Math classes versus math degree for Ph D in Finance!

[parajulibharat]

Hello Guys/Girls,

I found the importance of math classes for the admission in Ph D finance from this forum. Did not know what kind of role math classes play in admission process! Thank you everyone.

My plan is to start my Ph D after 3/4 years. By that time, I am planning to take math classes, work, and later in that time study for GRE.

I have a MBA in finance and my dilema is whether to take random math classes that are important for finance ph d as a non degree seeking student or to add few more classes that might not be so important for ph d and get the MS degree in math instead. I thought the degree even sounds better than some random classes. However, if I want to get a degree I have to spend additional money and time. Does that expense of additional money and time worth in terms of helping me getting to good school?

Please help. Thanks!

[Andronicus]

I think you're probably better off focusing your studies on classes that will prepare you for your finance PhD like analysis, stochastic calculus, PDE, and statistics classes.

[serbia]

in addition to the courses Andronicus suggested, you might also want to take courses in econometrics, time series analysis, optimization methods, and c++

i think a specialized degree in computational finance/mathematical finance/financial engineering would definitely help you in getting admission. a pure math degree might be overly theoretical whereas a specialized degree will focus on the financial applications of the fancy methods.

[Hocking]

You should also take a course in Linear Algebra as well.

I was in your shoes this year, so I started trying to take what Math classes I could before starting a PhD Program in Finance next year. My goal was to take these classes:

Calculus III
Calculus IV
Linear Algebra
Matrix Theory
Differential Equations

After visiting with the school that I eventually got accepted to (starting next fall), I was asked by the PhD Program director to take Calculus III and Linear Algebra for sure. All the other classes would be fine to take, but it was up to me if I wanted to take them or not. After talking with some of the current PhD students in this program, I decided taking Calculus IV, Matrix Theory, and Differential Equations would be a waist of time. You will see this stuff perhaps, but you won't see enough of it that would make you want to run out and complete an entire course in it. Focus on the foundations of Calculus (usually found in a full year of Calculus), Linear Algebra, and whatever you can get in Statistics and Econometrics.

Now, if your goal is to get accepted into a top 10 school so you can do theoretical research, then this is all out the window. You need anything and everything you can get as far as math is concerned. But, if you are wanting to get into empirical financial research then this advice should do you fine. Also, if you want to do some very specific research in finance (such as on Derivatives and Stock Options), then certain types of math classes may help you with your research.

In closing, don't take anything you can't get an "A" in. What I am saying is that a "B" in an Econometrics or Statistics class can hurt your application worst than not having taking these classes at all may have hurt it. Very odd, but that is the way it works.

[parajulibharat]

Thank you very much guys for your insightful advices. I really appreciate it.

[shootermcgavin7]

Originally Posted by parajulibharat

I have a MBA in finance and my dilema is whether to take random math classes that are important for finance ph d as a non degree seeking student

Non-degree is fine - (and obviously you're using the word "random" in a very loose sense) ....if you want to be gainfully employed while catching up on your math check out UIUC's NetMath website.

[macroeconomicus]

Originally Posted by Hocking

You should also take a course in Linear Algebra as well.

I was in your shoes this year, so I started trying to take what Math classes I could before starting a PhD Program in Finance next year. My goal was to take these classes:

Calculus III
Calculus IV
Linear Algebra
Matrix Theory
Differential Equations

After visiting with the school that I eventually got accepted to (starting next fall), I was asked by the PhD Program director to take Calculus III and Linear Algebra for sure. All the other classes would be fine to take, but it was up to me if I wanted to take them or not. After talking with some of the current PhD students in this program, I decided taking Calculus IV, Matrix Theory, and Differential Equations would be a waist of time. You will see this stuff perhaps, but you won't see enough of it that would make you want to run out and complete an entire course in it. Focus on the foundations of Calculus (usually found in a full year of Calculus), Linear Algebra, and whatever you can get in Statistics and Econometrics.

Now, if your goal is to get accepted into a top 10 school so you can do theoretical research, then this is all out the window. You need anything and everything you can get as far as math is concerned. But, if you are wanting to get into empirical financial research then this advice should do you fine. Also, if you want to do some very specific research in finance (such as on Derivatives and Stock Options), then certain types of math classes may help you with your research.

In closing, don't take anything you can't get an "A" in. What I am saying is that a "B" in an Econometrics or Statistics class can hurt your application worst than not having taking these classes at all may have hurt it. Very odd, but that is the way it works.

I would advice to have a calculus-based course in probability theory on the transcript as well. During first year you have to take a course in statistics (one semester) and econometrics (one semester), perhaps from the econ department. The statistics course really covers masters level probability plus a whole lot of estimation theory all in one semester (while the stats departments actually take longer to teach the same material). Sometimes, some schools even squeeze in the classical linear regression model into that course. They do this stuff fairly rigorously. Some schools will take time to explain what is sigma algebra to define probability space and prove Gauss Markov theorem. I have heard someone tell me that -stats- was the most difficult course in his first year in econ phd program. Some Finance PhD programs also encourage students to take a course in stochastic processes the first or second semester.