Financial Engineering research

[MitchCov]

I'm a longtime reader and first time poster.

I am currently an undergrad student in actuarial science. However, I hope to switch into the field of financial mathematics for graduate school. After looking at the different programs that are offered, I get the feeling that most of the programs are designed to prepare you to go straight out into an industry job and generally try to cram as much into a year or a year and a half.

Personally, I would like to go on and do doctorate work in Financial Math.

I was wondering what school would be best to prepare you for doctorate work instead of industry work. Or even if I should instead do a Masters degree in probability or statistics and then do doctorate work in financial math.

Let me know what you think.

 

[Andy Nguyen]

You are better off applying to the PhD programs directly

Quant Network Program Selector | Quant Network

 

[MitchCov]

Hmm...That's an interesting thought. Do the schools with better PHD programs differ from the ones with good Master programs or are they generally the same?

Also, would it be odd to then do a masters after the PHD?

 

[Andy Nguyen]

The sample size of people with PhD in Financial Engineering is too small (at least those I know of) to make a good observation.
Generally, the bar to setting up a PhD program is much higher than to offer a master degree. In our program list, here are only a handfuf of university that offers PhD while few hundreds have MS program. And those offering PhD are usually research universities instead of any small-town colleges.

There are numerous students in MFE programs with PhD degree but none in Financial Engineering.

You better be sure and right about your reasons to do a PhD. Or an MFE for that matter.

 

[MitchCov]

I feel like I would want to do a PhD because I feel drawn towards research. The idea of doing original work is something that fascinates me. However, once all that is done, I would still like to be able to get a job doing something other than teaching.

I figure that the PhD would allow me to do research while (correct me if I'm wrong here) an MFE kind of just "prepares you for industry work" in the sense that you don't really get a chance to implement your own ideas to the field.

 

[Andy Nguyen]

Try to participate in a few research projects with your professors, publish a few paper to have a sense of what you are going to do the next 5 years.
If you find out you are not enjoying everything about it, don't do a PhD.

 

[MitchCov]

Thanks for the help. It seems to me as though a lot of people are against getting a PhD. I'm currently working on a research project with a prof and I find it fascinating which is why I was originally thinking of going into research.

However, I also very much enjoy the practical applications of FE.

Thanks again for the helpful comments.

 

[Connor]

I believe there are very few financial math PhD programs, and I feel such a PhD is very narrow in focus. I would probably recommend considering either a PhD in statistics or applied math that would allow you to focus on finance in your research.

Some PhD programs allow you to also do a masters during your PhD. For example, I believe at Chicago a PhD student can also pursue a MBA or at Berkeley a PhD student can also do the MFE (obviously you have to pay for it though, not covered in your PhD package)

 

[alain]

you want to do a PhD and then jump? Do it in Physics.

 

[henryc]

Research Topics in Credit derivatives..

Hi, I am currently doing a dissertation on credit derivatives, mainly on CDO pricing . I know it is impossible for a master student to come up with a new or better model, so I decide to do some empirical analysis based on iTraxx index, but I didn't see any good reference on this topic... can anyone pls give me some suggestions or good references on this topic? many thanks!!!

 

[Andy Nguyen]

This is an interesting topic in credit derivatives
Pricing distressed CDOs with base correlation and stochastic recovery rates - Risk.net

I'll post the technical paper when the author emails me.

 

[henryc]

This is an interesting topic in credit derivatives
Pricing distressed CDOs with base correlation and stochastic recovery rates - Risk.net

I'll post the technical paper when the author emails me.

Many thanks,Andy!

 

[physEcon]

you want to do a PhD and then jump? Do it in Physics.

Has this person even taken one physics class? That's a pretty blanket recommendation.