Mathematical Finance

Doctor of Philosophy (PhD)

Successful applicants typically have a bachelor's degree in mathematical finance (or a related area) and master's in statistics or mathematics with strong evidence of interest in mathematical finance.

A student with only a bachelor’s degree cannot usually be admitted to our PhD program, but rather must first enter the master's program, either first completing the master's or applying for transfer to the PhD program after one year.

If you do not have a bachelor's or master's degree in mathematical finance, stochastic processes, probability or statistics, and have only had a few courses in stochastic processes, probability, statistics or mathematical finance, your application to the PhD program will not be successful.

For admission to the program, the admissions committee recommends the following, in addition to the requirements for admission to the master's program:

  • A course in mathematical finance
  • A course in stochastic processes
  • Courses in rigorous mathematics (advanced linear algebra, advanced calculus, differential equations, analysis)
  • A course in theoretical or applied probability, and/or mathematical statistics at the graduate level

The following background will be highly preferred:

  • Courses in real analysis, and possibly measure theory, advanced probability (limit theorems, sigma fields), stochastic processes (e.g., Wiener, Poisson processes)
  • A broad range of courses in statistical methods (statistical computing, Bayesian statistics, generalized linear models, time series, multivariate statistics)
  • Undergraduate or graduate computer science courses
  • Research or work experience relevant to mathematical finance or stochastic processes/probability/statistics
  • Solid programming experience (e.g., C, C++, Fortran, Python, R, SAS, Matlab)
  • Alexandru Badescu: Mathematical finance, actuarial science
  • Jinniao Qiu: Mathematical finance, analysis, PDE, operation research
  • Deniz Sezer: Mathematical finance, operation research, modelling of wind and solar energy
  • Anatoliy Swishchuk: Mathematical finance, energy market modelling, stochastic calculus, random evolutions, stochastic processes
  • Tony Ware: Mathematical finance, computational finance, energy markets modelling, numerical methods

The course requirements for a PhD are determined on an individual basis and must include eight half courses in the student’s combined master's and doctoral program in addition to MATH 600 seminar course which must be taken in the first or second year of the program.

Performance level:

Should maintain a minimum cumulative GPA of 3.00 calculated on a four-point scale at the end of each registration year and attain at least a B- on each course taken for credit.

Course selections for mathematical finance:

  • MATH 600 Research Seminar
  • MATH 681 (see List A)
  • MATH 683 (see List A)
  • At least one additional course from List B (see below)
  • At least two additional courses from List C
  1. List A courses

    ACSC 515 Models for Financial Economics
    MATH 681 Stochastic Calculus for Finance
    MATH 683 Computational Finance

  2. List B courses

    STAT 507 Introduction to Stochastic Processes
    MATH 605 Differential Equations III
    MATH 601 Measure and Integration
    STAT 701 Theory of Probability I
    STAT 721 Theory of Estimation

  3. List C courses

    MATH 691.01 Introduction to Levy Processes with Applications in Finance
    693.01 Monte Carlo Methods in Finance-Existing Course 
    691.05 Stochastic Optimal Control & Applications in Finance
    693.03 Energy, Commodity and Environmental Finance
    691.03 Credit Risk-Existing Course
    693.05 Advanced Topics in Mathematical Finance

    Haskayne Courses:
    FNCE 645 Futures and Options
    FNCE 667 Financial Risk Management
    FNCE 631 Seminar in Financial Management (FinTech)
    FNCE 799.05 Theory of Corporate Finance
    FNCE 799.06 Asset Pricing
    FNCE 799.07 Topics in Asset Pricing and Corporate Finance

The PhD is a full-time degree with an expected completion time of 4 years.  The maximum time allowed is 6 years.

  • Supervisors will decide with their students on what courses the students have to take, and what preliminary exams the students have to write.
  • A supervisory committee must be established within three months after the program starts. The supervisory committee includes a supervisor (and a co-supervisor if there is one), and two supervisory committee members.
  • The supervisory committee should meet with the student regularly to provide guidance through the program.

Written preliminary exams

Students must pass two written preliminary examinations on material for two 600 or 700 level courses from List A or B during first year but no later than eighteen months from the beginning of their doctoral programs.


All students are required to give two invited or contributed presentations during their doctoral degree, not including presentations that are required as part of a graduate course or the 600 seminar course.

Written candidacy proposal and oral candidacy exam

  • Program course work and examination requirements completed (prior to candidacy oral examination)
  • Written proposal submitted to supervisory committee (recommended six months, minimum four months in advance of expected oral examination date)
  • Reading list approved by the graduate program director (at least three months prior to scheduling oral examination)
  • Written research proposal approved (at least two months prior to scheduling oral examination)
  • The oral candidacy examination must be taken no later than 28 months from the start of the doctoral program. Prior to the oral examination, the student must have completed all the course work and the written preliminary examinations
  • The oral candidacy exam must be scheduled at least four weeks before the intended date.
  • The exam committee contains a supervisor, a co-supervisor (if it is applicable), supervisory committee members (usually two), and two examiners (outside of student’s program, within the department or within the university)

More information can be found under the following links:

Faculty of Graduate Studies candidacy regulations

Departmental guidelines for candidacy examinations

Thesis and thesis oral examination

The student must complete a thesis on a topic to be agreed to by the student and their supervisor.

  • After completion of the thesis, the student must pass a thesis oral examination
  • A thesis oral exam committee contains a supervisor, a co-supervisor (if applicable), supervisory committee members (usually two), an examiner (outside of student’s program, within the department or within the university) and an external examiner (from outside of the university)
  • The external examiner must be applied for approval from Faculty of Graduate Studies six weeks prior the intended examination date
  • The exam must be scheduled at least four weeks prior to date of oral exam
  • Examiners must have a copy of the thesis at least three weeks prior to the date of oral exam
  • Final thesis oral examinations are open

More information can be found on the Faculty of Graduate Studies website under examinations.