The finance discipline in the Management PhD program prepares you to become a productive researcher and teacher at a top university. Each student follows a slightly different path, depending on research interests, allowing you some flexibility in the curriculum below.
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: Fall 2024 | Spring 2024
Fall 2024 (08/26/2024 - 12/09/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
21294 | F2F | LEC | W | 6:30 - 9:10 p.m. | Jacobs 122 | Brace, Michael | |
11453 | F1F | LEC | TR | 11 a.m. - 12:20 p.m. | Jacobs 110 | Brace, Michael |
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 |
15191 | F2F | LEC | MW | 11 a.m. - 12:20 p.m. | Jacobs 112 | Tiu, Cristian I | |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
22313 | S1F | SEM | R | 3:45 - 6:35 p.m. | Unknown | Unknown |
(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 |
11367 | F2F | TUT | ARR | Arr Arr | Tiu, Cristian I | ||
11439 | F6F | TUT | ARR | Arr Arr | Jiang, Feng | ||
15364 | F7F | TUT | ARR | Arr Arr | Fotak, Veljko N | ||
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: Fall 2024
Fall 2024 (08/26/2024 - 12/09/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
16401 | F1F | SEM | W | 3:30 - 6:10 p.m. | Jacobs 318 | Wu, Chunchi |
• 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 |
11407 | F1F | TUT | ARR | Arr Arr | Fotak, Veljko N | ||
11369 | F5F | TUT | ARR | Arr Arr | Wu, Chunchi | ||
24556 | F8F | TUT | ARR | Arr Arr | Roesch, Dominik Maximilian | ||
11332 | F3F | TUT | ARR | Arr Arr | Suk, Inho | ||
11315 | F6F | TUT | ARR | Arr Arr | Huh, Sahn Wook | ||
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 |
21056 | S4F | TUT | ARR | Arr Arr | Tiu, Cristian I | ||
11167 | S1F | TUT | ARR | Arr Arr | Chung, Kee Ho | ||
20858 | S3F | TUT | ARR | Arr Arr | Fotak, Veljko N | ||
11049 | S5F | TUT | ARR | Arr Arr | Wu, Chunchi | ||
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.
If you are a doctoral student in the School of Management who is interested in obtaining an external area of focus in Economics, you should consult with your academic advisor. The following courses satisfy the Management doctoral core requirements in statistics (two courses) as well as the requirements for an external focus area in Economics (a grade point average of 3.0 is required in external focus area courses).
ECON 611 Mathematics for Economists I
ECON 613 Introduction to Econometric Theory
ECON 665 Microeconomic Theory I
Plus one course from the following:
ECON 614 Econometric Theory II
ECON 712 Econometrics: Time Series Analysis
ECON 731 Optimal Contract Theory
ECON 666 Microeconomic Theory II
MGO 797 Accounting workshops are required for one credit-hour.
If you are a doctoral student outside of the School of Management who is interested in obtaining an external area of focus in Finance, you should consult with your academic advisor. Course requirements are:
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: Fall 2024 | Spring 2024
Fall 2024 (08/26/2024 - 12/09/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
21294 | F2F | LEC | W | 6:30 - 9:10 p.m. | Jacobs 122 | Brace, Michael | |
11453 | F1F | LEC | TR | 11 a.m. - 12:20 p.m. | Jacobs 110 | Brace, Michael |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
11168 | S1F | LEC | MW | 11 a.m. - 12:20 p.m. | Jacobs 110 | Roesch, Dominik Maximilian |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
11172 | S1F | LEC | F | 10 a.m. - 12:40 p.m. | Jacobs 110 | Labert, Thomas A |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
11168 | S1F | LEC | MW | 11 a.m. - 12:20 p.m. | Jacobs 110 | Roesch, Dominik Maximilian |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
20849 | S1F | SEM | R | 3:45 - 6:45 p.m. | Jacobs 282 | Chung, Kee Ho |
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: Spring 2024
Spring 2024 (01/24/2024 - 05/07/2024)
Reg. Num. | Section | Type | Topic | Days | Time | Location | Instructor |
22313 | S1F | SEM | R | 3:45 - 6:35 p.m. | Unknown | Unknown |
Any of the 600-level courses may be waived if the student has had an equivalent prior course.
Refer to the PhD Handbook for complete information on: