DOCUMENT NO. 1-03-05
PROPOSAL TO THE ACADEMIC SENATE
TITLE: The University of Dayton Proposal for New Graduate Degree Program Professional M.S. in
Financial Mathematics Program Development Plan
SUBMITTED BY: Academic Policies
DATE: September 12,
2003
ACTION: Legislative
REFERENCE:
DESIGNATION, RATIONALE, AND STATEMENT OF PURPOSE:
The University of Dayton, with
guidance and support from the Council of Graduate Schools (CGS)/Sloan
Professional Science Master’s Initiative, proposes a new professional masters
degree program in Financial Mathematics. The application of sophisticated financial
mathematical tools in finance is fairly recent.
Graduate programs in financial mathematics, computational finance, or
financial engineering are quite recent.
These programs focus in an interdisciplinary way on both statistical and
computational methods in financial mathematics.
These programs have first been developed at major universities in the
major financial districts of New
York or Chicago. There is currently a growing regional demand
for the application of sophisticated financial mathematical tools in
finance. The purpose of the program we
propose is to address the growing regional needs for applications of financial
mathematics in the banking, insurance, and financial trading industries.
There is opportunity to develop a special educational niche
with a select graduate program that utilizes strengths from the Departments of
Mathematics and Computer Science, and from the Schools of Business Administration
and Engineering. An Alfred P. Sloan Foundation
Initiative challenges the academic sciences to develop professional masters
degree programs in the sciences and mathematics “that equip people for work
outside academia.” The University of Dayton answers
that challenge with the proposed professional M.S. program in Financial Mathematics. The program will deliver two
outcomes: (1) students will obtain
technical expertise with respect to the methods in financial mathematics, and
(2) students will be exposed to professional concepts in business
management. The University of Dayton applied
through the Council of Graduate Schools to the Sloan Foundation and won an
initial grant to perform a feasibility study.
The University then followed the feasibility study with a second round
proposal to develop a program. The Sloan
Foundation supported both the first and second proposals with startup funds for
two years.
PROPOSED
CURRICULUM
Admission Requirements
·
Completion of a graduate application for
admission to a graduate program at the University
of Dayton;
·
Bachelor’s degree in a technical area
such as mathematics, physics, computer science, engineering, economics, or
finance, and at least a 3.0 GPA on a 4.0 scale;
·
Prerequisite mathematics coursework in
calculus, differential equations, linear algebra and statistics;
·
Programming skills.
Program Requirements
·
basic knowledge in methods of applied
mathematics or successful completion of introductory course (MTH 511) in
methods of applied mathematics;
·
basic knowledge in methods of finance or
successful completion of MBA 620;
·
successful completion of 18 credit hours
(6 courses) of required course work at the graduate level;
·
successful completion of 9 credit hours
(3 courses) of elective course work (does not include MTH 511 or MBA 620) at
the graduate level;
·
three
credit hours devoted to a capstone
project requirement in the Mathematics Clinic (MTH 541);
·
completion of 5 weekend
workshops in topics essential to successful performance in the corporate
world. This requirement is referred to
as a Business Survival Kit.
Table of Courses
|
Introductory Courses
Advanced Mathematical
Analysis, MTH 511 (3 credit hours)
Financial Analysis and
Markets, MBA 620 (3 credit hours)
Required Courses
Introduction to
Financial Mathematics, MTH 538 (3 credit hours)
Numerical Analysis I,
MTH 555 (3 credit hours)
Numerical Analysis II,
MTH 556 (3 credit hours)
Time Series, MTH 544 (3
credit hours)
Mathematics Clinic (MTH 541) is the capstone
team-oriented project requirement of the program.
|
Elective Courses
Regression Analysis, MTH
543 (3 credit hours)
Partial Differential
Equations, MTH 535 (3 credit hours)
Ordinary Differential
Equations, MTH 531 (3 credit hours)
Statistics for
Experimenters, MTH 547 (3 credit hours)
Methods of Mathematical
Physics, MTH 551 (3 credit hours)
Methods of Applied
Mathematics, MTH 552 (3 credit hours)
Linear Algebra, MTH 565
(3 credit hours)
Continuous and Discrete
Fourier Analysis, MTH 583 (3 credit hours)
Difference Equations,
MTH 532 (3 credit hours)
Deterministic Operations
Research, ENM 521 (3 credit hours)
Probabilistic Operations
Research, ENM 522 (3 credit hours)
Data Base Management,
CPS 542 (3 credit hours)
Investments
and Financial Markets, MBA 625
|
ADMINISTRATIVE
ARRANGEMENTS
The
program will be co-directed through the Department of Mathematics. Dr. Paul W. Eloe, Chair of the Department of
Mathematics, and Dr. Muhammad N. Islam, Program Director of the M.S. program in
Applied Mathematics, will serve as co-directors of the proposed program.
Advisory Board The program
has an Advisory Board of eight members from academics and the banking,
insurance, and financial trading industries.
The members of the Board from the corporate sector provide the real
world professional perspectives that are so critical to the success of the
program. Dr. Carl Chen, William J. Hoben Professor of Finance, serves on the Advisory Board of
the proposed program.
EVIDENCE OF NEED
To assess the demand for
the proposed program, we first considered the need from the perspective of Local/regional employers. We developed and employed a multifaceted
strategy to contact local and regional employers. We have worked with alumni, personal
contacts, Career Placement Office, Dayton Area Chamber of Commerce, MBA
program, and the Corporate Relations Office at the University. In addition, we retained the services (with
funds made available by the Sloan Foundation) of the Center of Business and
Economic Research (CBER) at the University of Dayton to
initiate contact with regional corporations.
We made cold calls from the department to assess the need for the
proposed program. As a result, we made
contacts with the banking industry, the insurance industry, especially in the
area of asset liability management, and the financial trading industry. We have assessed that these three industries
represent potential employers; moreover, large corporations with large assets
for investment are also potential employers.
The post-baccalaureate Certificate Programs developed through our
discussions with these potential employers.
The five members of the Advisory Board from the corporate sector
surfaced through these discussions.
Professional
M.S. programs in computational finance are quite recent. Kent State University, in Northeast Ohio, admitted students to an
M.S. program in financial engineering for the first time in August 2002. We assess that no other similar program
currently exists in the State of Ohio. Ohio State offers an Actuarial Science
program; however, the graduate level finance program at Ohio State is strictly academic. The University of Cincinnati has a computational finance
component in its applied mathematics graduate program. This program too is academic and theory
based. In our feasibility study, we did
not find any MBA programs in the area with a concentration in computational
finance.
Second,
we considered the demand/interest from the perspective of the Student. Through the program feasibility assessment,
we developed an understanding of the type of student we can recruit. The assessment was based on results from a
survey distributed to: undergraduate
classes in mathematics, computer science, and finance; graduate classes in
mathematics, computer science, engineering; classes in the MBA program;
regional and international students via a web page; and current professionals
via members of the Advisory Board.
We
project there will be a demand by three types of full-time students:
- full-time students on
assistantships or internships seeking a two-year program;
- full-time students
seeking a twelve-month program (and in particular, students seeking a
five-year program beyond high school);
- full-time international students
seeking a twelve-month program.
We project there will be a demand by three types of
part-time students:
- local professionals
seeking the entire M.S. degree program;
- local professionals
seeking one or more of the Certificate programs;
- graduate students already
enrolled at the University of Dayton who intend to maximize
the benefits of graduate study with a Certificate in one or more of the
above named areas.
PROSPECTIVE ENROLLMENT
The
program, initially, is envisioned as small and selective. We project that we will initially admit three
or four full-time students and three part-time students. At the end of five years, we project an
enrollment of 7 full-time students
and 10 part-time students. The number of students in the Certificate
programs will be in addition to those in the degree program.
RECRUITING MINORITY STUDENTS
We will develop an
aggressive recruiting strategy for full-time minority students. We will make every effort to recruit, enroll,
retain, and graduate minority students in the program. The Graduate School has
consistently supported minority students in graduate programs with stipends and
tuition remission. It will actively
support minority students in this proposed program. We will work closely with Central State University and Wilberforce University, two HBCU’s in this region.
We will also begin with personal contacts in Departments of Mathematics
at Morehouse College, Spelman College and Tougaloo College and
develop regional and nationwide marketing plans for minority students. We believe we can market effectively based on
our continuing consultation with prospective employers and the indication that
graduates will have career opportunities in the banking, insurance, and
financial trading industries.
PROGRAM FACULTY
The program faculty are from
the Departments of Mathematics, Economics & Finance, Computer Science, and
Engineering Management & Systems.
Dr.
James Buckley (CPS), data structures and data mining
Dr.
Carl Chen (FIN), mutual fund performance, asset pricing anomalies, corporate
governance
Dr.
Wiebke Diestelkamp (MTH),
statistician
Dr.
Stephanie Edwards (MTH), applied mathematician, complex analyst
Dr.
Paul Eloe (MTH), applied mathematician, functional differential equations
Dr.
Peter Hovey (MTH), statistician
Dr.
Muhammad Islam (MTH), applied mathematician, transform methods
Dr.
John Kauflin (MTH), applied mathematician, partial
differential equations
Dr.
Peter Lung (FIN), financial risk management and derivatives
Dr.
Edward Mykytka (ENM), stochastic optimization methods
Dr.
Youssef Raffoul (MTH),
applied mathematician, functional differential equations
Mr.
Gerry Shaughnessy (MTH), statistician
Dr.
Qin Sheng (MTH),
computational partial differential equations
Dr.
Nicholas Tay (FIN), financial risk management and
derivatives
NEED FOR
ADDITIONAL STAFF
No
additional faculty from the Departments of Mathematics, Computer Science, or Engineering
Management & Systems are needed for this program. We will need two additional courses, one
course per term, to be delivered by the Department of Economics & Finance. We will work with the Department to develop
such courses. If faculty
for these courses are not immediately available, we will use an adjunct
faculty member with expertise in finance to cover these courses. We have researched and determine that adjunct
faculty with expertise in finance is available in Dayton. Dr. Carl Chen, William J. Hoben
Professor of Finance, enthusiastically endorses the development of the
program. He serves on the Advisory Board
of the program and he will play a leading role as we develop the long-term
solution for expertise in finance. There
are no additional needs to deliver the Business Survival Kit. Professionals and experts will be retained to
direct workshops. Students will pay a
registration fee to participate and that fee will be used to compensate the
workshop director.
COST
The
Department of Mathematics will seek new resources to implement a professional
M.S. program in Financial Mathematics. The resources we seek include adjunct faculty
in the Department of Mathematics, adjunct faculty with expertise in economics
and finance, marketing support (CGS/Sloan startup funds), marketing
consultation (CGS/Sloan startup funds), long distance learning development
(CGS/Sloan startup funds), and minimal student staffing support (CGS/Sloan
startup funds).
CGS/Sloan Startup Funds We have
obtained $47,965 in startup funds that we will use over a two year period.
Internal Funding Support The
University including the Office of the Provost, the College of Arts &
Sciences, and the Graduate School have
committed specific funds to supplement the CGS/Sloan funding for the program.
Marketing Costs Funds from the Sloan Foundation will
be used to offset all one-time costs, and initially, support continuing costs
in marketing support and marketing consultation. Tuition revenue will be targeted to cover
continuing costs related to marketing materials.
Distance Delivery of Select Courses Funds from the Sloan Foundation will be
used to offset all one time costs related to developing select courses to be
offered by distance delivery. We plan to
begin developing these courses this summer.
Curriculum Development Costs Five new courses will be developed.
The cost of curriculum development will be absorbed by the Department of
Mathematics (College of Arts & Sciences), and the Department of Economics
& Finance (School of Business Administration).
Co-Directors for the
Proposed Program The program
will be co-directed by the Chair of the Department of Mathematics and the
Graduate Program Director of the Department of Mathematics. The co-directors will operate in consultation
with the program Board of Advisors.
Costs will be absorbed by the Department of Mathematics (College of Arts
& Sciences).
Assistantships We currently
have 5 ˝ assistantships for the M.S. in Applied Mathematics program. We propose to use 1 ˝ of these assistantships
for the new program; that is we will use 4 assistantships for the M.S. program
in Applied Mathematics and 1 ˝ assistantships for the MS program in Financial
Mathematics. During the first year, we
have a new ˝ assistantship from the College of Arts & Sciences; that is
during the first year we will use 4 assistantships for the M.S. program in
Applied Mathematics and 2 assistantships for the M.S. program in Financial
Mathematics. Beginning with the third year, we have 1 more new full
assistantship from the College of Arts & Sciences; that is we will use 4
assistantships for the M.S. program in Applied Mathematics and 3 assistantships
for the M.S. program in Financial Mathematics.
External Support With guidance from the Co-Directors, the
Board of Advisors, the Graduate School and Corporate Relations, we will continually seek outside support. Opportunities include internships and student
support opportunities, such as group project ideas and resources, from local
and regional corporations. We will
actively pursue grant writing opportunities through federal or private funding
agencies. In recent years, the State of Ohio has initiated funding opportunities
with the motivation to support the economic environment in Ohio.
We anticipate that the program will promote the economic environment in Ohio and hence, we will actively seek
grant writing opportunities through state agencies.
Tuition Revenue The program
will generate tuition revenue due to part-time students and full-time students
pursuing a twelve-month program. A
realistic projection is that tuition revenue alone will offset the cost of the
program by the fourth year.
ADVISORY BOARD
The Advisory Board of the
professional Master of Science program in Financial
Mathematics serves multiple purposes in the development and maintenance of
the new degree program at the University of Dayton. The Board members have served as advisors as
we have constructed the curriculum for the new program, providing advice about
the proposed program’s academic credibility, current pertinence to the
financial industry, pertinence to local or regional needs in the financial
industry, and relation to mission and vision of the University of Dayton. The Advisory Board members are:
Mr.
Thomas Britt, Asset Liability Management, Nationwide Insurance, Columbus, Ohio
Carl
Chen, Ph.D., William J. Hoben Professor of Finance, University of Dayton
Paul
W. Eloe, Ph.D., Chair, Department of Mathematics, University of Dayton, ex officio
Mr.
Jon Gorney, Chief Financial Officer, National City
Bank, Louisville, Kentucky
Mr.
George Hanley, Chairman, Infinium Capital Management,
Chicago, Illinois
F.
E. James, Jr., Ph.D., President, James Investment Research, Inc.
Katy E. Marre,
Ph.D., Associate Vice President for Graduate Studies And
Research, Graduate School, University of Dayton
Mr.
Frank Petrie, Chief Financial Officer, Fifth Third Bank, Dayton, Ohio