{"id":14558,"date":"2025-04-18T13:18:36","date_gmt":"2025-04-18T17:18:36","guid":{"rendered":"https:\/\/www.bu.edu\/questrom\/?page_id=14558"},"modified":"2026-05-27T13:42:48","modified_gmt":"2026-05-27T17:42:48","slug":"phd-mf","status":"publish","type":"page","link":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/","title":{"rendered":""},"content":{"rendered":"<div class=\"wp-block-amp-picture--cover alignfull hero-image-banner wp-block-amp-picture\">\n\t<picture\n\t\tclass=\"wp-block-amp-picture__picture\"\n\t\t\t\t\tstyle=\"width: auto; max-width: 100%;\"\n\t\t\t>\n\t\t\t\t\t\t\t<source srcset=\"https:\/\/www.bu.edu\/questrom\/wp-content\/uploads\/sites\/2\/2026\/05\/Netflix-Case-Competition-208-Hero-1920x795-1-1728x795.webp\" media=\"(min-width: 1920px)\" \/>\n\t\t\t\t\t\t\t\t\t\t<source srcset=\"https:\/\/www.bu.edu\/questrom\/wp-content\/uploads\/sites\/2\/2026\/05\/Netflix-Case-Competition-208-Hero-1920x795-1-1440x596.webp\" media=\"(min-width: 1080px)\" \/>\n\t\t\t\t\t\t\t\t\t\t<source srcset=\"https:\/\/www.bu.edu\/questrom\/wp-content\/uploads\/sites\/2\/2026\/05\/Netflix-Case-Competition-208-Hero-1920x795-1-1080x609.webp\" media=\"(min-width: 768px)\" \/>\n\t\t\t\t\t\t\t\t\t\t<source srcset=\"https:\/\/www.bu.edu\/questrom\/wp-content\/uploads\/sites\/2\/2026\/05\/Netflix-Case-Competition-208-Hero-1920x795-1.webp\" media=\"(max-width: 768px)\" \/>\n\t\t\t\t\t\t\t<img\n\t\tid=\"wp-block-amp-picture-6a2670880f4fd\"\n\t\t\tsrc=\"https:\/\/www.bu.edu\/questrom\/wp-content\/uploads\/sites\/2\/2026\/05\/Netflix-Case-Competition-208-Hero-1920x795-1-768x609.webp\"\n\t\t\tclass=\"wp-block-amp-picture__image wp-block-amp-picture__image--cover\"\n\t\t\talt=\"\"\n\t\t\t\t\t\/>\n\t\t\t\t<div class=\"wp-block-amp-picture__overlay\" style=\"opacity: 0.6\"><\/div>\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/picture>\n\t\n\n<div class=\"wp-block-group alignfull hero-image-banner__group has-global-padding is-layout-constrained wp-block-group-is-layout-constrained\">\n<div class=\"wp-block-group hero-image-banner__columns is-content-justification-left is-nowrap is-layout-flex wp-container-core-group-is-layout-12f0d32a wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group alignfull wp-container-content-9cfa9a5a is-layout-flow wp-container-core-group-is-layout-1322f107 wp-block-group-is-layout-flow\">\n<div class=\"wp-block-group has-global-padding is-content-justification-left is-layout-constrained wp-container-core-group-is-layout-1f8ac0a3 wp-block-group-is-layout-constrained\">\n<h1 class=\"wp-block-heading hero-image-banner__heading has-white-color has-text-color has-h-1-font-size\" style=\"line-height:0.9;text-transform:uppercase\">PhD in Mathematical Finance<\/h1>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n\n<\/div>\n\n<style>\n\t#wp-block-amp-picture-6a2670880f4fd {\n\t\tobject-position: 50% 50%;\n\t}\n\t\t@media screen and (max-width: 768px) {\n\t\t#wp-block-amp-picture-6a2670880f4fd {\n\t\t\tobject-position: 84% 48%;\n\n\t\t}\n\t}\n\t\t\t\t@media screen and (min-width: 768px) {\n\t\t#wp-block-amp-picture-6a2670880f4fd {\n\t\t\tobject-position: 50% 50%;\n\n\t\t}\n\t}\n\t\t\t\t@media screen and (min-width: 1080px) {\n\t\t#wp-block-amp-picture-6a2670880f4fd {\n\t\t\tobject-position: 82% 52%;\n\n\t\t}\n\t}\n\t\t\t\t@media screen and (min-width: 1920px) {\n\t\t#wp-block-amp-picture-6a2670880f4fd {\n\t\t\tobject-position: 50% 50%;\n\n\t\t}\n\t}\n\t\t\t<\/style>\n\n\n<div aria-expanded=\"false\" class=\"alignfull wp-block-amp-section-nav\"\tdata-current=\"14558\"\n\t>\n\t<div class=\"section-nav__bar\">\n\t\t\t\t\t<button class=\"section-nav__toggle section-nav__closed\" title=\"Open section navigation\" style=\"background-color: #9EE2D5\" data-cta-color=\"#9EE2D5\">\n\t\t\t\t<div class=\"section-nav__closed-circle\">\n\t\t\t\t\t<div class=\"section-nav__closed-circle--inner\" style=\"background-color: #9EE2D5\"><\/div>\n\t\t\t\t\t<svg width=\"6\" height=\"23\" viewBox=\"0 0 6 23\" fill=\"none\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\">\n\t\t\t\t\t\t<circle cx=\"2.58691\" cy=\"2.5\" r=\"2.5\" fill=\"#A71930\"\/>\n\t\t\t\t\t\t<circle cx=\"2.58691\" cy=\"11.5\" r=\"2.5\" fill=\"#A71930\"\/>\n\t\t\t\t\t\t<circle cx=\"2.58691\" cy=\"20.5\" r=\"2.5\" fill=\"#A71930\"\/>\n\t\t\t\t\t<\/svg>\n\t\t\t\t<\/div>\n\t\t\t\t<span class=\"section-nav__closed-title\" style=\"color: #000\">PhD Programs Menu<\/h6>\n\t\t\t<\/button>\n\t\t\t<div class=\"section-nav__overlay\">\n\t\t\t<\/div>\n\t\t\t<div class=\"section-nav__drawer\">\n\t\t\t\t<div class=\"section-nav__header\" style=\"background-color: #9EE2D5\">\n\t\t\t\t\t<button type=\"button\" class=\"section-nav__toggle section-nav__close\" aria-label=\"Close section navigation\">\n\t\t\t\t\t\t<svg width=\"31\" height=\"30\" viewBox=\"0 0 31 30\" fill=\"none\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\">\n\t\t\t\t\t\t\t<path d=\"M22.9623 7.1374C22.4748 6.6499 21.6873 6.6499 21.1998 7.1374L15.0873 13.2374L8.9748 7.1249C8.4873 6.6374 7.6998 6.6374 7.2123 7.1249C6.7248 7.6124 6.7248 8.3999 7.2123 8.8874L13.3248 14.9999L7.2123 21.1124C6.7248 21.5999 6.7248 22.3874 7.2123 22.8749C7.6998 23.3624 8.4873 23.3624 8.9748 22.8749L15.0873 16.7624L21.1998 22.8749C21.6873 23.3624 22.4748 23.3624 22.9623 22.8749C23.4498 22.3874 23.4498 21.5999 22.9623 21.1124L16.8498 14.9999L22.9623 8.8874C23.4373 8.4124 23.4373 7.6124 22.9623 7.1374Z\" fill=\"#000\"\/>\n\t\t\t\t\t\t<\/svg>\n\t\t\t\t\t<\/button>\n\t\t\t\t\t<span class=\"section-nav__header-title\" style=\"color: #000\">PhD Programs Menu<\/h6>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"section-nav__body\">\n\t\t\t\t\t\t\t\t\t\t\t\t<div class=\"wp-block-button is-style-link-cta-back\">\n\t\t\t\t\t\t\t\t<a class=\"wp-block-button__link wp-element-button\" href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/\"\n\t\t\t\t\t\t\t\ttitle=\"Back to PhD Programs\">\n\t\t\t\t\t\t\t\tBack to PhD Programs\t\t\t\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t\t\t\t\t\t\t<ul class=\"section-nav__links\">\n\t\t\t\t\t\t<li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/admissions\/\" class=\"section-nav__link\" title=\"Admissions\" data-id=\"3887\">Admissions<\/a><\/li><li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/placements\/\" class=\"section-nav__link\" title=\"Placements\" data-id=\"3886\">Placements<\/a><\/li><li>\n<div class='section-nav__content section-nav__content--hidden' data-id='3882'><div class=\"wp-block-button is-style-link-cta-back\">\n\t\t\t<button class=\"wp-block-button__link wp-element-button section-nav__link--back\" aria-label=\"Back\">PhD Programs<\/button><\/div><span class='section_nav__subtitle'>Academics<\/span><ul class='section-nav__links'>\n<a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/\" class=\"section-nav__link\" title=\"Academics\" data-id=\"3882\">Academics<\/a>\t<li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\" class=\"section-nav__link section-nav__link--active\" title=\"\" data-id=\"14558\"><\/a><\/li>\t<li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-ba\/\" class=\"section-nav__link\" title=\"PhD in Business Administration\" data-id=\"14555\">PhD in Business Administration<\/a><\/li>\t<li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-in-business-economics\/\" class=\"section-nav__link\" title=\"PhD in Business Economics\" data-id=\"17402\">PhD in Business Economics<\/a><\/li><\/ul><\/div>\n<a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/\" class=\"section-nav__link section-nav__link--toggle\" title=\"Academics\" data-id=\"3882\">Academics<svg width=\"6\" height=\"8\" viewBox=\"0 0 6 8\" fill=\"none\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\">\n\t<path d=\"M2.61809 7.29363L5.20791 4.70381C5.59788 4.31383 5.59788 3.68388 5.20791 3.2939L2.61809 0.70408C1.98813 0.0741224 0.908203 0.524092 0.908203 1.41403L0.908203 6.59368C0.908203 7.48362 1.98813 7.92359 2.61809 7.29363Z\" fill=\"black\"\/>\n\t<\/svg>\n\t<\/a><\/li><li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/research\/\" class=\"section-nav__link\" title=\"Research\" data-id=\"3883\">Research<\/a><\/li><li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/fellowships\/\" class=\"section-nav__link\" title=\"Fellowships\" data-id=\"3884\">Fellowships<\/a><\/li><li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/class-profile\/\" class=\"section-nav__link\" title=\"Class Profile\" data-id=\"3974\">Class Profile<\/a><\/li><li><a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/phd-student-directory\/\" class=\"section-nav__link\" title=\"PhD Directory\" data-id=\"11046\">PhD Directory<\/a><\/li>\t\t\t\t\t\t<\/ul>\n\t\t\t\t\t\t<ul class=\"section-nav__ctas\">\n\t\t\t\t\t\t\t\t\t\t\t\t<\/ul>\n\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t<\/div>\n\t\t\t\t<div class=\"section-nav__breadcrumbs\">\n\t\t\t\t\t\t\t\t<a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/\" title=\"PhD Programs\">\n\t\t\t\t\t\tPhD Programs\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t<span class=\"breadcrumb-separator\"><\/span>\n\t\t\t\t\t\t\t\t<a href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/\" title=\"Academics\">\n\t\t\t\t\t\tAcademics\t\t\t\t\t<\/a>\n\t\t\t\t\t\t\t\t<span class=\"breadcrumb-separator\"><\/span>\n\t\t\t\t\t\t<span class=\"current-page\">\n\t\t\t\t\t\t\t<\/span>\n\t\t<\/div>\n\t<\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-group has-global-padding is-layout-constrained wp-block-group-is-layout-constrained\" style=\"padding-top:var(--wp--preset--spacing--310);padding-bottom:var(--wp--preset--spacing--310)\">\n<div class=\"wp-block-group is-vertical is-content-justification-stretch is-layout-flex wp-container-core-group-is-layout-85446c76 wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group is-vertical is-content-justification-stretch is-layout-flex wp-container-core-group-is-layout-ac3fef3b wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group community-columns is-nowrap is-layout-flex wp-container-core-group-is-layout-b3c38d55 wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group community-heading wp-container-content-e7bfab89 is-vertical is-layout-flex wp-container-core-group-is-layout-864899b7 wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group has-global-padding is-content-justification-left is-layout-constrained wp-container-core-group-is-layout-c4d06299 wp-block-group-is-layout-constrained\">\n<h2 class=\"wp-block-heading has-h-1-font-size\" id=\"mathfinance-reqs\" style=\"line-height:0.9\">PhD in Mathematical Finance Course Requirements<\/h2>\n<\/div>\n\n\n\n<div class=\"wp-block-group has-global-padding is-content-justification-left is-layout-constrained wp-container-core-group-is-layout-c4d06299 wp-block-group-is-layout-constrained\">\n<p>The PhD in Mathematical Finance curriculum is tailored to each incoming student, based on their academic background. Students choose from a range of courses offered at Questrom and other Boston University schools to establish a strong foundation in both mathematics and finance, with a focus on how they interact in the financial world. <\/p>\n<\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-group community-headline is-vertical is-content-justification-right is-layout-flex wp-container-core-group-is-layout-39769c5a wp-block-group-is-layout-flex\">\n<div class=\"wp-block-group is-vertical is-layout-flex wp-container-core-group-is-layout-8e60f446 wp-block-group-is-layout-flex\" style=\"border-left-color:var(--wp--preset--color--questrom-red);border-left-width:1px;padding-right:var(--wp--preset--spacing--2);padding-left:var(--wp--preset--spacing--2)\">\n<h3 class=\"wp-block-heading has-h-4-font-size\" style=\"font-style:normal;font-weight:500\">The Math Finance Curriculum<\/h3>\n\n\n\n<p class=\"has-p-2-font-size\" style=\"line-height:1.5\">The PhD in Math Finance attracts students with a deep interest in the creation of complex models and financial instruments as well as a passion for in-depth analysis. If that sounds like you, <strong><span style=\"text-decoration: underline;\">download the math finance curriculum sheet<\/span><\/strong> by clicking the link below.<\/p>\n\n\n\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button is-style-link-cta\"><a class=\"wp-block-button__link wp-element-button\" href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/#math-finance\">Math Finance Curriculum  Sheet<\/a><\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-group has-global-padding is-layout-constrained wp-block-group-is-layout-constrained\">\n<div style=\"height:var(--wp--preset--spacing--60)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>Given the growing importance of technology in financial modeling, computer science is also integrated into the coursework. All first-year students participate in a shared academic experience by enrolling in DS906 Philosophy and Science of Research in the fall semester.<\/p>\n<\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-group hero-slider__container has-global-padding is-layout-constrained wp-block-group-is-layout-constrained\">\n<p>The following is a typical course schedule:<\/p>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading has-h-4-font-size\">Year 1: Fall<\/h3>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--50)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible collapsible-group\">\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"5c741cfe-6c3f-400e-9b5e-0217613b6b7a-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"5c741cfe-6c3f-400e-9b5e-0217613b6b7a-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500;text-transform:capitalize\">Microeconomics Theory 1 (GRSEC701)<\/h6>\n<\/button>\n\n\n\n<div id=\"5c741cfe-6c3f-400e-9b5e-0217613b6b7a-content\" role=\"region\" aria-labelledby=\"5c741cfe-6c3f-400e-9b5e-0217613b6b7a-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Neoclassical general equilibrium theory. Topics covered include consumption, production, existence of competitive equilibrium, fundamental welfare theorems, externalities, and uncertainty.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"f0ec902b-404d-4357-91ec-aaea9d075500-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"f0ec902b-404d-4357-91ec-aaea9d075500-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Real Analysis (GRSMA711)<\/h6>\n<\/button>\n\n\n\n<div id=\"f0ec902b-404d-4357-91ec-aaea9d075500-content\" role=\"region\" aria-labelledby=\"f0ec902b-404d-4357-91ec-aaea9d075500-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Measure theory and integration on measure spaces, specialization to integration on locally compact spaces, and the Haar integral. Lp spaces, duality, and representation theorems. Introduction to Banach and Hilbert spaces, open mapping theorem, spectral theorem for Hermitian operators, and compact and Fredholm operators.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"a6934aff-fc0f-4eb9-a4ea-822110081e82-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"a6934aff-fc0f-4eb9-a4ea-822110081e82-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Probability Theory 1 (GRSMA779)<\/h6>\n<\/button>\n\n\n\n<div id=\"a6934aff-fc0f-4eb9-a4ea-822110081e82-content\" role=\"region\" aria-labelledby=\"a6934aff-fc0f-4eb9-a4ea-822110081e82-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Introduction to probability with measure theoretic foundations. Fundamentals of measure theory. Probability space. Measurable functions and random variables. Expectation and conditional expectation. Zero-one laws and Borel-Cantelli lemmas. Characteristic functions. Modes of convergence. Uniform integrability. Skorokhod representation theorem. Basic limit theorems.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"39c6ced1-fb75-434c-9c9b-d6e680c45a89-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"39c6ced1-fb75-434c-9c9b-d6e680c45a89-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Philosophy and Science of Research (QSTDS906)<\/h6>\n<\/button>\n\n\n\n<div id=\"39c6ced1-fb75-434c-9c9b-d6e680c45a89-content\" role=\"region\" aria-labelledby=\"39c6ced1-fb75-434c-9c9b-d6e680c45a89-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course introduces students to research. The class provides a brief introduction to the philosophy of science and debates about the nature of theory before diving thoroughly into different research methods. Students are exposed to research methods from their own and adjacent fields ranging from causal inference and experiments to qualitative research methods. The last part of the class introduces students to issues around diversity, ethics, and equity in research. As part of the class students will complete the introductory ethics modules that are required by the university. Students will be graded on their class participation, a research proposal which is due at the end of the class, and their feedback to other students on their research proposals.<\/p>\n<\/div><\/div>\n<\/div>\n<\/div>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading has-h-4-font-size\">Year 1: Spring<\/h3>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--50)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible collapsible-group\">\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"4f3e96f2-44e2-4887-8f40-04a081399c35-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"4f3e96f2-44e2-4887-8f40-04a081399c35-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500;text-transform:capitalize\">Advanced Microeconomic Theory (GRSEC703)<\/h6>\n<\/button>\n\n\n\n<div id=\"4f3e96f2-44e2-4887-8f40-04a081399c35-content\" role=\"region\" aria-labelledby=\"4f3e96f2-44e2-4887-8f40-04a081399c35-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Noncooperative game theory. Economics of information: adverse selection, signaling, principal agent problem, moral hazard and introduction to mechanism design.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"0b51090d-3a54-4402-8854-17d7c6c267af-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"0b51090d-3a54-4402-8854-17d7c6c267af-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Probability Theory II (GRSMA780)<\/h6>\n<\/button>\n\n\n\n<div id=\"0b51090d-3a54-4402-8854-17d7c6c267af-content\" role=\"region\" aria-labelledby=\"0b51090d-3a54-4402-8854-17d7c6c267af-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Probability topics important in applications and research. Laws of large numbers. Three series theorem. Central limit theorems for independent and non-identically distributed random variables. Speed of convergence. Large deviations. Laws of the iterated logarithm. Stable and infinitely divisible distributions. Discrete time martingales and applications.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"092830b6-553a-4fc5-b02b-f47b139d52af-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"092830b6-553a-4fc5-b02b-f47b139d52af-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Advanced Capital Markets (QSTFE920)<\/h6>\n<\/button>\n\n\n\n<div id=\"092830b6-553a-4fc5-b02b-f47b139d52af-content\" role=\"region\" aria-labelledby=\"092830b6-553a-4fc5-b02b-f47b139d52af-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course provides a comprehensive and in-depth treatment of modern asset pricing theories. Extensive use is made of continuous time stochastic processes, stochastic calculus and optimal control. In particular, martingale methods are employed to address the following topics: (i) optimal consumption- portfolio policies and (ii) asset pricing in general equilibrium models. Advances involving non-separable preferences, incomplete information and agent diversity will be discussed.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"2805197f-cadf-407f-a4cf-88b67e34fd25-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"2805197f-cadf-407f-a4cf-88b67e34fd25-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">One Elective<\/h6>\n<\/button>\n\n\n\n<div id=\"2805197f-cadf-407f-a4cf-88b67e34fd25-content\" role=\"region\" aria-labelledby=\"2805197f-cadf-407f-a4cf-88b67e34fd25-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Add one elective.<\/p>\n<\/div><\/div>\n<\/div>\n<\/div>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n<\/div>\n\n\n\n<h3 class=\"wp-block-heading has-h-4-font-size\">Year 2: Fall<\/h3>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--50)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible collapsible-group\">\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"1deb6daf-f1b7-4c14-8ec7-b4ead9610fde-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"1deb6daf-f1b7-4c14-8ec7-b4ead9610fde-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Macroeconomic Theory (GRSEC702)<\/h6>\n<\/button>\n\n\n\n<div id=\"1deb6daf-f1b7-4c14-8ec7-b4ead9610fde-content\" role=\"region\" aria-labelledby=\"1deb6daf-f1b7-4c14-8ec7-b4ead9610fde-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Introduction to topics and tools in macroeconomics. Dynamic programming and rational expectations; neoclassical growth and real business cycle models; investment and financial markets; analysis of frictional labor markets.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"3d8bc057-c061-4cbc-89f7-8a86bc51dd27-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"3d8bc057-c061-4cbc-89f7-8a86bc51dd27-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Advanced Stochastic Processes (GRSMA783)<\/h6>\n<\/button>\n\n\n\n<div id=\"3d8bc057-c061-4cbc-89f7-8a86bc51dd27-content\" role=\"region\" aria-labelledby=\"3d8bc057-c061-4cbc-89f7-8a86bc51dd27-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Proof-based approach to stochastic processes. Brownian motion. Continuous martingales. Stochastic integration. Ito formula. Girsanov&#8217;s Theorem. Stochastic differential equations. Feynman-Kac formula. Markov Processes. Local times. Levy processes. Semimartingales and the general stochastic integral. Stable processes. Fractional Brownian motion.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"1b7cfa61-6eaf-4d5b-87f4-6274f37724ed-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"1b7cfa61-6eaf-4d5b-87f4-6274f37724ed-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Doctoral Seminar in Finance (QSTFE918)<\/h6>\n<\/button>\n\n\n\n<div id=\"1b7cfa61-6eaf-4d5b-87f4-6274f37724ed-content\" role=\"region\" aria-labelledby=\"1b7cfa61-6eaf-4d5b-87f4-6274f37724ed-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This doctoral course, is designed to provide students with an introduction to financial economics. This lecture-based course will cover no arbitrage conditions, preferences and risk aversion, portfolio selection, the capital asset pricing model, asset pricing and dynamic asset pricing. In addition to lectures, this class will include readings and assignments. Open to MBA students with faculty member&#8217;s permission. Must have strong quantitative background and several courses in finance or economics.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"8e96454a-ae3c-43cb-bf93-c150eb6dc102-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"8e96454a-ae3c-43cb-bf93-c150eb6dc102-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Dynamic Asset Pricing (QSTFE921)<\/h6>\n<\/button>\n\n\n\n<div id=\"8e96454a-ae3c-43cb-bf93-c150eb6dc102-content\" role=\"region\" aria-labelledby=\"8e96454a-ae3c-43cb-bf93-c150eb6dc102-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course provides a comprehensive and in-depth treatment of modern asset pricing theories. Extensive use is made of continuous time stochastic processes, stochastic calculus and optimal control. Particular emphasis will be placed on (i) stochastic calculus with jumps; (ii) asset pricing models with jumps; (iii) the Hamilton-Jacobi-Bellman equation and stochastic control; (iv) numerical methods for stochastic control problems in finance. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n<\/div>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading has-h-4-font-size\">Year 2: Spring<\/h3>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--50)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible collapsible-group\">\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"e28f35f0-87b9-437a-bceb-7f0fe825d42d-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"e28f35f0-87b9-437a-bceb-7f0fe825d42d-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-style:normal;font-weight:500\">Advanced Macroeconomic Theory (QSTEC704)<\/h6>\n<\/button>\n\n\n\n<div id=\"e28f35f0-87b9-437a-bceb-7f0fe825d42d-content\" role=\"region\" aria-labelledby=\"e28f35f0-87b9-437a-bceb-7f0fe825d42d-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Effects of taxation and government spending; monetary non-neutrality and nominal rigidities; optimal fiscal and monetary policy.<\/p>\n<\/div><\/div>\n<\/div>\n<\/div>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--60)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h4 class=\"wp-block-heading has-h-6-font-size\"> Choose Three Electives:<\/h4>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible collapsible-group\">\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"0d4ca203-80ab-41dc-8d4f-c5b03121646e-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"0d4ca203-80ab-41dc-8d4f-c5b03121646e-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500;text-transform:capitalize\">Dynamic Portfolio Theory (QSTMF730)<\/h6>\n<\/button>\n\n\n\n<div id=\"0d4ca203-80ab-41dc-8d4f-c5b03121646e-content\" role=\"region\" aria-labelledby=\"0d4ca203-80ab-41dc-8d4f-c5b03121646e-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">A concise introduction to recent results on optimal dynamic consumption- investment problems is provided. Lectures will cover standard mean-variance theory, dynamic asset allocation, asset-liability management, and lifecycle finance. The main focus of this course is to present a financial engineering approach to dynamic asset allocation problems of institutional investors such as pension funds, mutual funds, hedge funds, and sovereign wealth funds. Numerical methods for implementation of asset allocation models will also be presented. The course also covers empirical features and practical implementation of dynamic portfolio problems. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"17f28500-b401-4f7a-8b67-00e23598cc4a-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"17f28500-b401-4f7a-8b67-00e23598cc4a-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Advanced Derivatives (QSTMF770)<\/h6>\n<\/button>\n\n\n\n<div id=\"17f28500-b401-4f7a-8b67-00e23598cc4a-content\" role=\"region\" aria-labelledby=\"17f28500-b401-4f7a-8b67-00e23598cc4a-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course provides a comprehensive and in-depth treatment of valuation methods for derivative securities. Extensive use is made of continuous time stochastic processes, stochastic calculus and martingale methods. The main topics to be addressed include (i) European option valuation, (ii) Exotic options, (iii) Multiasset options, (iv) Stochastic interest rate, (v) Stochastic volatility, (vi) American options and (vii) Numerical methods. Additional topics may be covered depending on time constraints. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"dbf13343-9371-48f2-a94e-10b747edfc7d-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"dbf13343-9371-48f2-a94e-10b747edfc7d-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Credit Risk (QSTMF772)<\/h6>\n<\/button>\n\n\n\n<div id=\"dbf13343-9371-48f2-a94e-10b747edfc7d-content\" role=\"region\" aria-labelledby=\"dbf13343-9371-48f2-a94e-10b747edfc7d-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">The derivatives market has experienced tremendous growth during the past decade as credit risk has become a major factor fostering rapid financial innovation. This course will provide an in-depth approach to credit risk modelling for the specific purpose of pricing fixed income securities and credit-risk derivatives. The course will explore the nature of factors underlying credit risk and develop models incorporating default risk. Types and structures of credit-derivatives will be presented and discussed. Valuation formulas for popular credit-derivatives will be derived. Numerical methods, for applications involving credit derivative structures and default risks, will be presented. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"83e04769-d3e7-4620-b8f2-119c7a31fc07-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"83e04769-d3e7-4620-b8f2-119c7a31fc07-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Deep Learning, Statistical Learning (QSTMF850)<\/h6>\n<\/button>\n\n\n\n<div id=\"83e04769-d3e7-4620-b8f2-119c7a31fc07-content\" role=\"region\" aria-labelledby=\"83e04769-d3e7-4620-b8f2-119c7a31fc07-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course explores algorithmic and numerical schemes used in practice for the pricing and hedging of financial derivative products. The focus of this course lies on data analysis. It covers such topics as: stochastic models with jumps, advanced simulation methods, optimization routines, and tree-based approaches. It also introduces machine learning concepts and methodologies, including cross validation, dimensionality reduction, random forests, neural networks, clustering, and support vector machines. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"c7d6a14a-d47f-430c-9b2c-9182e08e0db2-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"c7d6a14a-d47f-430c-9b2c-9182e08e0db2-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Macroeconomics and Financial Markets (GRSEC745)<\/h6>\n<\/button>\n\n\n\n<div id=\"c7d6a14a-d47f-430c-9b2c-9182e08e0db2-content\" role=\"region\" aria-labelledby=\"c7d6a14a-d47f-430c-9b2c-9182e08e0db2-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Topics and approaches combine macroeconomics and finance, with an emphasis on developing and testing theories that involve linkages between financial markets and the macro economy.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"758fba23-8368-4857-8096-77b5ccf12ed7-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"758fba23-8368-4857-8096-77b5ccf12ed7-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500;text-transform:capitalize\">Fixed Income Securities (QSTMF728)<\/h6>\n<\/button>\n\n\n\n<div id=\"758fba23-8368-4857-8096-77b5ccf12ed7-content\" role=\"region\" aria-labelledby=\"758fba23-8368-4857-8096-77b5ccf12ed7-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">The course focuses on the valuation, hedging and management of fixed income securities. Theoretical and empirical term structure concepts are introduced. Short rate models and the Heath-Jarrow-Morton methodology are presented. Market models and their application for the valuation of forwards, swaps, caps, floors and swaptions, and other interest rate derivatives are discussed in detail. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"69d22c4a-337c-473c-ab31-36625622ddf4-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"69d22c4a-337c-473c-ab31-36625622ddf4-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500;text-transform:capitalize\">Functional Analysis I (CASMA717)<\/h6>\n<\/button>\n\n\n\n<div id=\"69d22c4a-337c-473c-ab31-36625622ddf4-content\" role=\"region\" aria-labelledby=\"69d22c4a-337c-473c-ab31-36625622ddf4-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Graduate Prerequisites: (GRSMA711) or equivalent. &#8211; Theory of Banach and Hilbert spaces, and Hahn-Banach and separation theorems. Dual spaces. Banach contraction mapping theorem. Reflexivity and Krein-Milman theorem. Operator theory. Brouwer-Schauder fixed-point theorems. Applications to probability, dynamical systems, and applied mathematics.<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"ead8f259-9100-4694-8a5e-4bfb2f120b51-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"ead8f259-9100-4694-8a5e-4bfb2f120b51-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Stochastic Methods in Asset Pricing II (QSTMF794)<\/h6>\n<\/button>\n\n\n\n<div id=\"ead8f259-9100-4694-8a5e-4bfb2f120b51-content\" role=\"region\" aria-labelledby=\"ead8f259-9100-4694-8a5e-4bfb2f120b51-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">The course covers: the Feynman-Kac formula and the Fokker-Plank equation, stochastic calculus with jumps, Levy processes and jump diffusion models in finance, Bellman&#8217;s principle of dynamic programming and the Hamilton-Jacobi- Bellman equation, classical problems for optimal control in finance (Merton&#8217;s problem, etc.), investment-consumption decisions with transaction costs, the connection between asset pricing and free-boundary problems for PDEs, optimal stopping problems and the exercise of American-style derivatives, capital structure and valuation of real options and corporate debt, exchange options, stochastic volatility models, and Dupire&#8217;s formula. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"39ce1919-62aa-4c99-94d9-084c1179ac81-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"39ce1919-62aa-4c99-94d9-084c1179ac81-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Computational Methods of Mathematical Finance (QSTMF796)<\/h6>\n<\/button>\n\n\n\n<div id=\"39ce1919-62aa-4c99-94d9-084c1179ac81-content\" role=\"region\" aria-labelledby=\"39ce1919-62aa-4c99-94d9-084c1179ac81-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course introduces common algorithmic and numerical schemes that are used in practice for pricing and hedging financial derivative products. Among others, the course covers Monte-Carlo simulation methods (generation of random variables, exact simulation, discretization schemes), finite difference schemes to solve partial differential equations, numerical integration, and Fourier transforms. Special attention is given to the computational requirements of these different methods, and the trade-off between computational effort and accuracy. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"78f7e664-42e0-4f5d-a6a6-96db06cd9be7-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"78f7e664-42e0-4f5d-a6a6-96db06cd9be7-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Algorithmic and High-Frequency Trading (QSTMF821)<\/h6>\n<\/button>\n\n\n\n<div id=\"78f7e664-42e0-4f5d-a6a6-96db06cd9be7-content\" role=\"region\" aria-labelledby=\"78f7e664-42e0-4f5d-a6a6-96db06cd9be7-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This course will introduce concepts of electronic markets, and statistical and optimal control techniques to model and trade in these markets. We will begin with a description of the basic elements of electronic markets, some of the features of the data, its empirical implications and simple microeconomic models. Next, we will study statistical tools to estimate and predict price and volatility of the high-frequency price. Then we will investigate algorithmic trading problems from the stochastic optimal control perspective, including the optimal execution problem and show how to modify the classical approaches to include order-flow information and the effect that dark pools have on trading. Trading pairs of assets that mean-revert is another important algorithmic strategy, and we will see how stochastic control methods can be utilized to inform agents how to optimally trade. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"66d4c3ec-edc6-48e5-ab07-91194454d21d-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"66d4c3ec-edc6-48e5-ab07-91194454d21d-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Data Analysis and Financial Econometrics (QSTMF840)<\/h6>\n<\/button>\n\n\n\n<div id=\"66d4c3ec-edc6-48e5-ab07-91194454d21d-content\" role=\"region\" aria-labelledby=\"66d4c3ec-edc6-48e5-ab07-91194454d21d-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">This is the second course of the econometrics sequence in the Mathematical Finance program. The course quickly reviews OLS, GLS, the Maximum Likelihood principle (MLE). Then, the core of the course concentrates on Bayesian Inference, now an unavoidable mainstay of Financial Econometrics. After learning the principles of Bayesian Inference, we study their implementation for key models in finance, especially related to portfolio design and volatility forecasting. We also briefly discuss the Lasso and Ridge methods, and contrast them with the Bayesian approach Over the last twenty years, radical developments in simulation methods, such as Markov Chain Monte Carlo (MCMC) have extended the capabilities of Bayesian methods. Therefore, after studying direct Monte Carlo simulation methods, the course covers non-trivial methods of simulation such as Markov Chain Monte Carlo (MCMC), applying them to implement models such as stochastic volatility. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)<\/p>\n<\/div><\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-amp-collapsible-item collapsible\">\n<button id=\"774cac35-ddaf-4ae6-84f8-b45778051482-toggle\" type=\"button\" aria-expanded=\"false\" aria-controls=\"774cac35-ddaf-4ae6-84f8-b45778051482-content\" class=\"wp-block-amp-collapsible-toggle collapsible__toggle\"><span class=\"collapsible__icon\"><\/span>\n<h6 class=\"wp-block-heading has-text-align-left\" style=\"margin-top:0;margin-bottom:0;font-weight:500\">Financial Econometrics (GRSEC794)<\/h6>\n<\/button>\n\n\n\n<div id=\"774cac35-ddaf-4ae6-84f8-b45778051482-content\" role=\"region\" aria-labelledby=\"774cac35-ddaf-4ae6-84f8-b45778051482-toggle\" class=\"wp-block-amp-collapsible-content collapsible__content\"><div class=\"collapsible__body\">\n<p class=\"has-p-2-font-size\">Presents econometric theory and methods for the analysis of financial markets. Topics include cross section and time series properties of asset returns, parametric and nonparametric volatility measurement, implied volatility, estimation of asset pricing models, continuous time models, systemic risk, and model uncertainty.<\/p>\n<\/div><\/div>\n<\/div>\n<\/div>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-p-2-font-size\">Total Credits: 48-64<\/p>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading has-h-4-font-size\">Years 3-5<\/h3>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--50)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-p-2-font-size\">After the completion of all coursework and a comprehensive exam, students advance to candidacy. At this time, the focus shifts to dissertation research. Students will form a committee, develop a research proposal, and ultimately defend their work. During this time, students will also serve as Teaching Assistants.<\/p>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--70)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h4 class=\"wp-block-heading has-h-6-font-size\">Comprehensive Examination<\/h4>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-p-2-font-size\">After the completion of all course work and the curriculum paper, students are required to appear for a qualifying examination to demonstrate their advanced knowledge of literature and theory, research techniques and the ability to craft a research proposal.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h4 class=\"wp-block-heading has-h-6-font-size\">Dissertation<\/h4>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p class=\"has-p-2-font-size\">The final phase of the program is the completion of your dissertation, which you will complete with the help of your advisor. You\u2019ll form a dissertation committee that\u2019s made up of a Committee Chairperson and a least two additional faculty members. With this guidance, you\u2019ll develop a research proposal for investigating an area of significance for management theory and practice.<\/p>\n\n\n\n<div style=\"height:var(--wp--preset--spacing--80)\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n","protected":false},"excerpt":{"rendered":"<p>PhD in Mathematical Finance Course Requirements The PhD in Mathematical Finance curriculum is tailored to each incoming student, based on their academic background. Students choose from a range of courses [&hellip;]<\/p>\n","protected":false},"author":6,"featured_media":0,"parent":3882,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_acf_changed":false,"inline_featured_image":false,"footnotes":""},"class_list":["post-14558","page","type-page","status-publish","hentry"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.8 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>PhD in Mathematical Finance Curriculum | Questrom School of Business<\/title>\n<meta name=\"description\" content=\"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"PhD in Mathematical Finance Curriculum | Questrom School of Business\" \/>\n<meta property=\"og:description\" content=\"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\" \/>\n<meta property=\"og:site_name\" content=\"Boston University Questrom\" \/>\n<meta property=\"article:modified_time\" content=\"2026-05-27T17:42:48+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"9 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\",\"url\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\",\"name\":\"PhD in Mathematical Finance Curriculum | Questrom School of Business\",\"isPartOf\":{\"@id\":\"https:\/\/www.bu.edu\/questrom\/#website\"},\"datePublished\":\"2025-04-18T17:18:36+00:00\",\"dateModified\":\"2026-05-27T17:42:48+00:00\",\"description\":\"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.\",\"breadcrumb\":{\"@id\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.bu.edu\/questrom\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"PhD Programs\",\"item\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Academics\",\"item\":\"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.bu.edu\/questrom\/#website\",\"url\":\"https:\/\/www.bu.edu\/questrom\/\",\"name\":\"Boston University Questrom\",\"description\":\"\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.bu.edu\/questrom\/?s={search_term_string}\"},\"query-input\":{\"@type\":\"PropertyValueSpecification\",\"valueRequired\":true,\"valueName\":\"search_term_string\"}}],\"inLanguage\":\"en-US\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"PhD in Mathematical Finance Curriculum | Questrom School of Business","description":"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/","og_locale":"en_US","og_type":"article","og_title":"PhD in Mathematical Finance Curriculum | Questrom School of Business","og_description":"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.","og_url":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/","og_site_name":"Boston University Questrom","article_modified_time":"2026-05-27T17:42:48+00:00","twitter_card":"summary_large_image","twitter_misc":{"Est. reading time":"9 minutes"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/","url":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/","name":"PhD in Mathematical Finance Curriculum | Questrom School of Business","isPartOf":{"@id":"https:\/\/www.bu.edu\/questrom\/#website"},"datePublished":"2025-04-18T17:18:36+00:00","dateModified":"2026-05-27T17:42:48+00:00","description":"Questrom\u2019s PhD in Mathematical Finance is grounded in research, developing deep expertise at the intersection of mathematics, finance, and technology.","breadcrumb":{"@id":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/phd-mf\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/www.bu.edu\/questrom\/"},{"@type":"ListItem","position":2,"name":"PhD Programs","item":"https:\/\/www.bu.edu\/questrom\/phd-program\/"},{"@type":"ListItem","position":3,"name":"Academics","item":"https:\/\/www.bu.edu\/questrom\/phd-program\/academics\/"}]},{"@type":"WebSite","@id":"https:\/\/www.bu.edu\/questrom\/#website","url":"https:\/\/www.bu.edu\/questrom\/","name":"Boston University Questrom","description":"","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/www.bu.edu\/questrom\/?s={search_term_string}"},"query-input":{"@type":"PropertyValueSpecification","valueRequired":true,"valueName":"search_term_string"}}],"inLanguage":"en-US"}]}},"publishpress_future_action":{"enabled":false,"date":"2026-06-15 03:34:32","action":"change-status","newStatus":"draft","terms":[],"taxonomy":"block-catalog","extraData":[]},"publishpress_future_workflow_manual_trigger":{"enabledWorkflows":[]},"_links":{"self":[{"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/pages\/14558","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/comments?post=14558"}],"version-history":[{"count":1,"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/pages\/14558\/revisions"}],"predecessor-version":[{"id":27788,"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/pages\/14558\/revisions\/27788"}],"up":[{"embeddable":true,"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/pages\/3882"}],"wp:attachment":[{"href":"https:\/\/www.bu.edu\/questrom\/wp-json\/wp\/v2\/media?parent=14558"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}