Graduate Certificate Program Requirements
The Graduate Certificate in Computational Finance will be awarded to Ph.D. students who are admitted to the program and complete five or six courses as described below.
Students from departments other than Finance must take one of the following two sets of courses depending upon whether they intend to pursue academic or industry careers:
- Industry Track I: four of the five Track 1 courses including just one of the two winter quarter Track I courses, plus two additional elective courses, or
- Academic Track II: all Track II courses plus one fall Track I course, one spring Track I course, and one elective.
Elective courses may be one of the other courses listed in the Table 1 below, or one of elective courses in the electives Table 2. Course substitutions are subject to approval of the Program Director.
Finance Department Students must take the following: One of Statistical Computing I, II or III in Table 2, Simulation Methods in Finance, Statistical Methods for Portfolios (or other computationally-oriented alternative), Stochastic Processes in Finance, and one elective from Table 1 or Table 2. Course substitutions are subject to approval by the Program Director and Finance Department Chair.
| Course Title | Course Number |
|---|---|
| Fall | |
| Computational Finance and Financial Econometrics (Track I) | ECON 424 |
| Derivatives: Theory, Statistics, and Computation (Track I) | STAT 547 |
| Doctoral Seminar in Capital Market Theory (Track II) | FIN 590 |
| Financial Engineering I (Track I) | IND E 599B |
| Winter | |
| Statistical Computing III (Track I) | STAT 538 |
| Stochastic Calculus for Option Pricing (Track II) | MATH/STAT 492 |
| Empirical Asset Pricing1 (Track II) | FIN 5923 |
| Spring | |
| Statistical Methods of Portfolios (Track I) | STAT 549 |
| Simulation Methods in Finance2 (Track I) | STAT 5933 |
| Management of Financial Risk (Track I) | FIN 562 |
| Course Group and Title | Course Number |
|---|---|
| Computing | |
| Statistical Computing I | STAT 534 |
| Statistical Computing II | STAT 535 |
| Statistical Computing III | STAT 538 |
| Finance | |
| Financial Markets | B ECON 520 |
| Financial Economics Seminar | FIN 580 |
| Corporate Finance Seminar | FIN 591 |
| Financial Econometrics | |
| Financial Time Series | ECON 512 |
| Multivariate Time Series | ECON 584 |
| Mathematical Finance | |
| Nonlinear Optimization | MATH 408 |
| Fundamentals of Optimization | AMATH/MATH 515 |
| Numerical Optimization | AMATH/MATH 516 |
Capstone Experience
In order to receive the Certificate each student will give a seminar that proposes new computational finance research whose results if successful have the potential to either: (a) lead to better understanding of some fundamental aspect of analytical finance or (b) benefit the practice of analytical finance in the finance industry. The seminar is to be accompanied by a written research proposal demonstrating that the student has studied the relevant research literature, and reflects the student's ability to effectively integrate and abstract from the collection of courses taken from several disciplines in fulfillment of the certificate requirements. The seminar can be in one of two venues: (i) The regular Computational Finance Seminar series, or (ii) A Ph.D. General Examination dissertation proposal.
Summer Internship Experience
Efforts will be made to place high-performing CFC students in summer internships in the Puget Sound area and elsewhere.