Download Department of Mathematical and Statistical Sciences

Department of Mathematical and Statistical Sciences
Faculty of Science
Ph.D. Program in Mathematical Finance
Program
The increasing use of sophisticated investment instruments and strategies such
as options and derivatives in the management of money requires advanced
mathematical analysis of the associated financial risk. The University of Alberta
was the first university in Canada to offer a M.Sc. program in Mathematical
Finance. This is a highly successful program, which attracts over 20 applicants
each year. One aspect of our mathematical finance graduate program which
students find particularly attractive is that students take courses in Management,
Finance and Accounting from the Faculty of Business in addition to courses in
Mathematical Finance, Analysis and Statistics from the Department of
Mathematical and Statistical Sciences.
In addition to attracting students who wish to pursue lucrative careers in banking,
investment companies, government agencies and pension management firms, a
number of students are interested in pursuing mathematical finance as a
research area and wish to obtain a Ph.D. with a specialization in this discipline.
Many universities are following our lead, and are, or have, developed graduate
programs in mathematical finance. Associated with this program growth has been
the increased demand for faculty with a Ph.D. in Mathematical Finance. We
propose to develop a Ph.D. program for those graduate students who are either
interested in pursuing an academic career in mathematical finance or wish to
receive advanced training which will allow them to follow careers in the banking,
investment and financial sectors.
Entry Requirements
Normally, a M.Sc. in Mathematical Finance, Statistics or Applied Mathematics, or
their equivalents. Prospective students must have successfully previously
completed MATH 417, 436, 438, STAT 471 and STAT 512, or their equivalents.
Students not satisfying these entrance requirements may be considered for
admission into the course-based M.Sc. program in mathematical finance.
Requirements for the Ph.D. program in Mathematical Finance
The entrance year of a Ph.D. program consists of at least 4 core courses:
MATH 515 Introduction to Mathematica Finance
STAT 571 Applied Measure Theory for Probability
STAT 580 Stochastic Processes
STAT 672 Probability Theory II
Course Work: Students are required to take a minimum of *24 unit weight of
courses at the 500 or higher level, from the set of approved courses listed below,
and to complete a thesis. Regardless of whether or not the minimum number of
courses have been satisfied, students must enroll in at least one leecture-based
500 or higher level graduate course each academic year. The minimum
acceptable grade is 6.0 and the student must maintain a minimum cumulative
GPA of at least 6.5.
The Faculty of Business has a policy that students from other faculties must
register in the evening sections of MBA courses. MBA courses correspond to all
500 and 600-level graduate courses offered by the Faculty of Business.
In addition to the core courses, students in the Ph.D. program in Mathematical
Finance must take:
MATH 614 Math Models for Derivate Securities
MATH 615 Mathl Models for the Term Structure of Interest Rates
FIN 521
Financial Valuation
FIN 631
Financial Management
FIN 654
Risk Management
It is strongly recommended that students complete ACCTG 501 before enrolling
in the Finance courses.
The additional course requirements must be selected from the following list of
approved courses, with at least *3 units from outside the Department of
Mathematical and Statistical Sciences:
ACCTG 501 Intro to Financial Reporting and Analysis
ACCTG 511 Accounting Information and Decision-making
BUEC 501 Microeconomics for Managers
BUEC 511 Economic Structure of Government and Business
BUEC 512 Macroeconomics for Managers
FIN 614
Investments
MATH 527 Int. Partial Differential Equations III
MATH 536 Numerical Solutions of Partial Differential Equations
Students are also strongly advised to develop a proficiency in C/C++ programming. CMPUT 201 or EE 445 are examples of courses which teach C/C++
programming.
Residency
The minimum period of residence is full-time registration at the University of
Alberta for two academic years.
Length of Program
The program will normally be done in 4 years; however, it can be done in a
minimum of two years.
Academic Standing
Students may be required to withdraw at any time if their cumulative CPA falls
below the standard required by the Faculty of Graduate Studies and Research or
the Department of Mathematical and Statistical Sciences.