Curriculum

Colloquia and Research Seminars

The departmental colloquia and seminar series bring distinguished researchers and practitioners from other universities and businesses to present their latest work. In addition, informal research seminars are organized in order to exchange information and to discuss ideas arising from the research work in progress. The students, research staff, visiting scholars, and faculty members participate in these seminars.

Fellowships and Assistantships

The department aims to support all graduate students requesting aid through a combination of fellowships and assistantships. The fellowships vary in amount and detailed provisions. The amounts of financial assistance through assistantships are fixed as indicated in the general section on awards and financial assistance at the beginning of this announcement.

Assistantships in research are available for students who are prepared to enter one of the research programs conducted by the department. The research problem usually becomes the basis for the thesis or dissertation. Assistantships in instruction are available to both entering and continuing graduate students. The amount of work required is consistent with a full-time graduate program.

Continuation of support is recommended on the basis of satisfactory academic performance.

Interdisciplinary Associations

The departmental faculty are affiliated with a number of interdisciplinary programs and centers: the Program in Statistics and Operations Research, the Program in Applied and Computational Mathematics, the Bendheim Center for Finance, and the Program in Transportation. Students may combine their departmental work with courses and research opportunities offered by such programs and centers and also by the Departments of Mathematics, Economics, and Computer Science.

Research Facilities

Multimedia Engineering Computation Atelier. This is an Engineering School-wide laboratory for teaching and research in the methodology of problem solving using the combined power of interactive computer graphics workstations and large-scale digital computing as applied to virtual reality, visual simulation, computer-aided design, analysis, and manufacturing. Facilities expose students to a range of technology, including the state-of-the-art graphics workstations available 24 hours a day. Additional facilities for conducting research using computer graphics are also available.

Computational and Stochastic Transportation and Logistics Engineering (CASTLE) Laboratory. The CASTLE Laboratory works on problems in dynamic resource management with ongoing projects in chemical distribution, railroads, trucking, and the airlift mobility command. Through this lab, students gain access to data and specialized tools to aid them in their research into transportation and logistics.

Financial Engineering Laboratory. This laboratory holds the computers, software, and financial data feeds needed for teaching and research in financial engineering. It is a focal point for graduate students in the Ph.D. program in financial engineering and the Master of Finance. It also serves as a gateway to collaborative research projects with financial institutions.

Optimization Tools and Models (OPTOMO) Library. The OPTOMO Library is an internet-based library that provides students with access to a large collection of impor-tant real-world optimization models together with state-of-the-art tools for solving them.

Ph.D. Program Course Offerings

ORF 504 Financial Econometrics
ORF 505 Modern Regression and Time Series
ORF 514 Asset Pricing I: Pricing Models and Derivatives (see FIN 501)
ORF 515 Asset Pricing II: Stochastic Calculus and Advanced Derivatives (see FIN 503)
ORF 518 Applied Stochastic Analysis and Methods (see APC 518)
ORF 522 Linear Optimization
ORF 523 Nonlinear Optimization
ORF 524 Statistical Theory and Methods
ORF 525 Generalized Regression Models
ORF 526 Stochastic Modeling
ORF 527 Stochastic Calculus and Finance
ORF 531 Computational Finance in C++
ORF 534 Financial Engineering
ORF 535 Financial Risk Management
ORF 538 Analytical and Computational Methods for Financial Engineering
ORF 542 Controlled Markov Processes
ORF 547 Dynamic Programming
ORF 548 Large-Scale Optimization
ORF 549 Stochastic Programming
ORF 551 Probability Theory (also APC 551)
ORF 553 Stochastic Differential Equations
ORF 554 Markov Processes
ORF 555 Fixed-Income Models (also FIN 555)
ORF 562 Transportation and Logistics Planning
ORF 563 Transportation
ORF 569 Special Topics
ORF 570 Special Topics
ORF 557, 558 Stochastic Analysis Seminar
ORF 575 Financial Engineering Seminar

Pertinent Courses in Other Departments

COS 511 Foundation of Machine Learning
COS 524 Combinatorial Optimization and Algorithms
COS 527 Probabilistic Algorithms
COS 528 Data Structures and Graph Algorithms
COS 557 Analysis & Visualization of Large Scale Genomic Data Sets
ECO 517 Econometric Theory I
ECO 518 Econometric Theory II
ECO 525 Financial Economics I
ECO 526 Financial Economics II
ELE 525 Random Processes in Information Systems
ELE 531 Communication Networks
MAE 569 Optimal Control and Estimation I
MAE 570 Optimal Control and Estimation II
APC 550 Introduction to Differential Equations
APC 503 Analytical Techniques in Differential Equations
APC 505 Numerical Methods in Computational Science
APC 583 Wavelets: Applications of Wavelets in Mathematics and Other Fields
MAT 314 Introduction to Real Analysis
WWS 509 Generalized Linear Models