Department Visit:









We talked to Prof. Uday Rajan and a fifth year student. Prof. Uday does game theory and its
financial application. The student does corporate finance. Originally we plan to talk to a
professor who was a co-advisor of a former AIM student, but he is in China right now.
Finance department is small compared to math department. There are about 20 grad students.
Each year they recruit 2-3 phd students. So professors have close relationship with students.
Finance department across the US rarely have post docs, except maybe very few top schools like
MIT, Harvard. Graduating students usually directly go on tenure track.
There are two major research areas in finance department, one is corporate finance; the other is
asset pricing. Michigan finance department is considered traditional, that is, it is strong in
traditional finance and economic theory. About 2/3 faculty members do corporate finance, and
1/3 do asset pricing.
Corporate finance doesn’t involve much math. So for math students, asset pricing is probably
more suitable. However, from our talk, we feel that there isn’t great need or interest for very
hard mathematics in their research. Finance (not mathematical finance) people care more about
the economic mechanism behind the model. Many students and faculty have background in
economics.
Professor in finance department generally don’t give grad students problem or topic to work on.
They let students figure out what they want to do and come up with topics on their own, and
only provide guidance.
Unlike what I expect from B-school people, most people in finance department aren’t in close
collaboration with firms. They mainly do theoretical stuff, not projects.
Outside science and engineering, mathematics may not be greatly needed and recognized as
you think. On one hand, it provides an opportunity for you to be the person to build the math
framework. On the other hand, having very different backgrounds makes communication
challenging. I would suggest we look for co-advisors who have an undergrad degree in
quantitative science or engineering. These people, regardless of which department they are in
right now, are more likely to have interest in us, and share more common language with us.
Instead of working with someone in the finance department, alternative choices are economics
department (can do stochastic game theory) and IOE department (there are a few people doing
financial engineering).
Knowing some microeconomics is helpful. Almost all finance PhD students are taking econ
courses in the first year. ECON 601&603 (PhD level micro) are recommended by Prof. Uday.