|
Economics/Finance
Some
of the subjects learned are: probability, the Central Limit Theorem, and
applications to Statistics; Poisson process, the exponential distribution,
the binomial branch model of option pricing, an introduction to risk theory,
VAR (Value-at-Risk), computing VAR, backtesting, portfolio risk, forecasting
risks and correlation, stress testing, , stationary time series models,
modeling and forecasting with ARMA processes, ARIMA models for nonstationary
time series models, spectral densities.
Requirements:
MATH 4122 Probability and Stochastic Models
MATH 4128 Risk Theory
STAT 3150 Time Series Analysis
and additional
3000 or 4000 level course in MATH, STAT, or OPRS.
|
Actuarial
Some of the subjects learned
are: the mathematical theory of interest, the theory and application of
contingency mathematics in the life and casualty areas, probabilistic and
deterministic models for annuities and pensions, an introduction to risk
theory and the concept of VAR (Value-at-Risk), computing VAR, backtesting,
portfolio risk, forecasting risks and correlation. The curriculum is
designed around the Actuarial exams P, FM, and M. See the Society of
Actuaries web page.
Requirements:
MATH 3128, MATH 3129 Actuarial Science I and II
STAT 3150 Time Series Analysis
Recommended: MATH
3122/3123 instead of STAT 2122/2223
and additional
3000 or 4000 level course in MATH, STAT, or OPRS.
|
Operations Research
Some of the subjects learned are: Queueing models, inventory models, simulation, Markov chains, decision
analysis, game theory, probabilistic programming, theory of zero-sum matrix
games, mini-max theorem, optimal strategies, symmetric, the identification
of dynamic programming problems and their solution, elementary path
problems, resource allocation, shortest path, traveling salesmen problem,
discrete time optimal control, and inventory systems.
Requirements:
OPRS 3113 Operations Research: Probabilistic Models
OPRS 4113 Game Theory
OPRS 4114 Dynamic Programming
and additional
3000 or 4000 level course in MATH, STAT, or OPRS. |
