Computational Finance
A Computational Finance track can be added to two of our MS programs as well as our PhD program. Visit each option to learn more about their corresponding degree requirements.
Participating Faculty:
- Gilbert W. Bassett, Jr., Department of Finance
- Econometrics, Statistics, Financial Markets, Quantile Modeling and Estimation, Risk Measures.
- Jerry Bona, Department of MSCS
- Fluid Mechanics, Partial Differential Equations, Numerical Analysis, Mathematical Economics, Oceanography, Biology.
- Hsiu-Lang Chen, Department of Finance
- Investment Style Investing, Mutual Fund Industry, Style Migration and the Cross-Section of Average Stock Returns, Analyzing Financial Analysts, Information Diffusion.
- Charles Knessl, Department of MSCS
- Asymptotic and Perturbation Methods, Stochastic Models, Convection-Diffusion Problems, Analysis of Algorithms, Financial Mathematics.
- Dibyen Majumdar, Department of MSCS
- Design of Experiments, Linear Models, Nonlinear Mixed Models, Repeated Measurements.
- John Miller, Department of Finance
- Applied Investments, Securitization, Econometrics.
- David Nicholls, Department of MSCS
- Numerical Analysis, Partial Differential Equations, Free Boundary and Boundary Value Problems, Fluid Mechanics, Acoustics, Electromagnetics.
- Dale Rosenthal, Department of Finance
- Market Microstructure, Commodities and Related Markets, Financial Econometrics, Statistics, Algorithmic Trading.
- Jie Yang, Department of MSCS
- Classification, Cluster Analysis, Dimension Reduction, Financial Mathematics.
- Stephen S. T. Yau, Department of MSCS
- Control, Information Theory, Financial Mathematics.
- Lan Zhang, Department of Finance
- Financial Econometrics, Analysis of High Frequency Financial Data, Statistical Arbitrage and Trading, Inference for Diffusion Processes, Credit Risk Analysis.
- Floyd B. Hanson (Emeritus), Department of MSCS
- Portfolio Optimization Subject to Jump Events, Computational Finance and Financial Engineering, Computational Stochastic Control, Stochastic Modeling.
- Stanley R. Pliska (Emeritus), Department of Finance
- Risk Sensitive Portfolio Management, Dynamic Asset Allocation with Imperfect Information, Interest Rate Derivatives and Term Structure Models.
- Charles Tier (Emeritus), Department of MSCS
- Analysis of Stochastic Models, Queuing Theory, Financial Mathematics, Numerical Analysis.
Recommended Computational Finance Track Courses:
- Math 574 (Applied Optimal Control)
- Math 576 (Classical Methods for Partial Differential Equations)
- Math 577 (Advanced Partial Differential Equations)
- Math 578 (Asymptotic Methods)
- Math 579 (Singular Perturbations)
- Math 584 (Applied Stochastic Models)
- Math 586 (Computational Finance)
- MCS 471 (Numerical Analysis)
- MCS 571 (Numerical Methods for Partial Differential Equations)
- MCS 573 (Topics in Numerical Analysis of Partial Differential Equations)
- Stat 461 (Applied Probability Models I)
- Fin 516 (Theory and Structure of Options and Futures Markets)
- Fin 571 (Empirical Issues in Finance)