PhD in administration – Finance

You have your sights set on excellence and you’re planning on a career in academia or business, in the field of finance?
Do your PhD in a specialization that trains highly qualified and innovative researchers, in a stimulating environment with outstanding resources, at the cutting edge of knowledge in finance.

Présentation

Your PhD in short

Offered in English.

Offered by HEC Montréal jointly with Concordia and McGill universities and the Université du Québec à Montréal (UQAM). This partnership gives you access to resources (faculty and courses) rarely available elsewhere in the world.

Full-time program allowing you to complete your studies in 4 or 5 years.

Tuition fees waived and competitive funding for the first four years of your studies.

Option of spending one or two terms at one of the top business schools in North America, between your 3rd and 5th years.

Option of taking part in the HEC – McGill Doctoral Finance Workshops, annual events held jointly by the Department of Finance and the McGill University Desmarais Global Finance Research Centre.

Program characteristics

Doctoral
90 credits

Full-time

On-site

Côte-des-Neiges

For a career in academia or business

Most of the 38 graduates from this doctoral program hold positions as professors at Canadian or foreign universities.

They are employed at such prestigious institutions as the University of British Columbia (Canada), St Mary’s University (Canada), the University of Wisconsin (USA), KAIST College of Business (Korea), VU University Amsterdam (Netherlands), NEOMA Business School (France), ESG UQAM (Canada), York University (Canada) and Rowe School of Business (Canada).

Graduates who have chosen to work in the private sector hold positions with Bloomberg, the Caisse de dépôt et placement du Québec, Desjardins, Ernst & Young, and the National Bank of Canada, for example.

Among the best

PhD students in this specialization benefit from:

Close supervision by professors in the Department of Finance, who hold degrees from such top-tier institutions as the London School of Economics, MIT, Swiss Finance Institute, University of Toronto, University of British Columbia, University of California San Diego and Wharton.
A series of seminars featuring presentations by internationally renowned scholars.
Access to the leading suppliers of financial data, including WRDS, OptionMetrics, CRSP, Compustat, I/B/E/S and NYSE TAQ — as well as to the trading room, supplied with Bloomberg data.
The Computing and Data Mining Laboratory (LACED).

Varied research interests

The main research interests of the professors in the Department of Finance cover the following themes:

Asset pricing
Banking and insurance
Capital market theory
Corporate finance
Financial econometrics
Financial markets and institutions
Household finance
Market microstructure
Portfolio and risk management

World-class research in finance

HEC Montréal offers doctoral students in finance an exceptional scientific milieu, through its research chairs and professorships.

Chair

Canada Research Chair in Risk Management, directed by Professor Georges Dionne

Research Professorships

Financial Big Data Analysis : Professor Vincent Grégoire
Financial Risk Factors and Derivatives: Professor Christian Dorion
Personal Finance : Professor Philippe d’Astous
Quantitative Corporate Finance : Professor Pascal François
Sustainable Finance: Professor Iwan Meier

The 21 researchers in this specialization are known for their excellence. Their work has recently been published in the world’s top five finance journals:

The Journal of Financial Economics
The Review of Financial Studies
The Journal of Financial and Quantitative Analysis
The Review of Finance

Be part of innovative research

Researchers in this specialization work closely with several research groups and knowledge transfer hubs, including:

IVADO

HEC Montréal is a founding member of IVADO (research consortium in artificial intelligence). The Institute brings together 900 scientists interested in optimization (operational research) and data science.

The group has received major funding ($93.6 million) for research into big data mining.

Canadian Derivatives Institute

The Department of Finance houses the Canadian Derivatives Institute.

The Canadian Derivatives Institute promotes the sound use of derivative instruments, reinforces the expertise of stakeholders and contributes to the development of the risk management and derivatives sectors across Canada.
It also holds an annual conference on a wide range of issues associated with derivatives attended by the world’s top researchers.

The doctoral program in administration requires a minimum of 90 credits, structured across three phases: preparatory coursework, specialization, and the dissertation.

The program typically spans between three and six years.

Phase I – Preparation (if necessary, maximum 1 year)

The preparatory phase courses allow you to acquire the necessary knowledge before starting the PhD-level courses. These are generally graduate-level courses and do not count toward the program’s total of 90 credits.

Phase II – Specialization (maximum 2 years)

At least 10 seminars among those proposed, respecting the minimum required for each type
Uncredited workshop Responsible Conduct of Research: From Norms to Practice
Writing of scientific paper
Comprehensive exam

5 compulsory seminars

FINA 80222A

Contingent Claims in Incomplete Markets

Subject

Finance

Program

PhD

Location

Côte-des-Neiges

Instruction mode

On-site learning

Credits

3

Examples include jump-diffusion models, models with priced correlation risk and the corresponding innovations in the modeling of the pricing kernel. We will also discuss the backtesting of risk management strategies in the context of incomplete markets. Development of the ability to implement the methods studied and critically read the current and forthcoming literature in the field.

Themes covered

1. Brief review of contingent claims and of the notion of market (in)completeness. The hypotheses underlying to the Black-Merton-Scholes model and the associated pricing kernel. 2. The volatility smile model-free volatility measures (RV and VIX) and option-implied distributions. We will revisit the Black-Scholes implied volatility smile and some of its potential explanations. We will then consider different model-free volatility measures and see how variance swaps and/or option data can be used to extract information about the risk-adjusted distribution of returns. Finally we will introduce the notion of variance risk premia a concept that we will further revisit when we study dynamic volatility models.

Selected papers: Andersen Bollerslev Christoffersen and Diebold (2006); The CBOE Volatility Index - VIX (2009); Demeterfi Derman Kamal and Zou (1999); Martin (2013); Bollerslev and Todorov (2011) . 3.Stochastic volatility models and the pricing kernel. Conditionally normal GARCH models and the pricing kernel in discrete time. Component models.

We will introduce stochastic volatility and GARCH models highlighting the pricing kernel used or implied by the different models. We will review some stylized facts on volatility and see how the different models accommodate these (or not). In particular we will discuss volatility models in which volatility process is separat

See the course webpage
FINA 80224A

Continuous-time Corporate Finance

Subject

Finance

Program

PhD

Instruction mode

On-site learning

Credits

3

The body of literature on continuous-time corporate finance has substantially grown over the last four decades and has been the subject of surveys and of recent reference books such as Moreno-Bromberg and Rochet (2018) and Galai et al. (2018). The course is structured around six topics: Corporate investment, capital structure, financial distress, corporate control, corporate risk management and the empirical implementation of continuous-time models. For each of these topics, the instructor will review the economic and financial questions and present the modelling approaches in the literature. Students will present one paper chosen among the selected reading list. The instructor will then organize a discussion around that presentation and the other papers in the reading list. Students will also be asked to work on a project.

Themes covered

- Corporate investments: Real options strategic exercise of real options (option games) liquidity constraints.

- Capital structure: Static trade-off agency conflicts informational asymmetry dynamic capital structure interactions with investment policy.

- Financial distress: Debt renegotiations strategic debt service bankruptcy procedure.

- Corporate control: Mergers and acquisitions industry competition.

- Corporate risk management: Risk management and firm value liquidity constraints.

- Empirical implementation: Estimation of structural models convexity bias and other issues in testing capital structure models.

See the course webpage
Empirical Research in Finance (FINE 703)
Introduction to Financial Economics (FINE 706)
FINA 80223A

Macro Asset Pricing

Subject

Finance

Program

PhD

Instruction mode

On-site learning

Credits

3

This class is intended for Ph.D. students interested in doing research in theoretical and empirical asset pricing with an emphasis on macro finance. The objective of this class is to familiarize students with a number of research areas and tools that are particularly important in the recent asset pricing and international finance literature. A large emphasis will be devoted to the analysis of risk premia in various financial markets and to foster our understanding on the role of investor preferences as a fundamental driver in asset pricing. We will cover the latest research focusing on the empirical determination and the theoretical explanation of various risk premia, such those present in exchange rates, sovereign debt valuation, equity markets, and corporate asset prices.

See the course webpage

3 specialization seminars

Advanced Topics in Investments and Corporate Finance (ADMI 840F)
ECON 80804A

Behavioral Economics and Finance

Subject

Économie

Program

PhD

Instruction mode

On-site learning

Credits

3

Departures from the expected utility framework and traditional discounting have been shown to better match observed behavior in many situations. Whether it is loss and ambiguity aversion, present-bias and temptation, or general biases in perceptions of risk and choice situations, these deviations from the standard framework have profound implications for how firms should design products and contracts and how governments regulate and design markets and programs. The course aims to apply concepts to different settings including saving and debt management, the purchase of insurance for various late-life risks faced by agents (e.g. health expenses, disability, longevity, income) reviewing the empirical and modelling literature in each of these settings.

Themes covered

1. Prospect Theory and Decision under Risk

2. Literacy Cognitive Skills and Perception Biases

3. Present-Bias and Temptation (Emotions)

4. Behavioral Welfare Analysis

5. Applications: Personal and Mandatory Savings

6. Applications: Private and Social Insurance

7. Applications: Health Insurance

See the course webpage
Corporate Finance (FINE 707)
Derivatives Pricing 1 (ADMI 841J)
Financial Theory and Corporate Policy Decisions (ADMI 840X)
Fixed Income Securities Theory (FINE 710)
MATH 80614A

Numerical Methods in Quantitative Finance

Subject

Mathématiques

Program

PhD

Location

Côte-des-Neiges

Instruction mode

On-site learning

Credits

3

The course is designed for the study of numerical methods in finance, with an emphasis on numerical methods for the pricing of contingent claims. The reading material covers earlier developments as well as current research issues. Some of the material will be presented in class by the instructors. However, the course will generally involve presentations and discussions of the assigned readings by the students.

Themes covered

Monte Carlo simulation

Solution of partial differential equations

Fourier Transform

Filtering and estimation of latent variables

Artificial intelligence

Risk measures

See the course webpage
ECON 80851A

Theory of Information and Contracts: Advanced Microeconomics

Subject

Économie

Program

PhD

Instruction mode

On-site learning

Credits

3

Contract theory, information economics, incentive theory and organization theory have been one of the most active field of research in economics, finance and management. The goal of this class is to provide graduate students of HEC Montréal and of the joint Ph.D. program in business administration an understanding of the tools, methods and models of contract theory. Economics has much to do with incentives. The central question is what makes people act in a particular way in an economic or business situation. The focus is on the course is to the study the principal-agent model in which a principal delegates a task to another agent through the use of a contract. In particular we study adverse selection and moral hazard models in static and dynamic settings.

See the course webpage

You may also choose any other equivalent seminar offered by the joint program or by a doctoral program at a Montreal university.

1 methodology seminar

1 pedagogy seminar

MNGT 80470A

Teaching in Business Education

Subject

Management

Program

PhD

Location

Côte-des-Neiges

Instruction mode

On-site learning

Credits

3

Themes covered

- Teaching conceptions and learning models
- Current trends in business education
- Teaching methods
- Course planning and preparation
- Technology and teaching
- Self-assessment of the SMT
- Pedagogical innovation in business education
- Developing oneself as a teacher

Important notes

Course in French : MNGT 80470

See the course webpage

You may also choose any other equivalent course offered in the joint program.

Phase III – Dissertation (maximum 3 years)

Writing of the dissertation
Public presentation of the dissertation proposal
Defence

Deadlines for submitting admission applications

Fall term: no later than January 5th
Winter term: no admissions
Summer term: no admissions

Currently studying in a master's program?

You can apply for admission to a doctoral program, even if you have not yet completed your current program (MSc or MBA). If your application is accepted, your admission will be conditional upon you receiving your degree before the start of the doctoral program, meaning before late August.

Conditions and required documents

Admission requirements

Degree required

You must hold one of the following degrees, or a degree deemed equivalent by the program administration:

Master of Science (MSc)
Master of Business Administration (MBA)
Graduate degree in a related field

Minimum GPA

You must have earned an average that the School deems excellent for all years of university studies.

Admission test

The admission test (GRE, TAGE MAGE or GMAT) is optional but strongly recommended to support your application.

Language requirements

Documents required for admission

You will need to provide documents as part of the admission process.

Check the list of required documents

Capacity is limited for certain programs. HEC Montréal does not guarantee that all eligible applicants will be accepted.

Program funding

At least $30,000 per year for your first 4 years of study.

This amount may include various sources of funding: bursaries, remuneration for teaching activities, research activities, etc.

A letter detailing the funding offer will be sent when you are admitted.

Financial support from the Office of Research and Knowledge Transfer

Maximum of $5,000 for the duration of studies

Depending on available funding, the Office of Research and Knowledge Transfer may grant assistance of up to $5,000 for the duration of your studies. The aim is to support your efforts in scientific research and publication, and to help you in your job search. Learn more about funded activities.

Estimated annual fees for the first 4 years of studies

For your first 4 years of studies, you will receive a tuition waver. During this time, you must pay institutional fees and medical insurance fees as applicable.

Canadian students
$0 for tuition fees $1,700 for mandatory institutional fees
Approximately $1,700 per year

Canadian students

$0 for tuition fees

$1,700 for mandatory institutional fees

Approximately $1,700 per year

International students
$0 for tuition fees $1,700 for mandatory institutional fees $700 for health insurance
Approximately $2,400 per year

International students

$0 for tuition fees

$1,700 for mandatory institutional fees

$700 for health insurance

Approximately $2,400 per year

Estimated annual fees starting the 5th year of studies

Canadian students
$2,700 for tuition fees $1,700 for mandatory institutional fees
Approximately $4,400 per year

Canadian students

$2,700 for tuition fees

$1,700 for mandatory institutional fees

Approximately $4,400 per year

French or French Belgian student
$2,700 for tuition fees $1,700 for mandatory institutional fees $700 for health insurance
Approximately $5,100 per year

French or French Belgian student

$2,700 for tuition fees

$1,700 for mandatory institutional fees

$700 for health insurance

Approximately $5,100 per year

International students
$3,300 for tuition fees $1,700 for mandatory institutional fees $700 for health insurance
Approximately $5,700 per year

International students

$3,300 for tuition fees

$1,700 for mandatory institutional fees

$700 for health insurance

Approximately $5,700 per year

Other financial resources

HEC Montréal encourages you to apply for bursaries with Quebec and Canadian funding agencies (annual competitions). Student Services (SAE) offers support for preparing your applications.

For any questions, email analyste.bourses [at] hec.ca (analyste[dot]bourses[at]hec[dot]ca).

Titre accordéon

Admission

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Information

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