We organize online information session to help students learn more about the master’s and doctoral degree programs. You can find more about it ( here ) .
Thinking about MFE ? Join us on Saturday, November 3 at Claremont Graduate University’s Fall Open House to learn how to find the right fit for your graduate studies. At our Fall Open House, you will:
Experience first-hand the research from our renowned faculty
Learn how to submit a successful...
Research Assistant Professor Qidi Peng continues to amaze with his productivity. In addition to a full-time job as a quant at AIG, Peng has taught in the MSFE program, animated numerous independent studies, and published (as solo and co-author) in Statistical Inference for Stochastic Processes...
You are completely right. Calculating the series numerically is a challenge that resisted our efforts. The main application of this series is to get analytical results. The challenge is the non-differentiability of many option payoffs, but this can often be overcome. This is why we started with...
Join us at one of our upcoming admissions events! If you’re in town, register for our Fall Open House on November 3rd!
Or, you can schedule a meeting with us here: calendly.com/alice-liu
Yes. Equation (7) is meant to be computed. We used it to solve for the bond price in the CIR model with time-varying coefficients (see our paper in Stochastics), the CIR model with fractional BM (see our paper in Communications on Stochastic Analysis), the CIR model with jump processes (see our...
FE Academic Director Henry Schellhorn recently published a paper on second-order parabolic partial differential equations with Sixian Jin in International Journal of Stochastic Analysis. Please find more about it here.
In addition to his work (mentioned above), Schellhorn also presented his...
The FE program welcomed the arrival this summer of Michael Imerman in the position of tenure-track assistant professor of finance. "It's truly an honor to be here at CGU," he said. "I've admired the MSFE program for years. To be a part of it and serve as co-director is an opportunity I am very...
The FE program has started a “pre-graduate program in mathematics” to enhance the proficiency of incoming students in the math prerequisites. Calculus III and Linear Algebra classes are offered in the summer in a hybrid form, both in-class and online.
Questions? Contact Brian Jauregui, Director...
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