From : Zari Rachev

To : Graduate Students, Department of Statistics and Applied Probability

Re : Ph. D. Emphasis in Mathematical Finance, Department of Statistics and Applied Probability





Dear Graduate students,

Enclosed are

(i) the letter of Professor LeRoy to you regarding the Ph. D. Emphasis in Mathematical Finance;

(ii) Recommendations on the Ph. D. Emphasis in Mathematical Finance, Department of Statistics and Applied Probability


(i) the letter of Professor LeRoy to you regarding the Ph. D. Emphasis in Mathematical Finance; April 11, 1997

Dear Probability-Statistics Ph. D. Students:

I would like to take this opportunity to inform you about a new educational opportunity that you may want to consider. Professor Rachev (P-Statistics) and I (Economics) are co-directing an emphasis in mathematical finance. Although formally this program is based in the P-Statistics department and therefore is available only to students enrolled in that program -- it is in effect a joint program in economics and statistics. We prefer to base the program in P-Stat rather than Economics because we want to ensure that students have a strong mathematics background.

Students taking this emphasis would be required to take economics, finance and statistics courses. We expect that the program will be very demanding. Those completing the program will be exceptionally well prepared for careers in academics and as practitioners.

If you think you might be interested in this emphasis, we strongly encourage you to speak with me and with Prof. Rachev as soon as possible, but certainly before making any decisions about curriculum.

The new emphasis has been approved by the P-Statistics department, but not yet by the Graduate Division. We do not anticipate any problems with this approval, however. Prof. Rachev and I hope to hear from some of you soon.

Professor Stephen F. LeRoy


(ii) Recommendations on the Ph. D. Emphasis in Mathematical Finance,
Department of Statistics and Applied Probability

First Year

  1. PSTAT 213 A-B-C Probability Theory and Stochastic Processes
  2. PSTAT 207 A-B-C Statistical Theory
  3. ECON 210 A-B-C Microeconomic Theory
Second Year
  1. PSTAT 223A-B-C Mathematical Finance
  2. ECON 235A-B Money and Finance
  3. PSTAT 174 Time Series
  4. PSTAT 220 A-B-C Advanced Statistical Methods
Electives:
  1. ECON 245B Econometric Theory - Time Series
  2. PSTAT 208 A-B-C Stochastic Models in Operations Research
  3. PSTAT 221 A-B-C Advanced Probability Theory
  4. MATH 201 A-B-C Real Analysis
  5. MATH 228 A-B-C Functional Analysis
  6. MATH 246 A-B-C Partial Differential Equations

Area Requirements : Ph. D. students in statistics and applied probability with emphasis in mathematical finance will be required to fulfill the following three area requirements.

  • Mathematical Finance Requirement : An exam based on topics covered in PStat 222A-B-C.
  • Mathematical Statistics Requirement : An exam based on topics covered in PStat 207A-B-C.
  • Probability/Stochastic Processes Requirement : An exam based on topics covered in PStat 213A-B-C.