PhD at CMU compared with their MFE?

[Aaron Pereira]

I am interested in getting a Ph.D in Mathematical Finance and also working in the industry after graduation. However, when I look at the Ph.D placement for the mathematical finance Ph.D at Carnegie Mellon, it seems as though their statistics are not as impressive as their MSCF program. Since the Ph.D is much more involved than the MFE, and involves taking the same or advanced versions of the same courses, I find this a bit puzzling. Is there any disadvantage in doing the Ph.D Mathematical Finance over just the MSCF?

 

[cab]

Yes, the Ph.D is really a mathematics Ph.D with a finance concentration. Though it is certain that anyone with such a degree is smart and capable it is not clear that their skills or interests are (practically) useful. For instance, such a degree would likely focus students into studying real analysis and rigorous probability in great detail instead of teaching them to program (there is no computer requirement). I imagine there is a place in finance for theoretical researchers as well, but that place is likely smaller (but perhaps more nobel).

 

[Fenderbender]

Well the simple and possibly biased first glance answer would be:

CMU just doesn't cut it for the top 10 programs in mathematics. Their PHD in math is not a PHD in financial engineering, its a PHD in Mathematics with a concentration/dissertation topic in finance. If you want a PHD in mathematics with your research to be in finance I'd recommend applying to schools with top PHD programs in mathematics AS WELL AS a top business/finance/MFE school/program.

Mind you I haven't looked at their PHD in math placement, but judging from your disappointment this is probably the reason.

Schools like MIT, Princeton or Berkeley would be examples of places to do a PHD in math AND and research relevant to FE/CF. They would most likely have excellent faculty to prepare you for doing research as a math PHD while at the same time you'd have have access to top business school/mfe program fauclty to also advise you. You might want to consider the possibility of doing a terminal MFE concurrent with ( if the programs are flexible enough ) or after your PHD program, which isn't entirely unheard of.

CMU's CS is its most reputable dept, not mathematics.

The only caviat would be to make sure that someone ( or more) would be able to advise you well for your PHD in the area of your interest prior to dedicating 5-6 years of your life to research.

And on the topic of dedicating 5-6 years of your life to a PHD and $50-100k for an MFE...you might want to be absolutely sure that research in FE/CF is something you want to do.