Quantitative Finance at Stony Brook

 


The Stony Brook Department of Applied Mathematics and Statistics offers MS and PhD training in quantitative finance and is home to the University's Center for Quantitative Finance. Because of the strong demand, admission is highly competitive at both the MS and PhD levels in quantitative finance. The department prepares practitioners who apply mathematical and computational methods to develop and exploit financial opportunities for return enhancement and risk control. The department, one of the country's leading applied mathematics departments, offers a range of related coursework in applied statistics, operations research, and computational science.
  Implied Volatility Surface


SPECIAL QUALITIES OF STONY BROOK QUANTITATIVE FINANCE PROGRAM.

  • Most of the Applied Mathematics faculty teaching quantitative finance courses have extensive experience building quantitative trading systems on Wall Street.

  • Because of their Wall Street backgrounds, our faculty are able to place many of their QF students in internships during the summer and the academic year at hedge funds and major investment companies. Few other QF programs offer internships.

  • There is limited use of adjunct faculty who come to campus one or two evenings a week after work.

  • Rachev, Co-Director of the Quantitative Finance Program, who formerly headed the QF programs at UC-Santa Barbara and Karlsruhe (Germany), started a successful Wall Street company that provides risk management analysis to scores of hedge funds and in his academic research is the leading expert on heavy-tailed distributions in finance (which explain why once-in-1000-years financial crises occur every few years). Among his many honors, his is a member of the Russian equivalent of the US National Academy of Sciences.

  • The Center for Quantitative Finance has a distinguished advisory board consisting of senior Wall Street executives and leading academics in quantitative finance, including Robert Merton who received the Nobel Prize in Economics for laying the foundations for modern quantitative finance.


             Merger Arbitrage Strategy
In the world of finance, the name 'Stony Brook' is famous for Renaissance Technologies, which is located a mile from the Stony Brook campus and headed by the former chairman of the Stony Brook Mathematics Department. Renaissance's flagship Medallion Fund has been the best performing hedge fund in the world for the past 20 years. One of the key creative minds at Renaissance, Robert Frey, Stony Brook Applied Mathematics PhD 1986, returned to Stony Brook in 2005 after early retirement at Renaissance to develop a Quantitative Finance program in the Stony Brook Applied Mathematics Department. Frey is chairman of the advisory committee to the University of Chicago's mathematical finance program, the country's best-ranked program in this area. 


The Stony Brook Quantitative Finance program is unique among mathematical sciences departments in its very practical focus on 'alpha generation', Wall Street term for trading strategies for making money. Courses are centered around projects where students use real tick data to analyze and predict the performance of individual stocks and commodities, market indices and derivatives. Also, Stony Brook is one of a small number of quantitative finance programs offering PhD as well as MS training. Our PhDs have taken positions both in Wall Street firms and in university quantitative finance programs. For more information about our quantitative finance courses and faculty, see QF Courses and QF People.

For Current Students to Include Spring 2012 Admits:

The
standard program of study for the M.S. degree specializing in quantitative finance consists of:

Quantitative Finance Courses
AMS 511 Foundations of Quantitative Finance
AMS 512 Capital Markets and Portfolio Theory
AMS 513 Financial Derivatives and Stochastic Calculus
AMS 515 Case Studies in Quantitative Finance
AMS 517 Risk Management
Additional (optional) electives include
AMS 514 Computational Finance or
AMS 516 Statistical Methods in Finance or
AMS 648 Special Topics in Quantitative Finance,
or any other graduate course in department with permission of their advisor.


            New York Stock Exchange

Mathematical Sciences Core Courses
AMS 507 Introduction to Probability
AMS 510 Analytical Methods for Applied Mathematics and Statistics
AMS 550 Stochastic Models
AMS 553 Simulation and Modeling
One statistics course, typically AMS 572 Data Analysis I or AMS 578, Regression Theory or
AMS586,
Time Series
AMS 595 Fundamentals of Computing (1 credit)

**Effective Fall 2012, the below QF track requirements are in effect and must be followed:

Required (core) courses for the Quantitative Finance Track:

AMS 507 Introduction to Probability
AMS 510 Analytical Methods for Applied Mathematics and Statistics
AMS 511 Foundations of Quantitative Finance
AMS 512 Portfolio Theory
AMS 513 Financial Derivatives and Stochastic Calculus
AMS 514 Computational Finance
AMS 516 Statistical Methods in Finance
AMS 517 Quantitative Risk Management
AMS 518 Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
FIN 539 Investment Analysis

Quantitative Finance Track Electives (students must take at least 2 elective courses to achieve at least 36 graduate credits along with the required courses):
AMS 515 Case Studies in Quantitative Finance
AMS 519 Internship in Quantitative Finance
AMS 522 Bayesian Methods in Finance
AMS 523 Mathematics of High Frequency Finance
AMS 550 Stochastic Models
AMS 553 Simulation and Modeling
AMS 572 Data Analysis
AMS 578 Regression Theory
AMS 586 Time Series
AMS 595 Fundamentals of Computing (1 credit)
AMS, MBA, ECON or CS course approved by the AMS Graduate Program Director as well as the Graduate Program Director of the Corresponding Department 

Quantitative Finance Opportunities for Applied Mathematics Graduate Students in Other Tracks
Any strong student (3.5+ GPA in first-semester core courses) in another track may enroll in AMS 511, Foundations in Quantitative Finance.  Selected students, with the permission of the Director of the Center for Quantitative Finance, may take additional quantitative finance courses and are eligible to earn an Advanced Certificate in Quantitative Finance. You must formally apply for the secondary certificate program prior to taking the required courses. Only a maximum of six credits taken prior to enrolling in the certificate program may be used towards the requirements. Please note that credits used toward your primary program may not be used toward the certificate program. The 15-credit advanced certificate requires AMS 511, 512, 513, one additional QF elective, and one additional Applied Mathematics course chosen with an advisor’s approval. To apply down load the registration form here:

http://www.grad.sunysb.edu/pdf/forms/New_Forms/Permission%20to%20Enroll%20in%20a%20Secondary%20Program%20-%20Certificates%20Only.pdf


Gainful employment disclosure information for Quantitative Finance Program:

http://www.stonybrook.edu/finaid/ge/quan_finance_ge.html