• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering.
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job.
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models.

Boston MSMF Boston University Mathematical Finance PhD

Umnik

Well-Known Member
Hi! I am a first-year student of BU PhD Math Fin - what are you interested in about the program?
 

Umnik

Well-Known Member
Hi, I am also accepted this year. Could you provide some information about the program structure, such as the core (required) courses of the PhD program?

Hey! The course curriculum is following (although, so far it has changed every year):


FALL FIRST YEAR

GRS EC701 – MICROECONOMIC THEORY
GRS EC702 – MACROECONOMIC THEORY
GSM FE918 – DOCTORAL SEMINAR IN FINANCE
GSM MF793 – STATISTICAL METHODS OF MATHEMATICAL

SPRING FIRST YEAR

GRS EC703 – ADVANCED MICROECONOMIC THEORY
GRS EC704 – ADVANCED MACROECONOMIC THEORY
GSM FE920 – ADVANCED CAPITAL MARKET THEORY
GSM MF728 – FIXED INCOME SECURITIES
Year 2​
FALL SECOND YEAR

GSM FE919 – ADVANCED DERIVATIVE SECURITIES
GRS EC712 – ECONOMETRIC TIME SERIES
GSM MF730 – PORTFOLIO THEORY
GSM MF772 – CREDIT RISK

SPRING SECOND YEAR

GSM MF 796 – COMPUTATIONAL METHODS OF MATHEMATICAL FINANCE
GRS EC744 – ECONOMIC DYNAMICS
GSM MF921 – DYNAMIC ASSET PRICING WITH FRICTIONS
GSM MF794 – STOCHASTIC OPTIMAL CONTROL AND INVESTMENT
As I am in the first year I can tell only about first two semesters:
- Doctoral Seminar in Finance is mostly about asset pricing in discrete-time setting. Also - although it is called a seminar, it is a regular class with several homework assignments etc...
- in Statistical Methods in Finance you will learn about ARCH, GARCH volatility models, VaR calculation etc... (course is very practical)... You will use some R language in it. Also, you take it with Masters students together.
- Advanced Capital Markets - several lectures about basics of stochastic calculus, then mostly optimal portfolio consumption problem in continuous time...
- Fixed Income Securities - so far mostly term structure models, options on zero coupon bond etc... You take it with Masters students...
- in Economics you will have 2 full-load courses both semesters together with econ phd students and if you do not have econ background you will have problems as everyone would know it better and BU econ department has much worse grade curving than School of Management. And the curriculum is not flexible - you are not allowed to deviate from taking econ courses...
 

howard_wan

New Member
Hey! The course curriculum is following (although, so far it has changed every year):

FALL FIRST YEAR
GRS EC701 – MICROECONOMIC THEORY
GRS EC702 – MACROECONOMIC THEORY
GSM FE918 – DOCTORAL SEMINAR IN FINANCE
GSM MF793 – STATISTICAL METHODS OF MATHEMATICAL
SPRING FIRST YEAR
GRS EC703 – ADVANCED MICROECONOMIC THEORY
GRS EC704 – ADVANCED MACROECONOMIC THEORY
GSM FE920 – ADVANCED CAPITAL MARKET THEORY
GSM MF728 – FIXED INCOME SECURITIES
Year 2
FALL SECOND YEAR
GSM FE919 – ADVANCED DERIVATIVE SECURITIES
GRS EC712 – ECONOMETRIC TIME SERIES
GSM MF730 – PORTFOLIO THEORY
GSM MF772 – CREDIT RISK
SPRING SECOND YEAR
GSM MF 796 – COMPUTATIONAL METHODS OF MATHEMATICAL FINANCE
GRS EC744 – ECONOMIC DYNAMICS
GSM MF921 – DYNAMIC ASSET PRICING WITH FRICTIONS
GSM MF794 – STOCHASTIC OPTIMAL CONTROL AND INVESTMENT
As I am in the first year I can tell only about first two semesters:
- Doctoral Seminar in Finance is mostly about asset pricing in discrete-time setting. Also - although it is called a seminar, it is a regular class with several homework assignments etc...
- in Statistical Methods in Finance you will learn about ARCH, GARCH volatility models, VaR calculation etc... (course is very practical)... You will use some R language in it. Also, you take it with Masters students together.
- Advanced Capital Markets - several lectures about basics of stochastic calculus, then mostly optimal portfolio consumption problem in continuous time...
- Fixed Income Securities - so far mostly term structure models, options on zero coupon bond etc... You take it with Masters students...
- in Economics you will have 2 full-load courses both semesters together with econ phd students and if you do not have econ background you will have problems as everyone would know it better and BU econ department has much worse grade curving than School of Management. And the curriculum is not flexible - you are not allowed to deviate from taking econ courses...
Hey! The course curriculum is following (although, so far it has changed every year):

FALL FIRST YEAR
GRS EC701 – MICROECONOMIC THEORY
GRS EC702 – MACROECONOMIC THEORY
GSM FE918 – DOCTORAL SEMINAR IN FINANCE
GSM MF793 – STATISTICAL METHODS OF MATHEMATICAL
SPRING FIRST YEAR
GRS EC703 – ADVANCED MICROECONOMIC THEORY
GRS EC704 – ADVANCED MACROECONOMIC THEORY
GSM FE920 – ADVANCED CAPITAL MARKET THEORY
GSM MF728 – FIXED INCOME SECURITIES
Year 2
FALL SECOND YEAR
GSM FE919 – ADVANCED DERIVATIVE SECURITIES
GRS EC712 – ECONOMETRIC TIME SERIES
GSM MF730 – PORTFOLIO THEORY
GSM MF772 – CREDIT RISK
SPRING SECOND YEAR
GSM MF 796 – COMPUTATIONAL METHODS OF MATHEMATICAL FINANCE
GRS EC744 – ECONOMIC DYNAMICS
GSM MF921 – DYNAMIC ASSET PRICING WITH FRICTIONS
GSM MF794 – STOCHASTIC OPTIMAL CONTROL AND INVESTMENT
As I am in the first year I can tell only about first two semesters:
- Doctoral Seminar in Finance is mostly about asset pricing in discrete-time setting. Also - although it is called a seminar, it is a regular class with several homework assignments etc...
- in Statistical Methods in Finance you will learn about ARCH, GARCH volatility models, VaR calculation etc... (course is very practical)... You will use some R language in it. Also, you take it with Masters students together.
- Advanced Capital Markets - several lectures about basics of stochastic calculus, then mostly optimal portfolio consumption problem in continuous time...
- Fixed Income Securities - so far mostly term structure models, options on zero coupon bond etc... You take it with Masters students...
- in Economics you will have 2 full-load courses both semesters together with econ phd students and if you do not have econ background you will have problems as everyone would know it better and BU econ department has much worse grade curving than School of Management. And the curriculum is not flexible - you are not allowed to deviate from taking econ courses...
Thanks for your information, umnik. Could you also share some information about the qualifying exam? The information on the website is not clear enough about the qualifying exam....
 

Umnik

Well-Known Member
Qual exam is after the second year - it consists of written part (4 hours) and oral part (30 minutes) and it includes topics from 6 courses: - all four 900 courses + fixed income securities + credit risk.
 

howard_wan

New Member
You mentioned that "the curriculum is not flexible", does it mean that we must strictly follow this curriculum and can not take other courses?
 

scnmaggie

Member
Hi Umnik,

I am a little confused by the funding... I am not sure whether students accepted with the same or not, but mine does not say anything about funding in the summer ( basically 3 months ). Do you know something?

Thansk
 

Umnik

Well-Known Member
Hi Umnik,

I am a little confused by the funding... I am not sure whether students accepted with the same or not, but mine does not say anything about funding in the summer ( basically 3 months ). Do you know something?

Thansk

Yes, the funding is paid in equal parts from September to middle of May. In Summer - nothing :)
 

Umnik

Well-Known Member
No funding in the summer? What are students doing?

first summer - nothing (e.g. I plan to travel, go home to party etc.)
second summer - preparation for quals, taking quals - so you have to save some money for that.
 

Umnik

Well-Known Member
Are there masters students who decide to stay to the PhD???

Usually no. I know one person who reapplied to PhD after MSMF and I know one guy who went to PhD in Econ several years later.

And there are people who are vice versa moved from PhD program to MSMF program after year 1 or given Masters diploma after year 2 of PHD with failed quals
 

diegosanaz

BU MSMF
Odd, I guess it would be something that goes both ways given that the curriculum is similar. But on the other hand, the PhD has lots more tough courses, so I guess masters students don't really have that option.

Thanks for the response!
 
Top