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Ph. D. Programs
Area of Research: Mathematical Finance
The following faculty in the Department of Mathematical Sciences have research interest in Mathematical Finance and can serve as thesis advisors.
Dmitry Kramkov, Mellon College of Science Professor of Mathematical Finance
Current research interests of faculty include the term structure of interest rates, stochastic calculus models of asset prices and portfolio optimization, and determination of derivative security prices.
Students wishing to write thesis in Mathematical Finance have to pass the Oral Qualification Exam on Stochastic Analysis as a major topic and Mathematical Finance as a minor topic. The qualifying examination is normally taken in the third year of residence.
A formal recitation of requirements does not fully indicate the extent of resources available to a program. The department regularly offers additional Ph.D. courses on topics related to the mathematical finance curriculum. In addition, Ph.D. students frequently take the courses in the professional Master's degree program in Computational Finance, offered jointly by the Department of Mathematical Sciences, the Department of Statistics, the Tepper School of Business and the Heinz School of Management.
Although the Master's courses are not appropriate for Ph.D. qualifying examination preparation, they provide students insight into the practical issues of mathematical finance. Students in the Ph.D. program in Mathematical Finance generally take a number of these courses in their first few years of residence, and serve as teaching assistants in some of these courses in later years.