etc.
The program also needs more marketing, it is a very good program but I believe that it does not have enough visibility amongst other MFE programs and other Masters programs in general.

Besides the program's websites, what alternative sources of info you used to learn more about the program?
Forums (especially QuantNet) and alumni.