To Prospective Students

To Prospective Students:

For students who wish to work with me, I recommend taking at least one course with me (preferably QF314800/314900, QF444800, QF527200/527800) and completing two semesters of rigorous math courses such as Advanced Calculus/Real Analysis. Please write a cover letter (along with your CV & transcript) explaining your interest in working with me and indicating the topic you wish to pursue. I will request that you share some papers you find interesting and then prepare a brief presentation for me.

My Recommendation Letter Policy:

For me to write a recommendation letter, one should work with me for at least one semester and take at least two courses with me.

Courses I recommend taking for serious students in Quantitative Finance:

• Measure-theoretic probability backbone

  • Stochastic Processes

  • Advanced Probability Theory (Measure-Theoretic Probability)

  • Stochastic Calculus

• Optimization and Control

  • Optimization (Linear/Nonlinear/Convex/Robust/Stochastic)

  • Numerical Optimization Algorithms

  • Online Learning Theory

  • Stochastic Control

• Statistical and Data-Driven Approaches

  • Mathematical Statistics

  • Time Series Analysis

  • Statistical Learning (or Machine Learning Theory)

• Analysis Foundations

  • Linear Algebra

  • Advanced Calculus

  • Graduate Real Analysis ( or Functional Analysis)

  • Partial Differential Equations

• Computational 

  • Algorithms

  • Complexity Theory

  • Numerical Linear Algebra (or Matrix Computation)

• Finance & Economics

  • Investment Science (or Portfolio Theory)

  • Asset Pricing Theory

  • Derivatives (or Financial Engineering)

  • Financial Econometrics

  • Microeconomics