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, Energy and the Environment, Decision, Risk, and Voting, Statistics and Sports).
- Floyd B. Hanson (Emeritus), Department of MSCS
- (Portfolio Optimization Subject to Jump Events, Computational Finance and Financial Engineering, Computational Stochastic Control, Stochastic Modeling).
- Charles Knessl, Department of MSCS
- (Asymptotic Methods, Singular Perturbation, Stochastic Modeling, Queueing Theory).
- 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).
- Stephen S. T. Yau, Department of MSCS
- (Control, Information Theory, Financial Mathematics).
Recommended Computational Finance Track Courses:
- Math 574 (Applied Optimal Control)
- Math 584 (Applied Stochastic Models)
- Math 586 (Computational Finance)
- Math 590 (Principles of Financial Mathematics)
- MCS 471 (Numerical Analysis)
- MCS 571 (Numerical Methods for Partial Differential Equations)
- Fin 516 (Theory and Structure of Options and Futures Markets)
- Fin 551 (Financial Decision Making)
- Fin 571 (Empirical Issues in Finance)