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Mathematical Sciences Department

The Department of Mathematical Sciences in the Mellon College of Science is a world-wide leader in applied mathematics, especially in mathematical finance. For the Master of Science in Computational Finance program, the Mathematical Sciences Department provides courses on the mathematical models used in finance. This includes discrete-time models and models based on stochastic calculus. The Black-Scholes model is a special case of the latter. These models are used in fixed income, equity, foreign exchange, energy and credit markets. A course in numerical methods give students the ability to solve the partial differential equations generated by stochastic calculus models. The concluding course, Financial Computing IV, teaches students how to use and modify a software library based on these models. In addition to participation in the MSCF program, the department grants a B.S. degree in Computational Finance and a Ph.D. degree in Mathematical Finance.



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