PhD Program in Finance

MBA Finance Track

The MIT Sloan Finance Group offers a doctoral program in Finance for students interested in research careers in academic finance. The requirements of the program may be loosely divided into five categories: the Finance Seminar, coursework, the general examination, the research paper, and the dissertation. Students are expected to attend the weekly Finance seminars throughout their time at Sloan. During the first two years, students are engaged primarily in coursework, taking both required and elective courses in preparation for their general examination at the end of the second year. Students are required to complete a research paper by the end of October of their third year at MIT, present it in front of the faculty committee and receive a passing grade. Students must form a Thesis Committee by the end of their seventh semester.

The following set of required courses is designed to furnish each student with a sound and well-rounded understanding of the theoretical and empirical foundations of finance, as well as the tools necessary to make original contributions in each of these areas. Courses marked with an asterisk (*) may be waived with the permission of a finance faculty advisor; courses marked with a plus (+) are half semester courses. Finance PhD courses (15.416, 15.440J, 15.441J, 15.442J) in which the student does not receive a grade of B or higher must be retaken.

Math Background
18.100B — Analysis I*  
14.102 — Mathematics for Economists*  
 
First Year — Fall Semester First Year — Spring Semester
14.121 — Microeconomics Theory 1 14.123 — Microeconomics Theory 3
14.122 — Microeconomics Theory 2 14.124 — Microeconomics Theory 4
14.381 — Statistical Methods in Economics* 14.382 — Econometrics I
15.416J — Introduction to Financial Economics
Second Year — Fall Semester Second Year — Spring Semester
One of: 15.441J — Advanced Financial Economics II
14.384 — Time-Series Analysis+ 15.442J — Advanced Financial Economics III
14.385 — Nonlinear Econometric Analysis+  
15.440J — Advanced Financial Economics I  
Other required courses  
15.401 — Finance Theory I  
15.402 — Finance Theory II  
15.433 — Investments*  
15.437 — Options and Futures*  

Comment: 15.401, 15.402, 15.433 and 15.437 are MBA-level courses. They devote more attention to institutional features and practical examples and applications than Ph.D.-level courses. You should have mastered the material in these classes either by taking or serving as a teaching assistant or through self-study.

Beyond these required courses, students are expected to enroll in elective courses determined by their primary area of interest. There are two informal “tracks” in Financial Economics: Corporate Finance and Asset Pricing. Listed on the next page are suggested electives in each track. The typical student's interests will tend to fall naturally into one of the tracks after the first year, and the recommended electives are designed to deepen the student's grasp of material that will be central to the writing of his/her dissertation. There is no formal requirement to select one track or another, and students are free to take any of the electives. The particular set of electives chosen may differ from student to student even within the same track, and should be chosen by each student in consultation with his/her faculty advisor(s).

Recommended courses

Asset Pricing Track

Mathematical background

The following courses provide a rigorous and systematic background in stochastic modeling:

18.125 — Real and Functional Analysis
18.175 — Theory of Probability
18.177 — Stochastic Processes
Harvard Econ 2142 — Time Series Analysis (an alternative to 14.384)

14.128 — Dynamic Optimization w/ applications could be a useful complement to 15.440J, covering in more detail technical aspects of dynamic optimization.

The following courses will provide you with background in time-series econometrics. These are recommended if you are interested in pursuing research in empirical asset pricing.

A full-semester Harvard course Econ 2142 (Time Series Analysis) is an alternative to a half-semester course at MIT, 14.384 (Time Series Analysis).
Harvard Econ 2146 — Topics in Financial Econometrics.

Economics and Finance

Advanced macro courses offered by the economics department provide useful background for those interested at the intersection of capital markets and macroeconomics.

14.451 — Dynamic Optimization Methods with Applications
15.452 — Economic Growth
14.453 — Economic Fluctuations
14.454 — Economic Crises
14.461, 14.462 — Advanced Macroeconomics I and II.

Corporate Finance Track

The two courses listed below, 14.129 and 14.661, are strongly recommended. 14.129 will provide you with solid background in theory. You should try to take it before or simultaneously with 15.441 — Advanced Financial Economics II. 14.661 would be extremely valuable for those interested in empirical work in corporate finance.

Theory:

14.129 — Advanced Contract Theory
14.281 — Contract Economics
14.282 — Introduction to Organizational Economics
14.126 — Game Theory
Harvard Econ 2725 — Corporate Finance

Empirical/econometrics:

14.387 — Topics in Applied Econometrics
14.661 — Labor Economics I
14.662 — Labor Economics II

Courses of general interest, both tracks:

14.137 — Psychology for Economists
Harvard Econ 2728 — Behavioral Finance

Miscellaneous courses

Finally, MIT and Harvard offer many additional courses on topics related to Financial Economics. (Students are permitted to cross-register in the Harvard classes.) Again, the courses are not required, but may be recommended depending on the research interests of the student.

MIT Harvard
14.773 — Political Economy: Institutions and Development Econ 2723 — Asset Pricing I
15.539 — Doctoral Seminar in Accounting Econ 2730 — Asset Pricing II