Statistics and Applied Mathematics - Track IV: Financial Mathematics

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This concentration is designed to teach students the mathematical methods involved in the solution of problems in finance. Several financial institutions—such as investment banks and commercial banks, hedge funds, credit rating and/or regulatory agencies—apply these methods to such problems as derivative securities valuation and hedging, trading, portfolio optimization, and risk management.

The concentration provides students the rigorous theoretical background to obtain jobs as quantitative analysts working as support to traders in front office jobs, or middle office risk management teams, as asset management specialist for hedge funds, as model analysts in credit rating companies and other such related jobs as quantitative strategists in trading firms. While a career in the financial industry is possible, our program is also meant to expose the student to the theoretical foundations required to successfully pursue a PhD in the disciplines associated with mathematical finance.

The concentration builds upon existing strengths in the department both in applied mathematics (numerical methods) and statistics (probability theory, statistical inference/machine learning, applied statistical analysis), while bringing in the tools of finance and financial economics to create a unique combination of courses that will provide rigorous training and a general exposure to the principles of mathematical finance.