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Quantitative Finance MS and PhD 


The Stony Brook Department of Applied Mathematics and Statistics offers MS and PhD training in quantitative finance. Summary of QF program for potential students is available at QF chair webpage.  Because of the strong demand, admission is highly competitive at both the MS and PhD levels in quantitative finance. The department prepares practitioners who apply mathematical and computational methods to develop and exploit financial opportunities for return enhancement and risk control. The department, one of the country's leading applied mathematics departments, offers a range of related coursework in applied statistics, operations research, and computational science. 

Implied Volatility Surface

Figure: Implied Volatility Surface


Most of the Applied Mathematics faculty teaching quantitative finance courses have extensive experience building quantitative trading systems on Wall Street. Because of their Wall Street backgrounds, our faculty are able to place many of their QF students in  internships during the summer and the academic year at hedge funds and major investment companies. Few other QF programs offer internships. There is limited use of adjunct faculty who come to campus one or two evenings a week after work.

Merger Arbitrage New Image

Figure: Merger Arbitrage Strategy

In the world of finance, the name 'Stony Brook' is famous for Renaissance Technologies, which is located a mile from the Stony Brook campus and headed by the former chairman of the Stony Brook Mathematics Department. Renaissance's flagship Medallion Fund has been the best performing hedge fund in the world for the past 20 years. One of the key creative minds at Renaissance, Robert Frey, Stony Brook Applied Mathematics PhD 1986, returned to Stony Brook in 2005 after early retirement at Renaissance to develop a Quantitative Finance program in the Stony Brook Applied Mathematics Department. Frey is chairman of the advisory committee to the University of Chicago's mathematical finance program, the country's best-ranked program in this area. 

The Stony Brook Quantitative Finance program is unique among mathematical sciences departments in its very practical focus on 'alpha generation', Wall Street term for trading strategies for making money. Courses are centered on projects where students use real tick data to analyze and predict the performance of individual stocks and commodities, market indices and derivatives. Also, Stony Brook is one of a small number of quantitative finance programs offering PhD as well as MS training. Our PhDs have taken positions both in Wall Street firms and in university quantitative finance programs. For more information about our quantitative finance courses and faculty, see  QF Courses  and  QF People .

Wall Street

Figure: New York Stock Exchange

Course Requirements for the Quantitative Finance Track

The standard program of study for the M.S. degree specializing in quantitative finance consists of

AMS 507  Introduction to Probability
AMS 510   Analytical Methods for Applied Mathematics and Statistics
AMS 511   Foundations of Quantitative Financ
AMS 512   Portfolio Theory
AMS 513   Financial Derivatives and Stochastic Calculus
AMS 514   Computational Finance
AMS 516  Statistical Methods in Finance
AMS 517   Quantitative Risk Management
AMS 518  Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
AMS 572  Data Analysis

Quantitative Finance Track Electives (students must take at least  2 elective courses to achieve at least  36 graduate credits along with the required courses): 

AMS 515 Case Studies in Computational Finance 
AMS 522 Bayesian Methods in Finance
AMS 523 Mathematics of High Frequency Finance
AMS 526 Numerical Analysis I 
AMS 527 Numerical Analysis II 
AMS 528 Numerical Analysis III 
AMS 530 Principles of Parallel Computing 
AMS 540 Linear Programming
AMS 542 Analysis of Algorithms
AMS 550 Stochastic Models
AMS 553 Simulation and Modeling
AMS 560 Big Data Systems, Algorithms and Networks
AMS 561 Introduction to Computational and Data Science
AMS 562 Introduction to Scientific Programming in C++
AMS 569 Probability Theory I
AMS 570 Introduction to Mathematical Statistics
AMS 578 Regression Theory
AMS 580 Statistical Learning
AMS 588  Failure and Survival Data Analysis
AMS 595  Fundamentals of Computing
AMS 603  Risk Measures for Finance and Data Analysis

AMS, FIN, ECO or CS course approved by the AMS Graduate Program Director as well as the Graduate Program Director of the Corresponding Department 

Typical Course Sequence for Master in Quantitative Finance Track- Big Data

First Semester: AMS   507,   510,   511,   595
Second Semester: AMS  512 ,   513,   542,   570
Third Semester: AMS   514,   516,   530,   598

Note:  AMS   570,   542  &   598  can replace AMS   517,   518  &   572  as the core courses

Typical Course Sequence for Master in Quantitative Finance Track- Buy side

First Semester:   AMS   507,   510,   511,   595
Second Semester: AMS  512 ,   513,  517 ,   522
Third Semester: AMS  514 ,   516,   518,   572

Typical Course Sequence for Master in Quantitative Finance Track- Hedge Funds

First Semester: AMS   507,   510,   511,   595
Second Semester: AMS  512 ,   513,   517,   523
Third Semester: AMS   514,   516,   518,   572

Typical Course Sequence for Master in Quantitative Finance Track- Sell side

First Semester: AMS   507,   510,   511,   526
Second Semester: AMS   512,   513,   517,   528
Third Semester: AMS   514,   516,   595

Note:  AMS   593   &   595  can replace AMS   518  &   572  as the core courses

Note:  Possible swap: AMS   526  <-> AMS   595; AMS  593  <-> AMS   528

For the typical course sequence and elective course suggestions for Master of Science Degrees please   click here

For Ph.D. requirements please click here.

Quantitative Finance Opportunities for Applied Mathematics Graduate Students in Other Tracks
Any strong student (3.5+ GPA in first-semester core courses) in another track may enroll in AMS 511, Foundations in Quantitative Finance.  Selected students, with the permission of the Director of the Center for Quantitative Finance, may take additional quantitative finance courses. Students are eligible to earn an  Advanced Certificate in Quantitative Finance. You must formally apply for the secondary certificate program prior to taking the required courses. Only a maximum of six credits taken prior to enrolling in the certificate program may be used towards the requirements. Please note that credits used toward your primary program may not be used toward the certificate program. The 15-credit advanced certificate requires  AMS 511AMS 512AMS 513one additional Quantitative Finance Graduate course elective, and one additional Applied Mathematics course chosen with an advisor’s approval.

To apply, download the registration form,  please click here.

Quantitative Finance Webinars

For gainful employment disclosure information for our Quantitative Finance Program, please contact the AMS Department.