Quantitative Finance Initiative

In the world of quantitative finance, 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 is the best performing mathematically based hedge fund in the world. One of the key creative minds at Renaissance, Robert Frey, Stony Brook Applied Math PhD 1986, returned to Stony Brook in 2005 after early retirement at Renaissance to develop a Quantitative Finance program in the Stony Brook Applied Math 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.

Initially Frey designed the Stony Brook QF program as a cluster of four graduate courses designed to complement the disciplinary training in traditional mathematical science disciplines, such as statistics, operations research and computational applied mathematics. An advanced certificate in Quantitative Finance was also created around these four courses. A small number of doctoral students were allowed to write dissertations in quantitative finance-- to our knowledge, these are among the first quantitative finance dissertations in a mathematical science department. While mathematical models and theory with application to finance problems have been studied in mathematics departments for many years, quantitative finance is concerned with the analysis of real-world financial data; QF research is traditionally found in business schools.

In 2008, a greatly expanded Quantitative Finance program was initiated in the Applied Math Department.
1. The Frey Family Foundation endowed a chaired professorship in quantitative finance.
2. The Applied Math Department upgraded the status of quantitative finance by creating a M.S./Ph.D. track in operations research/quantitative finance. This move follows a trend at several other universities, e.g., Princeton University, where the operations research department has expanded its name to Operations Research and Financial Engineering.
3. In addition to the Frey Family chair, the Applied Math Department hired two new full-time faculty: Professor Haipeng Xing, who is a co-author of a widely used graduate text in statistical methods in finance, and Professor Ann Tucker, who spent the previous decade working as a quantitative trader and asset manager with hedge funds and Wall Street investment banks. There is another position anticipated for a retired Wall Street quantitative manager.
4. The department has added three additional courses in quantitative finance.
5. Finally, the Applied Math Department created a Center for Quantitative Finance, whose advisory committee includes 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. The Center coordinates research collaborations with the finance industry and arranges internships, summer and academic-year, for graduate students and selected undergraduates at hedge funds and investment banks.

A typical program of study for the M.S. track for quantitative finance specialization consists of:
Quantitative Finance Courses
i) AMS 511, Foundations of Quantitative Finance
ii) AMS 512, Capital Markets and Portfolio Theory
iii) AMS 513, Financial Derivatives and Stochastic Calculus
iv) AMS 515, Case Studies in Quantitative Finance
v) AMS 517, Risk Management
and (optional) additional electives in quantitative finance chosen from AMS 514, Computational Finance, and AMS 516, Statistical Methods in Finance , or, with permission of their advisor, a student may chose an elective from other graduate courses in the department.

Mathematical Sciences Core Courses
vi) AMS 507, Introduction to Probability
vii) AMS 510, Analytical Methods for Applied Mathematics and Statistics
viii) AMS 550, Stochastic Models
ix) AMS 553, Simulation and Modeling
x) one statistics course, typically AMS 572 Data Analysis I or AMS 578, Regression Theory or AMS 586, Time Series
xi) AMS 595 Fundamentals of Computing (1credit)

For more detailed information about the quantitative finance graduate training in the Applied Mathematics Department, click here.