M.S. Statistics Degree with Specialization in Computational Finance

The requirements for the Master's degree in Statistics with specialization in Computational Finance are typically completed in two intensive years. The resulting MS Statistics degree includes additional courses in mathematical and investment finance, and computational science. 34 credit hours are required, and are divided into two groups.


Statistics M.S. Degree with Specialization in Computational Finance

 34 credit hours. Two-year intensive program.

 The courses comprising the 34 required credits for the Master's degree in statistics with emphasis in computational finance are divided into three groups.
  1. Required Stat Courses. (15 cr.)

    Probability STAT 519
    Mathematical Statistics STAT 528
    Time Series STAT 520
    Intermediate Statistical Methodology STAT 525
    Advanced Statistical Methodology STAT 526

  2. Required Core Computational Finance courses. (16 cr.)

    Mathematics of Finance STAT 540
    Adv. Probability, Options, and Num. Methods STAT 541
    Simulation Design and Analysis IE 581
     
    7 or more credit hours approved by the CF committee from the following list:
    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.)
    Introduction to Investment Science II STAT 598Z.SP03 (2 cr.)
    Financial Engineering IE 590A (3 cr.)
    Intermediate Financial Engineering IE 690D (3 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 598W (3 cr.)
    Venture Capital And Investment Banking MGMT 644 (2 cr.)
    Financial Management I MGMT 610 (2 cr.)

  3. Elective courses. (3 cr.)

    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
    Finance
    Economics
    Statistics
    Computer Science
    Agricultural Economics
    Industrial Engineering

    Possible topics include:
    advanced finance seminar
    portfolio management
    security analysis
    macroeconomics
    international monetary problems
    financial time series
    Bayesian statistics in finance
    Monte-Carlo methods

    Note: Other courses approved by the Statistics Department Graduate Committee can be substituted for courses that have been taken previously. The final transcript should include at least five statistics courses aside from the STAT courses in Group II.


    A typical degree plan for the MS degree in Statistics with CF specialization will look like this:
    STAT 519
    STAT 528
    MGMT 641
    STAT 540
    IE 581
    STAT 520
    STAT 541
    ECON 673 or ECON 535 or ECON 608
    STAT 525
    MGMT 643
    IE 590A or IE 690D
    STAT 526.
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Ph.D. in Statistics with research emphasis on applications to finance.

The Department of Statistics offers the Ph.D. for original research in probability or statistics. The research emphasis may be directed toward applications in finance with the concurrence of the major professor. See the description of the Department of Statistics Ph.D. Program. Professor F. G. Viens may be contacted for more details.

Statistics Computational Finance Program

Computational Finance in the Mathematics Program

Computational Finance Program at Purdue
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