Coursework
Registration and Attendance
Billing and Payment
Important Details
Withdrawal
Contact Information
Course Instructor
Who Should Take This Course and Why
For those who want a refresher, the Financial Mathematics Program offers a Quant Foundation Series (previously called Prep Course) that covers mathematical concepts required for coursework in the Master of Science in Financial Mathematics (MSFM) program, and required of applicants to the program. More generally, the Quant Foundation Series is targeted at students interested in taking a Master level course in quantitative finance or financial engineering. Finance and non-finance industry professionals who would like a refresher course in mathematics are also welcome to register for this course.
The Quant Foundation Series focuses more on mathematics, rather than strictly on finance, in order to build a solid foundation in Probability, Calculus, and/or Linear Algebra, to allow students to enhance their financial mathematics skills with further studies in the field. This Quant Foundation Series is designed to be an intense and accelerated introduction to concepts in mathematics that are essential for future careers in quantitative finance.
Participants can choose which course(s) of the series to enroll in, depending on their own background and goals. Enrollment and success in one course is not dependent upon enrollment in the other courses of the series.
A key aim of the series is to impart to students the technical skills for them to be able to deal with graduate level financial mathematics and problem solving. Lectures will also include Financial and Economic applications. Past participants in the Quant Foundation Series have included:
• Students with economics, business, or finance backgrounds looking to learn and expand their knowledge of mathematics in areas they may not have previously covered.
• Students with science or engineering backgrounds looking to solidify and sharpen their mathematics skills.
The Quant Foundation Series is open to the public. If a Quant Foundation Series student applies for the MSFM program, the student's participation in the Quant Foundation Series (and in any other coursework providing math background for the MSFM program) will be taken into account, in making the MSFM admissions decision (with no guarantee of admission).
Coursework and Topics Covered
Probability Course
Topics: Combinatorics, discrete and continuous probability distributions, density functions and cumulative density functions, conditional probability and conditional expectation, the Central Limit Theorem, moment-generating functions, the Strong Law of Large Numbers, and the application of probability theory in solving quantitative interview questions.
Calculus Course
Topics: Limits and series, differential and integral calculus in one and multiple dimensions, the Fundamental Theorem of Calculus, implicit differentiation, integration by parts, Taylor’s Theorem, convexity and Jensen’s inequality, L’Hospital’s Rule, and the application of calculus in mathematical finance.
Linear Algebra Course
Topics: Vectors and matrices, systems of linear equations, LU decomposition, inner product and cosine similarity, the Fundamental Theorem of Linear Algebra, vector spaces and subspaces, eigenvalues and eigenvectors, spectral decomposition, diagonalization, orthogonality and orthogonalization, QR decomposition, projection and linear regression, determinants, positive-definite matrices and covariance matrices, Cholesky decomposition, Singular Value Decomposition, Principal Component Analysis, and the application of linear algebra in finance, AI, and data science. Python is used in this module to illustrate Linear Algebra concepts, and students will need to use Python to solve some homework problems. Prior knowledge of Python is not a prerequisite; introductory materials will be provided.
Registration and Attendance
Registration Open: 2025 Quant Foundation Series
Probability: August 23, 2025 to September 13, 2025
Calculus: September 27, 2025 to October 18, 2025
Linear Algebra: November 1, 2025 to December 20, 2025
Classes are conducted on Saturday mornings from 8:30am to 11:00am (CDT up to and including November 1, 2025; CST beginning November 2, 2025.)
Classes are conducted via live online meeting and are recorded and made available for later viewing.
Billing and Payment
Probability (4 weeks): US $950
Calculus (4 weeks): US $950
Linear Algebra (8 weeks): US $1900
Other Important Details
This series is not taken for credit nor are students enrolled through the University's Registrar system. Therefore, an official University of Chicago transcript is not available. There are no exams and official course grades are not given.
Homework is assigned and graded, measuring progress throughout the duration of the course. Further details about homework will be provided by the instructor.
Students who need a grade, or a letter certifying completion of any course in the Quant Foundation Series, can request a letter from the instructor. It is the responsibility of each individual student to request and follow up when a grade or letter is required. This option is available only to students who make a legitimate effort to complete course homework.
The Quant Foundation Seriese does not lead to a degree. Successful completion of any of the courses does not guarantee admission to the Master's program in Financial Mathematics.
Withdrawal
There will be no refunds issued for withdrawal.
For More Information
Email: Eliza Higbee at elizahigbee@uchicago.edu
Tel: +1 773 702 0405
Course Instructor
Chao-Jen Chen
Chao-Jen Chen is a senior instructor in the MSFM program’s Preparation Course and a senior teaching assistant in the MSFM program, mainly responsible for running review classes for courses including Option Pricing, Numerical Methods, and Machine Learning in Python. He used to work for one of the largest insurers in Singapore as fixed income quantitative analyst and FX manager, managing and hedging the insurer’s USD3bn FX exposure to more than 20 currencies. His recent research interest is Singapore’s monetary policy tool, i.e., the SGD NEER (Singapore Dollar Nominal Effective Exchange Rate). In April 2017, he released an app in Google Play and Apple App Store that implemented his SGD NEER model.
Chao-Jen holds a bachelor’s degree in Mathematics from National Tsing Hua University and master’s degrees in Industrial Engineering from National Taiwan University and Financial Mathematics from the University of Chicago.