People

   Faculty

     David A. Edwards, Associate Professor

Asymptotic and perturbation methods in biochemical, chemical engineering, and viscoelastic systems. Applications of such methods to mathematical finance.

     Gilberto Schleiniger, Associate Professor

Financial derivatives: Modeling, analysis and computation.

     Anja Sturm, Assistant Professor

Stochastic modeling in mathematical finance.

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   Graduate students

     Ao Jiang

     Xiujuan Qi

     Nakia Rimmer

     Junjie Zhou

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Areas of Research

The main areas of research in mathematical finance in the Department of Mathematical Sciences are:

     Mathematical modeling and analysis of financial derivatives.

     Term structure of interest rates and effects on bond pricing.

     Stochastic modeling in mathematical finance.

Seminars and Other Activities

The Applied Mathematics Seminar series is currently organized by Dr. Pelesko and Dr. Schleiniger.

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Graduate Studies

Students wishing to study and do research in mathematical finance are advised to apply to the Applied Mathematics Graduate Program.

   Courses

Courses which are of particular interest to this area are:

MATH616	Introduction to Applied Mathematics I
MATH617	Introduction to Applied Mathematics II
MATH630	Probability Theory and Applications
MATH631	Introduction to Stochastic Processes
MATH810	Asymptotic and Perturbation Methods
MATH824	Topics in Applied Mathematics
MATH835	Partial Differential Equations I
MATH836	Partial Differential Equations II

Other courses in the Department of Mathematical Sciences of interest to students in mathematical finance are:

MATH611	Introduction to Numerical Analysis and Scientific Computing I
MATH612	Introduction to Numerical Analysis and Scientific Computing II
MATH807	Complex Analysis
MATH838	Numerical Methods for Partial Differential Equations
MATH850	Theory of Probability

Students in Applied Mathematics are also encouraged to take courses outside the Department. Examples of such courses are:

FINC856	Financial Engineering and Risk Management
FINC854	Special Topics in Finance
FINC852	Investment Analysis and Portfolio Management
FINC416	Advanced Investments

   Funding

Besides the usual university and departmental funding for TAs and fellows, some students may be supported by industries.

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Computational Resources

The Department operates several computers in support of research computing.  All faculty and graduate students have personal workstations.

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