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The Department of Mathematics at Columbia University offers a Master of Arts program in Mathematics with specialization in the Mathematics of Finance. This program is co-sponsored by the Departments of Mathematics and Statistics and is housed in the Department of Mathematics. It draws on the diverse strengths of Columbia University in
·Statistics
·Stochastic Processes
·Numerical Methods
·Financial Applications
The instructional component of the program consists of ten courses, which can be taken over two semesters of full-time course work or four or more semesters of part-time coursework. Seven of these courses are mandatory and three are elective. Though the number of mandatory courses is seven, the seventh mandatory course, which is Linear Regression, can be substituted by another course with a strong Mathematics/Statistics load. The decision to take another course is made by the student. However, it must be approved by the director of the program. The remaining three courses can be selected from a broad menu of suitable courses. To facilitate students who can enroll in the program only on a part-time basis over a longer period of time all the required courses are offered after 4:00 PM. The courses cover
·Probability and Random Processes
·Statistics
·Partial Differential Equations
·Modern Financial Markets
·Valuation and Hedging Techniques
·Methods of Computation and Simulation.
The Director of the program is professor Mikhail Smirnov.
The program has been very attractive to bright students with degrees in the Mathematical, Physical and Engineering Sciences, who wish to pursue a career in the Finance Industry and are prepared to develop
strong analytical skills. Students have been aggressively recruited by major banks, financial services firms, consulting firms and hedge funds such as Goldman Sachs, Morgan Stanley, Merrill Lynch, Lehman Brothers, Bear Stearns, Citigroup, JPMorgan Chase, Bank of America, Deutsche Bank, D.E.Shaw, Deloitte Touche, McKinsey and many others.
Affiliated Faculty
Prof. Mikhail Smirnov (Mathematics)
Director of the Program; Ph.D., Princeton, 1995
Portfolio Optimization, Statistical Models of Securities Pricing, Risk Measurement and Management.
Selected Publications.
Prof. Ioannis Karatzas (Mathematics & Statistics)
Eugene Higgins Professor of Applied Probability; Ph.D., Columbia University, 1980
Probability and Random Processes, Stochastic Analysis, Optimization, Mathematical Economics and Finance.
Selected Publications.
Prof Christopher Heyde (Statistics)
Professor, Ph.D., D.Sc., Australian National University, 1965
Stochastic Modeling, Randomness in Systems, Large Sample Behavior, System Parameter Estimations.
Selected Publications.
Prof Jan Vecer (Statistics)
Associate Professor, Ph.D., Carnegie Mellon University, 2000
Mathematical Finance.
Selected Publications.
Prof Tat Fung
Visiting Professor, Ph.D., Columbia, 1996
Numerical Methods in Finance.
Selected Publications.
Prof Alex Greyserman (Hite LLC)
Visiting Professor, Ph.D., Rutgers, 1995
Quantitative Investment Management.
Selected Publications.
The Columbia Math of Finance Alumni Association has created MAFN Alumni website
http://www.math.columbia.edu/~maalums
Application Procedure
Application forms are available and ALL application materials are to be mailed to:
Graduate School of Arts and Sciences
Office of Admissions
Columbia University
107 Low Memorial Library, M.C. 4304
535 West 116th Street
New York, NY 10027
telephone requests: (212) 854-4737
e-mail requests: Office of Graduate Admissions of the Graduate School for Arts and Sciences at gsas-admit@columbia.edu.
Request an application on-line, or send an email to gsas-admit@columbia.edu
THE DEADLINE:
The Application deadline is May 31, 2008. Applications should include transcripts of previous academic records, three letters of recommendation (from professors, employers or both), a one-page CV of the candidate, GRE scores are recommended but not required. GMAT can be accepted as a replacement for recommended GRE, however GMAT is not required. TOEFL scores are required for international students. Admissions are competitive; it is envisaged that no more than 50 students (full-time) and 20 students (part-time) will be admitted in the Fall 2008incoming class (Tuesday, September 2, 2008). The submission of ALL application materials is to be sent to GSAS, Admissions office. Address is above. There is no admission for the Spring semester.
PLEASE DOWNLOAD A FREE 2008 MAFN PROGRAM POSTER
Tuition, Fees and Estimated Living Expenses 2007-08
Tuition 2007-08 Academic Year
Full-Time Tuition $16,682 per semester (1 Residence Unit per semester)
$33,364 per year(2 Residence Units per year)
Part-Time Half Residence Unit (Three or fewer courses) $9,037 per semester
Part-Time Quarter Residence Unit (Two or fewer courses) $5,222 per semester
Extended Residence Unit $8,341 per semester
Health and Insurance Fees 2007-08 twelve-month rates
Student Health Service $712 per year. All students must have this regardless no matter what their health insurance.
Student Health Service and Basic Insurance $1,401 per year.
If you are full-time student you must pay $1,401 unless you have health coverage elsewhere. Ifyou have health coverage elsewhere you just have to pay $712 for Student Health Service.
Activity, International, Facility and Transcript Fees 2007-08
Student Activity $15 per semester $30 per year
International Student Fee (Int'l Students Only)$50 per semester $100 per year
Facility Fee (full-time) $370 per year
Estimated Annual Living Expenses 2007-2008
Miscellaneous Exp.$3,385
Living Expenses $17,038
Books/Supplies $1,500
TOTAL $21,923
PLEASE NOTE: Most students who were accepted prior to June 2007 should have received a letter regarding anticipated billing costs. Students admitted after June will receive a bill in the mail after they register on-line.
Prerequisites
Applicants should have a very good working knowledge of
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Calculus (three semesters, at least)
-
Linear Algebra at the level of V2010 "Linear Algebra"
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Elementary Differential Equations at the level of V3027 "Ordinary Differential Equations" and Math V3028 "Partial Differential Equations"
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Probability at the level of W4105 "Probability"
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Statistics at the level of W4107 "Statistical Inference"
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If possible, an exposure to advanced calculus and mathematical analysis at the level of W4061-4062 "Principles of Mathematical Analysis".
Applicants should also have facility with an operating system, such as Windows or LINUX, and with one of programming language such as C, C++, C#, Visual Basic, Matlab, Fortran etc.
Texts recommended for self-study
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S.Ross: "A First Course in Probability" (4th edition). MacMillan.
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Mood, Graybill & Boes: "Introduction to the Theory of Statistics" (3rd edition). McGraw Hill.
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W.Rudin: "Principles of Mathematical Analysis" (2nd edition). McGraw Hill.
The Program: A typical two-semester, ten-course program is recommended as follows:
There are 7 mandatory courses and 3 electives. Though the number of mandatory courses is 7, the 7th mandatory course, which is Linear Regression, can be substituted by another course with a strong Mathematical/Statistical load. The decision to take substitution course must be approved by the director of the program.
Mandatory Requirements in Sequence:
Stochastic Processes (Fall Only)
Introduction to Mathematical Finance (Fall Only)
Statistical Inference and Time-Series Modeling (Fall Only)
Linear Regression (Fall Only) or an advanced (4000 level or higher) mathematics or statistics course
Stochastic Methods in Finance (Spring Only)
Numerical Methods in Finance(Spring Only)
Practitioners' Seminar (Spring Only)
FIRST
SEMESTER FALL 2007
TYPICAL PROGRAM FOR A FULL-TIME STUDENT.
1.Fall 2007 Mathematics W4071 INTRO TO THE MATH OF
FINANCEDay/Time: M W 7:40pm-8:55pm
Location: 207 Mathematics
Building Professor: Mikhail
Smirnov
2.Fall 2007 Statistics G6503 STAT INF/TIME-SERIES
MODELLING Day/Time: T Th 7:40pm-8:55pm Location: 203 Math Bldng Professor:
Christopher C Heyde
3.Fall 2007 StatisticsW6501/G6501 STOCHASTIC
PROCESSES Tues.,Thurs. 6:10-7:25 pm Room 207 Math Professor Denis Kosygin
4. Fall 2007 Statistics W4315 LINEAR REGRESSION
MODELS MW 6:10pm-7:25pm Location: 517 Hamilton Hall Professor Haipeng Xing
Students
are advised to take W4315 Linear regression models. However if they are familiar
with linear regression models they may take as elective any course in Math, Statistics,
Applied Mathematics, Engineering and Computer Science with code 4000 and higher
except research seminars. For Example:
Fall 2007
Math G4073 SEMINAR IN QUANT MTHDS IN
INVESTMENT MGMT Tu 7:40pm-9:30pm Location: 207 Mathematics Building, Professor
A. Greyserman
Fall 2007 Statistics W4220 ANALYSIS
OF CATEGORICAL DATA MW 7:40pm-8:55pm Location: 903 School of Social Work
Professor Jonathan Ma
Fall 2007 Statistics W4330 MULTILEVEL
MODELSMW 6:10pm-7:25pm Location: 903 School of Social Work professor Michael Shnaidman
Fall 2007 Statistics G6101 STAT
MODELLING/DATA ANALYSIS I MW 2:40pm-3:55pm Location: 903 School of Social Work
Professor David Madigan
Fall
2007 Statistics G6103 STAT MODELLNG/DATA ANALYS III MW 10:35am-11:50am
Location: 1025 School
of Social Work Professor Tian Zheng
Fall
2007 Statistics G7010 TOPICS IN RISK W 4:10pm-5:25pm Location: 903 School of
Social Work Professor Jan Vecer
Fall
2007 Statistics G6107 STATISTICAL INFERENCE THEORY IMW 10:35am-11:50am Location: 903 School of
Social Work Professor Shaw-Hwa Lo
5. Elective. Can be Business School
course withB-School approval, can be
ECON dept or SIPA course 4000 and higher, and any Math, Stat, Applied Math, Engineering
course with course number 4000 and higher. For example courses listed in section 4
above Math G4073, Statistics W4220, W4330,
G6101, G6103, G7010,
G6107. Research seminars can not count as electives.
TYPICAL
PROGRAM FOR A PART-TIME STUDENT (2 courses Tu, Th)
W6501/G6501
STOCHASTIC PROCESSES Tues.,Thurs. 6:10-7:25 pm Room 207 Math Professor Denis
Kosygin
G6503
STAT INFERENCE/TIME-SERIES MODELLING 7:40pm-8:55pm Location: 203 Math
Professor: Christopher C Heyde
ALTERNATIVE
PROGRAM FOR A PART-TIME STUDENT (2 courses Tu, Th)
W6501/G6501 STOCHASTIC PROCESSES Tues.,Thurs.
6:10-7:25 pm Room 207 Math Professor Denis Kosygin
G4073 SEMINAR IN QUANT MTHDS IN INVESTMENT MGMT Tu
7:40pm-9:30pm Section 001 Call Number: 66754 Points: Location: 417 Mathematics
Building, Prof. Alexander Greyserman
ANOTHER ALTERNATIVE PROGRAM FOR A PART-TIME STUDENT
(2 courses M-W)
Fall
2007 Statistics W4315 LINEAR REGRESSION MODELS MW 6:10pm-7:25pm Location: 517
Hamilton Hall Professor Haipeng Xing
Fall 2007 Mathematics W4071
INTRO TO THE MATH OF FINANCEDay/Time:
M W 7:40pm-8:55pm Location: 207 Mathematics Building Professor: Mikhail Smirnov
3 COURSE ALTERNATIVE PROGRAM FOR A PART-TIME
STUDENT (M Tu W)
Fall 2007 Statistics W4315 LINEAR
REGRESSION MODELS MW 6:10pm-7:25pm Location: 517 Hamilton Hall Professor
Haipeng Xing
Fall 2007 Mathematics W4071
INTRO TO THE MATH OF FINANCEDay/Time:
M W 7:40pm-8:55pm Location: 207 Mathematics Building Professor: Mikhail Smirnov
Fall 2007 G4073 SEMINAR IN QUANT MTHDS IN
INVESTMENT MGMT Tu 7:40pm-9:30pm Section 001 Call Number: 66754 Points:
Location: 417 Mathematics Building, Professor Alexander Greyserman
ANOTHER 3 COURSE ALTERNATIVE PROGRAM FOR A
PART-TIME STUDENT (M Tu W Th)
Fall 2007 W6501/G6501 STOCHASTIC PROCESSES Tues.,Thurs.
6:10-7:25 pm Room 207 Math Professor
Denis Kosygin
Fall 2007 G4073 SEMINAR IN QUANT MTHDS IN INVESTMENT
MGMT Tu 7:40pm-9:30pm Location: 417
Mathematics Building, Prof. Alexander Greyserman
Fall 2007 W4071INTRO TO THE MATH OF FINANCE
Day/Time: MW 7:40pm-8:55pm Prof Smirnov
