Computational Finance is an area of concentration within the PhD program in Computational Sciences that is administered by the Computational and Data Sciences Department of the College of Science at George Mason University.

There is a strong emphasis on the mathematical, statistical, and computational theory and methods as they are applied to problems in finance.

Current research in the program is focused on models for derivative pricing.

Monte Carlo simulation is used to evaluate and compare proposed models, as well as to provide insights for developing new models. The general classes of models include coupled diffusion models, diffusion models with random jumps, and GARCH-type models. Much interest is focused on the distributional properties of the random components in the models. Again, Monte Carlo simulation is useful for exploration of alternative distributions.