Quant Guide 2022: Lehigh University

Bethlehem, Pennsylvania, US

 

 

While Lehigh University’s MS in Financial Engineering received fewer applications for its latest intake than last year, it also became more selective: 44 offers were extended to 66 applicants, versus 71 to 97 in the most recent Risk.net Quant Guide. The intake has stayed small, with 13 students reported for both the 2021 and 2022 guides.

The programme is led by finance professor Patrick Zoro, formerly of BNP Paribas, who teaches a wide range of courses, including material on corporate finance, risk management, modelling and securities valuation.

Other staff on the programme include: Theodore Ralphs, a professor in the department of industrial and systems engineering, who teaches classes in programming and financial optimisation; Luis Zuluaga, who researches financial engineering and quantum computing; and Richard Kish, a professor in the department of finance, who teaches classes in fixed income securities.

Modules on offer include a range of core and elective classes. All students must take classes in stochastic calculus, statistics, finance, industrial engineering, and computing topics, with some choice available within those categories, as well as a project component conducted alongside industry partners. A machine learning module is also mandatory, with three to choose from.

Electives are split into three tracks: quantitative risk; data science and financial analytics; and financial operations. Each track contains a set of modules – the quantitative risk track offers classes including: financial stochastic analysis with programming in Python; and time series and forecasting. The data science and financial analytics track has the most modules on offer, with classes including: applied data mining; optimisation methods in machine learning; and linear models in statistics.

Some certificate programmes are also available in the data science and financial analysis track, which students can complete on an optional basis.

View this institution’s entry in the 2021 guide

View other universities and a guide to the metrics tables

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• Quantitative finance