Grad degree that mainly deals with probability/game theory/optimization? I'm currently working but am going to take classes as a non-degree student to beef up the math part of my background.
I've only taken calc 1-3, ODEs, linear algebra, logic, and decision theory so my interests aren't really defined.  Having said that, what kind of grad degree should I look into if these are my interests?  I don't want to do an econ ma/phd, but I'd like to explore game theory, etc.
Any thoughts would be great.
Also, if I do go back, take classes for a year (2/semester for a total of 4), I think I'll have a decent foundation but I'd have to apply the following year for admission into one of these programs (whatever one makes sense).  Is there any way around being stuck just waiting on admissions for a year?  I won't be competitive without those 4 classes...
Thanks again,
 A: Echoing ADF's comment, a graduate program in operations research might fit what you're looking for.  OR uses probability, statistics, modeling, optimization techniques, and sometimes game theory to solve complicated decision problems.
Your favorite school may have an OR program; you might just have to look in the right place and for the right name.  OR is closely related to (and is sometimes indistinguishable from) programs that go by the name "systems engineering" or "industrial engineering" or "management science."  It can be housed in a variety of locations, too, depending on the school: I think I've seen OR programs in engineering schools, business schools, math departments, computer science departments, as stand-alone departments, and even as an interdisciplinary center.  Some of these programs are easier to get into than those mentioned by ADF.
As far as preparation, a solid grounding in mathematics, especially linear algebra, real analysis, and probability, is likely more useful even than undergrad courses in optimization or game theory.  They'll teach you the latter material in grad school.  Proving you have a strong mathematical aptitude by good grades in your math courses and a solid performance on the quantitative section of the GRE are also more important than taking specific OR-type courses in undergrad.
"Financial engineering" is a much newer field.  There aren't too many schools that have such a program, although they are becoming more common.  (Besides those mentioned by 805801, I believe Columbia and NYU have one as well, and I'm sure there are others.)  I think Princeton is the only school with a department that's actually called "operations research and financial engineering," though. 
A: Many quantitative business PhD programs rely heavily on optimization, probability, and game theory.  Within business schools, relevant degrees often include (quantitative) marketing, decision sciences, finance, and accounting.  Business school websites will usually have a link to information about their phd programs. 
There are many perks to the business phd programs.  The academic job market is much stronger than in many other fields, and the salaries are among the highest in academia.  The interdisciplinary nature of the field can be rewarding for many -- the quantitative researchers often work alongside the Psychology-based experimental researchers who study management and consumer behavior.
