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| Curriculum |
| Tuesday, 04 October 2005 | |
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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 |

