As a PhD student in finance, you will research three basic areas, investments, corporate finance and financial institutions. See the curriculum below to guide you through your program with the support of your faculty advisor.
Typically four of the following:
This course provides students with a general understanding of the operation of capital markets and basic analytical tools of investment management. Specifically, the course covers such topics as principles of valuation, risk analysis, modern portfolio theory, Capital Asset Pricing Model (CAPM), market microstructure, index models, arbitrage pricing models, bonds and common stocks valuation, efficient market hypotheses, investment management, and option pricing models.
Credits: 3
Semesters offered: Spring 2024
Students may not take MGF 633 if they have taken M
Spring 2024 (01/24/2024 - 05/07/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 11166 | S1F | LEC | MW | 12:30 - 1:50 p.m. | Jacobs 112 | Chung, Kee Ho |
The course covers sophisticated approaches to investing and it has an introduction and three main parts. The introduction covers measures of performance and risk and methods to calculate them in closed form or from historical data. The first part of the course covers investment strategies across several asset classes, from traditional ones such as value or growth investing to strategies employed by hedge funds, such as arbitrage, option trading and other quant strategies. The second part of the course addresses portfolio construction, from assessing a utility function to the investor to constructing an optimal portfolio maximizing that utility. Investor types covered are individuals saving for retirement, speculators, university endowments or foundations, or pension funds. Finally, the last part of the course addresses the topic of risk measurement and management, with an emphasis of risks faced by decentralized organizations, such as funds of funds, foundations, or pension funds.
Credits: 3
Semesters offered: Fall 2024
Co-Requisite: MGF 633.
Fall 2024 (08/26/2024 - 12/09/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 11513 | F1F | LEC | MW | 2 - 3:20 p.m. | Frnczk 422 | Tiu, Cristian I |
"The course covers topics related to market microstructure, such as information asymmetry, liquidity, trading, and price efficiency. Course materials include path-breaking works in the past, recent developments in theories, and newly documented empirical evidence. The course will help equip students with the knowledge and methodological tools required to write scholarly articles that are potentially publishable in leading journals in finance and related fields."
Credits: 3
Semesters offered:
(MGF 743-required when open)
Instructional and practical experience in the skills and techniques of research through association with a faculty member actively engaged in research. Credit up to 6 hours, depending on the type and amount of research activities.
Credits: variable
Semesters offered: Fall 2024
Fall 2024 (08/26/2024 - 12/09/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 11437 | F3F | TUT | ARR | Arr Arr | Gattuso, Steven A | ||
| 22485 | F10F | TUT | ARR | Arr Arr | Roesch, Dominik Maximilian | ||
| 11390 | F1F | TUT | ARR | Arr Arr | Chung, Kee Ho |
The objective of this course is to familiarize students with foundational and mainstream research in information and capital markets. In the first part, the course covers the theory of asset pricing and methodology of empirical tests. In the second part, the course covers important studies on special topics in asset pricing. Students should have completed basic corporate, investment and econometric courses before taking this course.
Credits: 3
Semesters offered:
• MTH 558 Mathematical Finance
• ECON 712 Time Series Analysis
Doctoral research course in the area of finance.
Credits: variable
Semesters offered: Fall 2024 | Spring 2024
Fall 2024 (08/26/2024 - 12/09/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 21392 | F7F | TUT | ARR | Arr Arr | Chung, Kee Ho | ||
| 11340 | F2F | TUT | ARR | Arr Arr | Tiu, Cristian I |
Spring 2024 (01/24/2024 - 05/07/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 11037 | S2F | TUT | ARR | Arr Arr | Huh, Sahn Wook |
If research interests dictate, you may register for research seminars or other classes in related disciplines such as econometrics (e.g., ECON 712 Time Series Analysis; ECON 713 Advanced Econometrics; ECON 796 Special Topics in Econometrics), accounting (e.g. accounting research methodology, seminar in financial accounting), computer science (e.g. machine learning, big data, computing), industrial and systems engineering (e.g. simulations and stochastic models), etc. Some of these are subject to approval by your PhD advisor.
By the end of your second year, you will be required to present a full research paper of publishable quality. The Department of Finance uses the 2nd-year paper requirement in order to evaluate each student’s potential and ability to develop and execute research ideas independently. The evaluation of research potential/capabilities will be made by the Second-Year Paper Committee (hereafter ‘committee’). The committee is chosen by the student and should consist of at least two finance faculty members (including a committee chair and a committee member).
In the summer after the second year, you will be required to pass the comprehensive exam. The exam consists of two written parts and takes two days. On day one, you will be asked to answer questions inspired by the finance research classes you have taken. On the second day, you will be required to write a paper review for a hypothetical finance journal.
Students are encouraged to develop their knowledge in specialized topics through independent study and supervised research with the finance faculty. Such efforts may be undertaken with the objective of publishing a paper.
The following courses must be taken in the Economics Department in lieu of the core courses in statistics (two courses), economics (two courses), and research methodology (one course {the other methodology course requirement is satisfied by MGF 740}):
ECON 609 Macroeconomic Theory I
ECON 611 Mathematics for Economists I
ECON 612 Mathematics for Economists II
ECON 613 Introduction to Econometric Theory
ECON 665 Microeconomic Theory I
In addition, at least one of the following courses must be taken for the external focus area in Economics:
ECON 614 Econometric Theory II
ECON 615 Econometric Theory III
ECON 666 Microeconomic Theory II
ECON 712 Econometrics: Time Series Analysis
ECON 721 Industrial Organization I
ECON 731 Optimal Contract Theory
Each student is encouraged to take additional courses which develop their research skills depending on the student’s specialization. Further training in the following areas is very desirable:
a) Economics (see list above)
b) Statistics (e.g., STAT 521, 522)
c) Management Science
d) Mathematics (e.g., MATH 301, MATH 331- 332)
e) Research courses in the School of Management (e.g., MGA 617, MGA 618)
The student must maintain a grade point average of 3.0 (B) to fulfill the requirement for a minor in economics. However, we expect the student to achieve an average higher than this minimum.
Two semesters of workshop courses (MGO 795, 796) must be taken. The workshop is designed to expose the student to current research.
The finance faculty will conduct an annual review and interview of each student in the program in the spring semester. The purpose is two-fold: to determine whether the student is making adequate progress toward the degree, and to determine where the student’s interests are developing. The student’s progress will be based on: (a) course grades; (b) comprehensive exam grade; (c) workshop participation; (d) performance as an RA (Resident Assistant) or TA (Teaching Assistant); (e) dissertation development; and (f) overall progress toward the degree.
This course provides students with a general understanding of the operation of capital markets and basic analytical tools of investment management. Specifically, the course covers such topics as principles of valuation, risk analysis, modern portfolio theory, Capital Asset Pricing Model (CAPM), market microstructure, index models, arbitrage pricing models, bonds and common stocks valuation, efficient market hypotheses, investment management, and option pricing models.
Credits: 3
Semesters offered: Spring 2024
Students may not take MGF 633 if they have taken M
Spring 2024 (01/24/2024 - 05/07/2024)
| Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
| 11166 | S1F | LEC | MW | 12:30 - 1:50 p.m. | Jacobs 112 | Chung, Kee Ho |
Students taking this course should expect to learn about financial derivatives. Among others, students will learn about how to price financial derivatives and how to incorporate various real-world frictions into binomial trees and stochastic processes (such as underlying the commonly used Black & Scholes model). In a case-study we will use R programming to replicate the risk-neutral price of a variance swap (underlying the so called Volatility Index or VIX). The course will be of particular interest for students who contemplate pursuing a career in the financial industry, e.g. as a Quantitative Analyst. The required prior courses depend on your trajectory (e.g., MGF 633 "Investment Management" or MGF 634 "Quantitative Methods in Finance"). Please consult your study guide for details. In general, students are expected to possess good knowledge of mathematics and statistics. Students should also feel comfortable with Excel and some basic programming knowledge will be helpful. Mathematical, statistical, and Excel skills required for this course will be reviewed during the course.
Credits: 3
Semesters offered:
This course provides an in-depth treatment of corporate finance concepts for all finance majors, with the purpose of furthering students' understanding of major corporate financial policies and decisions. These decisions include choosing between competing investment opportunities, measuring risk and return, how to value a business, how much debt to issue, how much equity to issue, what level of dividend to payout, and incentive structure for managers, and so on. The course starts with a discussion on corporate financial goals and corporate governance issues. It then proceeds to cover topics that center on corporate investment decisions, corporate valuation, and capital structure issues.
Credits: 3
Semesters offered:
MGF 740 Theory of Finance
Students taking this course should expect to learn about financial derivatives. Among others, students will learn about how to price financial derivatives and how to incorporate various real-world frictions into binomial trees and stochastic processes (such as underlying the commonly used Black & Scholes model). In a case-study we will use R programming to replicate the risk-neutral price of a variance swap (underlying the so called Volatility Index or VIX). The course will be of particular interest for students who contemplate pursuing a career in the financial industry, e.g. as a Quantitative Analyst. The required prior courses depend on your trajectory (e.g., MGF 633 "Investment Management" or MGF 634 "Quantitative Methods in Finance"). Please consult your study guide for details. In general, students are expected to possess good knowledge of mathematics and statistics. Students should also feel comfortable with Excel and some basic programming knowledge will be helpful. Mathematical, statistical, and Excel skills required for this course will be reviewed during the course.
Credits: 3
Semesters offered:
This course focuses on the theory of finance and its application to corporate policy decision analyses. Theoretical and empirical papers from various journals will be covered. Students will be exposed to both classical papers on selected topics and the latest development in corporate finance theory.
Credits: 3
Semesters offered:
MGF 742 Information and Capital Markets
"The course covers topics related to market microstructure, such as information asymmetry, liquidity, trading, and price efficiency. Course materials include path-breaking works in the past, recent developments in theories, and newly documented empirical evidence. The course will help equip students with the knowledge and methodological tools required to write scholarly articles that are potentially publishable in leading journals in finance and related fields."
Credits: 3
Semesters offered:
Any of the 600-level courses may be waived if the student has had an equivalent prior course.
Independent study may also be used to help a student develop specialized knowledge in finance.
Students are required to take the morning segment of the finance comprehensive exam. The exam may be taken only twice. No minor exam is required if the student achieves a 3.5 GPA in the minor courses.