The Finance and Statistics Program

Note 2010/11: Due to substantial changes in the Financial Mathematics Program, the information below is no longer valid. Further information will be given at a meeting for Statistics and Finance during orientation week

The Statistics Department is currently offering finance and statistics/econometrics as a direction for our Ph.D. and Master's (M.S. and M.A.) students. To pursue this track for a master's degree, you may wish to take Stat 39000 or FinMath 33000 in Autumn.

Stat 39000 is being given in cooperation with the M.S. program in financial mathematics.

The Ph.D. requires a rigorous and thorough exposure to statistics, probability, finance, and economics. To start a Ph.D. thesis, you need to take Stat 381, 383 and 385, and certain courses in the Graduate School of Business. Stat 390 is recommended, but you will pick these things up in the other courses, too. Ph.D. students should attend the financial mathematics workshop as well as the statistics seminar. Please note that the Ph.D. in this area is an integral part of the Statistcs program. You therefore have to take the standard set of first year courses to prepare for the statistics prelim. Also, your admission is to the Department of Statistics, and we do not guarantee that you can write a dissertation in a finance/econometrics direction.

First year Ph.D. students in Statistics who are considering Finance as an option may wish to take Stat 390 as their elective course in Autumn.

General information on the statistics program, including other courses relevant for finance

Suggested Course Program for the Master's Degree (2008/2009)

	Theoretical	Applied	Economics/Finance/Probability
	Statistics	Statistics
Autumn Quarter	Stat 24400 or Stat 30400	Stat 34300	Stat 39000 (Stochastic Calculus and Options Pricing); or
			FinMath 33000 (Mathematical Foundations of Options Pricing)
Winter Quarter	Stat 24500 or Stat 30100	Stat 34500	Stat 31200 or Stat 31700
Spring Quarter	Stat 24600 or Stat 30200	Stat 34700	FinMath 33400 (Statistical Risk Management); or
			Stat 33600 (Time Dependent Data, Wang); or
			Stat 36700 (History of Statistics, Stigler); or
			Stat 49210 Learning, Filtering and Pricing, Hansen) (half course) and
			Stat 43800 (High Frequency Data, Mykland) (half course)

Substitutions can be granted in some cases involving Economics, Business School and other Statistics courses.

The spring courses 43800/49210 can be taken in sequence and add up to one regular sized course. This course is appropriate for PhD students, and Master's students with strong theoretical foundation. (Stat 390+312, or equivalent, + statistics at least at the level of Stat 244-245, would be the recommended minumum).

Students who receive a grade of A in Stat 390 will normally receive consent of instructor to take Stat 312. Otherwise consent will normally not be given.

Some People:

Lars Peter Hansen (expected to teach Stat 49210)
Steven Lalley (expected to teach Stat 312)
Per Mykland (expected to teach Stat 390, 438)
Jostein Paulsen (home page) (expected to teach Fin Math 334)
Stephen M. Stigler (home page) (expected to teach Stat 367, an elective for this sequence)
Mei Wang (expected to teach Stat 336)
Wei Biao Wu (expected to teach Stat 245)

The Counselor's Scrapbook
The Department of Statistics

Updated Sept 24, 2008, by PM