The Finance and Econometrics Program

The Statistics Department is currently offering finance and econometrics as a direction for our Ph.D. and Master's (M.S. and M.A.) students. To pursue this track for a master's degree, you need to take Stat 390 Autumn. It will normally not be possible to start writing a Master's paper before having completed at least Stat 390.

Stat 390 is being given in cooperation with the M.S. program in financial mathematics.

The Ph.D. requires a rigorous and thorough exposure to statistics, probability, finance, and economics. To start a Ph.D. thesis, you need to take Stat 381, 383 and 385, and certain courses in the Graduate School of Business. Stat 390 is recommended, but you will pick these things up in the other courses, too. Ph.D. students should attend the financial mathematics workshop as well as the statistics seminar. Please note that the Ph.D. in Statistics and Econometrics is an integral part of the Statistcs program. You therefore have to take the standard set of first year courses to prepare for the statistics prelim. Also, your admission is to the Department of Statistics, and we do not guarantee that you can write a dissertation in a financial direction.

First year Ph.D. students in Statistics who are considering Finance as an option may wish to take Stat 390 as their elective course in Autumn.

General information on the statistics program, including other courses relevant for finance

Tentative Course Program for the Master's Degree (2008/2009)

Some People:

• Lars Peter Hansen (expected to teach Econ half course in Spring)
• Steven Lalley (expected to teach Stat 312)
• Per Mykland (expected to teach Stat 390, 438)
• Jostein Paulsen (home page) (expected to teach Fin Math 334)
• Stephen M. Stigler (home page) (expected to teach Stat 367, an elective for this sequence)
• Wei Biao Wu (expected to teach Stat 245)