Program in Quantitative Finance

Applied Mathematics and Statistics

Stony Brook University

Graduate Requirements

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In addition to the Masters and Ph.D., the Department of Applied Mathematics and Statistics plans to offer an Advanced Graduate Certificate in Quantitative Finance that will beopen to individuals who already have a Masters degree or equivalent in a quantitative discpline. The courses in Quantitative Finance are also open to all students in Applied Mathematics and Statisitics, and all students within the Department are encouraged to consider them as electives.

    

By design, the Program does not award degrees separate from the Department of Applied Mathematics and Statistics.  Students must, therefore,meet the general requirements of the AMS Graduate Program.

   

As of the Spring 2006, the courses in Quantitative Finance have been organized as a series of electives within the Operations Research Track within the Department.

    

Students who have completed graduate work in a mathematically oriented discipline are encouraged to apply for advanced placement into the Program.

   

The courses listed on this page are all regular graduate courses offerred by the Department.

    


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Advanced Placement

    

Students who enter the program with graduate credits earned at other institutions will generally not be expected to repeat coursework they have already completed. The total credit hours and academic requirements for a Masters or doctorate in Applied Mathematics and Statistics, however, must still be met.

    

Students who are transfering into the program having completed advanced degrees in highly mathematical fields, both in and out of Finance, may be admitted to the Ph.D. program in Applied Mathematics and Statistics. The precise details, including the resoluition of any graduate deficiencies, are determined on a case by case basis by the Graduate Program Director. The academic requirements for a doctorate in Applied Mathematics and Statistics must still be met.

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Advanced Graduate Certificate in Quantitative Finance (proposed)

        

An Advanced Graduate Certificate in Quantitative Finance is currently awaiting approval. It will be open to students who already have a Masters in a quantitative discipline or equivalent preparation and will require the completion of 15 graduate credits as outlined below:

    

  • AMS 511 - Foundations of Quantitative Finance
  • AMS 512 - Capital Markets & Portfolio Theory
  • AMS 513 - Financial Derivatives and Stochastic Calculus
  • Two electives drawn from Quantitative Finance.

    

These courses are all regular graduate courses and directly apply to the requirements for the M.S. and Ph.D. in Applied Mathematics and Statistics.

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M.S., Applied Mathematics and Statistics

    

Currently, the Program in Quantitative Finance is implemented as a series of electives within the existing Operations Research Track. All required courses for the OR Track must be completed as described in the Graduate Degree Requirements for AMS.

    

An example of a course of study which satisfies these requiremenst is given below:

    

  • AMS 505 - Applied Linear Algebra or AMS 510 Analytical Methods for Applied Mathematics & Statistics
  • AMS 507 - Introduction to Probability
  • AMS 576 - Statistical Methods for Social Scientists or AMS 570 Mathematical Statistics I
  • AMS 540 - Linear Programming
  • AMS 550 - Stochastic Models
  • AMS 554 - Queueing Theory or AMS 553/CSE 529 - Simulation and Modeling or AMS 542/CSE 548 - Analysis of Algorithms
  • AMS 595 - Fundamentals of Computing
  • AMS 511 - Foundations of Quantitative Finance
  • AMS 512 - Capital Markets & Portfolio Theory
  • AMS 513 - Financial Derivatives and Stochastic Calculus
  • One elective drawn from AMS, although either AMS 514 - Computational Finance or AMS 515 - Case Studies in Quantitative Finance are strongly recommneded.

    

Individuals who are considering a Ph.D. are strongly encouraged to take the sequence AMS 570 - Mathematical Statistics I: Estimation and AMS 571 - Mathematical Statistics II: Hypothesis Testing instead of AMS 576 and the sequence AMS 540  Linear Programming and AMS 544  Discrete and Nonlinear Programming.

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Ph.D., Applied Mathematics and Statistics

    

The AMS Graduate Program details the requirements for the Ph.D. in Applied Mathematics. In the past many students in AMS have completed dissertations which touch on problems in options evaluation, market arbitrage, economic equilibria and allied topics. Within the Department students are encouraged to have a broad vision in which there are no hard boundaries among the various tracks: Computational Mathematics,Operations Research and Statistics. Consistent with this interdisciplinary mission, students often reach outside the Department and collaborate with faculty and industrial researchers in areas such as Physics, Economics, Management, Biology, Electrical Engineering, Computer Science, and Medicine among others.

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