Department of Mathematics

Computational Finance Program

MS Degree in Mathematics with Specialization in Computational Finance

Our program is primarily tailored to applicants with undergraduate degrees in mathematics. Applicants with other undergraduate backgrounds are considered, when they have completed an upper division linear algebra course and an upper division real analysis course from an undergraduate mathematics program, or when they have had high performance in graduate applied mathematics courses and show promise of doing well in our required mathematics courses.

34 credit hours. Two-year intensive program.

Group I: Required Math Courses (excluding Math Finance) (15 credit hrs)

  • Probability and Analysis: MA/STAT 519 and MA 544 or [MA 504 and MA 538]
  • Linear Algebra: MA 554 or MA 511
  • Partial Differential Equations: MA 523
  • Methods of Applied Mathematics: 3 or more credits from the following list:MA 611, CS 514, CS 515, CS 614, CS 615, STAT 528 or STAT 525

Group II: Required Core CF courses (16 credit hrs)

  • Mathematics of Finance: MA 515
  • Advanced Probability, Options, and Numerical Methods: STAT 516
  • Simulation Design and Analysis: IE 581 or Introduction to Computational Statistics STAT 598 G and 7 or more credit hours approved by the CF committee from the following list:
    • Financial Management I: MGMT 610 (3 cr.)
    • Options and Futures: MGMT 641 (2 cr.)
    • Security Analysis: MGMT 642 (2 cr.)
    • Financial Risk Management: MGMT 643 (2 cr.)
    • Portfolio Management: MGMT 614 (2 cr.)
    • Spreadsheet Modeling and Simulation: MGMT 690S/570 (2 cr.)
    • Seminar in Financial Markets: MGMT 616 (3 cr.)
    • Seminar in Financial Markets: MGMT 617 (3 cr.)
    • Design and Analysis of Financial Algorithms: STAT 598 W (3 cr.)
    • Venture Capital And Investment Banking: MGMT 644 (2 cr.)

Group III: Elective courses (3 credit hrs) 3 or more credit hours of courses related to CF and approved by the CF committee.

These can be courses from any department or school. The CF advisor will help students make a selection. Possible departments to choose from include: Management, Economics, Statistics, Computer Science, Agricultural Economics, and Industrial Engineering. Possible topics include: Advanced finance seminar, Portfolio management, Security analysis, Macroeconomics, International monetary problems, Financial time series, Bayesian statistics in finance, and Monte-Carlo methods.

A typical degree plan for the MS degree in Mathematics with CF specialization will look like this: MA 511, MA 519, MA 523, MA 544, STAT 525, MA 515, MA 516, IE 581, MGMT 610, MGMT 614, MGMT 643, ECON 608.

Ph.D. in Mathematics with an emphasis on Finance.

The Department of Mathematics offers the possibility of granting a Ph.D. for original research in Mathematics with applications to Finance. Contact Professor F.G. Viens, Professor F. Baudoin or the chair of the graduate program, David Goldberg, for more details.

Computational Finance in the Statistics Program

Computational Finance Program at Purdue