This new track in the ICME M.S. Program will supersede, beginning in the
fall quarter of 2014, the interdisciplinary M.S. Program (IDP) in
Financial Mathematics in the School of Humanities & Sciences. The IDP has
been offered by the Departments of Mathematics and Statistics since 1999,
in close cooperation with the Departments of Economics, Management Science
& Engineering, and Finance in the Graduate School of Business. The
Financial Math program provides a master’s-level education in applied and
computational mathematics, statistics, and financial applications. The
program has been consistently ranked among the top tier of Financial
Engineering/Mathematics programs in the U.S. Its interdisciplinary and
collaborative nature has expanded from education to research, culminating
in the establishment of the inter-school and inter-departmental Financial
and Risk Modeling (FARM) Institute at Stanford in 2012. The Institute is
of timely relevance in the wake of the recent financial crisis, which
exposed the weaknesses and limitations of traditional financial models,
pricing and hedging theories, risk measures and management of derivative
securities and structured products. Better use of information technology
and data, and better models and strategies for investments, risk
management and regulatory reforms are called for. While the establishment
of FARM is timely for research towards these goals, time is also ripe for
the Financial Mathematics program to integrate itself better with FARM by
adopting a more computational and data-oriented approach.
The Steering Committee of the Financial Mathematics Program has found ICME
to provide a better environment for the envisioned growth of the program,
which will be re-named Mathematical and Computational Finance (MCF) to address the new focus.
Since several members of the Steering Committee are already on the faculty
of ICME, the transition of Financial Mathematics to the MCF track of the
ICME M.S. program has proceeded smoothly, and the curriculum and degree
requirements have been developed. Upon successful completion of the MCF track in the ICME M.S. program, students will be prepared to assume
positions in the financial industry as data and information scientists,
quantitative strategists, risk managers, regulators, financial
technologists, or to continue on to their Ph.D. in ICME, MS&E,
Mathematics, Statistics, Finance and other disciplines.The MS track in
Mathematical and Computational Finance is overseen by a steering committee comprised of ICME
faculty members Kay Giesecke (co-chair), Tze Lai (co-chair), Peter Glynn,
George Papanicolaou, Bala Rajaratnam, and is advised by Darrell Duffie of the Graduate School of Business.
