PhD in Mathematical Finance

The PhD in Mathematical Finance is for students seeking careers in research and academia. Doctoral candidates will have a strong affinity for quantitative reasoning and the ability to connect advanced mathematical theories with real-world phenomena. They will have an interest in the creation of complex models and financial instruments as well as a passion for in-depth analysis.

Residency

After matriculation into the PhD program, a candidate for the degree must register for and satisfactorily complete a minimum of 32 graduate-level credits at Boston University. More courses may be needed, depending on departmental requirements.

PhD in Mathematical Finance Curriculum

The curriculum for the PhD in Mathematical Finance is tailored to each incoming student, based on his or her academic background. Students will begin the program with a full course load to build a solid foundation in understanding not only math and finance but also the interplay between them in the financial world. As technology plays an increasingly larger role in financial models, computer science is also a part of the core coursework.

Once a foundation has been established, students work toward a dissertation. Working closely with a faculty advisor in a mutual area of interest, students will embark on in-depth research. It is also expected that doctoral students will perform teaching assistant duties, which may include lectures to master’s-level classes.

Course Requirements

The minimum course requirement is 16 courses (64 credits). Students’ course choices must be approved by the Mathematical Finance Director prior to registration each semester.

Fall Semester—Year I
  • GRS EC 701 Microeconomic Theory
  • GRS MA 711 Real Analysis
  • GSM FE 918 Doctoral Seminar in Finance
  • GRS MA 783 Advanced Stochastic Processes
Spring Semester—Year I
  • GSM FE 728 Fixed Income Securities
  • GRS EC 703 Advanced Microeconomic Theory
  • GSM FE 919 Derivative Securities
  • GRS MA 717 Functional Analysis
Fall Semester—Year II
  • GRS EC 712 Time Series Econometrics
  • GSM MF 772 Credit Risk
  • GRS EC 702 Macroeconomic Theory
  • GRS EC 716 Game Theory
Spring Semester—Year II
  • GRS EC 704 Advanced Macroeconomic Theory
  • GRS EC 745 Asset Pricing
  • GRS EC 744 Economic Dynamics or GRS EC 794 Financial Econometrics
  • GSM FE 920 Advanced Capital Markets Theory

Additional Requirements

Curriculum Paper

During coursework, candidates are expected to prepare a paper suitable for publication. This paper will typically be presented to the School of Management faculty and doctoral students before the end of the second Summer Session in the program. Students should consult with their department for individual department policies regarding the paper. The curriculum paper must be successfully completed and passed by the department in order for a student to sit for the comprehensive qualifying exam.

Qualifying Examination

Students must appear for a qualifying examination after completion of all coursework and the curriculum paper to demonstrate that they have:

  • acquired advanced knowledge of literature and theory in their area of specialization;
  • acquired advanced knowledge of research techniques; and
  • developed adequate ability to craft a research proposal.

Guidelines for the examination are available from the departments. Students who do not pass either the written and/or oral comprehensive examination will be reviewed by the Mathematical Finance Program Development Committee (MF PDC), which will determine if the student will be withdrawn from the PhD program. In addition, the PhD fellowship (if applicable) of any student who does not pass either the written and/or oral comprehensive examination on the first attempt will be suspended the semester after the exam was attempted.

Dissertation

Following successful completion of the qualifying examination, the student will develop a research proposal for the dissertation. The final phase of the doctoral program is the completion of an approved dissertation. The dissertation must be based on an original investigation that makes a substantive contribution to knowledge and demonstrates capacity for independent, scholarly research.

Doctoral candidates must register as continuing students for DS 999 Dissertation, a 2-credit course, for each subsequent regular semester until all requirements for the degree have been completed. PhD students graduating in September are required to register for Dissertation in Summer Session II preceding graduation.

Academic Standards

Time Limit for Degree Completion

After matriculation into the PhD program, a candidate for the degree must meet certain milestones within specified time periods (as noted in the table below) and complete all degree requirements within six years of the date of first registration. Those who fail to meet the milestones within the specified time, or who do not complete all requirements within six years, will be reviewed by the PhD PDC and may be dismissed from the program. A Leave of Absence does not extend the six-year time limit for degree completion.

Milestone Period
Complete all required courses (no incompletes) and curriculum paper, which must be approved by the department and submitted electronically by the student to the PhD program office. End of 3rd-year fall
Successfully complete comprehensive examination. End of 3rd year
Have a dissertation committee with at least three members, a committee chair, and a dissertation topic. End of 4th-year fall
Have a defended dissertation proposal. End of 4th year
Complete dissertation. End of 6th year

Performance Review

The Mathematical Finance Program Development Committee will review the progress of each doctoral candidate. Maintenance of a 3.30 cumulative grade point average in major courses and a minimum of 3.30 in all courses constitute good academic standing. A student’s overall grade point average is inclusive of all grades earned at courses taken at GSM, those taken at Boston University outside of GSM, all directed studies, and all courses taken at consortium schools through the Cross-Registration process. Students who are not in good academic standing will be allowed one semester to correct their status. Failure to do so may result in probation or dismissal from the program, at the discretion of the Program Development Committee.

Graduation Application

Students must submit a graduation application at least seven months before the date they expect to complete degree requirements. Students must initiate the process for graduation. The application is available in the Graduate Programs Office, and should be returned there for graduation in September, January, or May.

If graduation must be postponed beyond the semester for which the application is submitted, students should contact the PhD Associate Director to defer the date. If students wish to postpone their graduation date past the six-year time limit for completion, they must formally petition the PhD Program Development Committee (PDC) for an extension. The petition, which must include the reason(s) for the extension as well as a detailed timetable for completion, is subject to departmental and PDC approval.

PhD degree requirements are complete only when copies of the dissertation have been certified as meeting the standards of the Graduate School of Management and have been accepted by Mugar Memorial Library.