PhD Track in Mathematical Finance

The PhD track in Mathematical Finance will enable a student to gain basic expertise in Statistics and Operations Research and augment it with specialized coursework that will enable them to carry out original methodological research in Mathematical Finance.

First-year Courses

For the track in Mathematical Finance, the following four courses are required as first-year courses:

Fall:

STOR 634 (old Stat 154) (Measure and Integration)

STOR 664 (old Stat 174) (Applied Statistics I)

STOR 641 (old OR 220)  (Stochastic Models I)

Spring:

STOR 635 (old Stat 155) (Probability)

STOR 655(old Stat 165) (Mathematical Statistics)

STOR 614 (old OR 211) (Linear and non-linear optimization)

Additional course requirements

In addition to the above the following courses are required:

STOR 836 (old Stat 236) (Stochastic Analysis)

STOR 891 (old Stat 322) (Statistical Methods in Finance)

Econ 871 (Time Series Econometrics)

Econ 890 (Foundations for Continuous time Asset Pricing)

Busi 880 (Financial Economics)

Busi 886 (Quantitative Methods in Finance)

Electives

 The student must take 3 more electives, at least one of which must be from within the STOR department.  Possible electives are:

STOR 643 (old OR 222) (Markov Decision Processes)

STOR 769 (old OR 233) (Simulation)

STOR 831 (old Stat 231) (Advanced Probability)

STOR 834 (old Stat 234) (Extreme Value Theory)

In addition the student must participate in the Presentation course.

Comprehensive Written Examinations

The INSTORE program requires that students take the Comprehensive Written Examinations on the required six courses in the first year.