Thanks for your reply MathFinance. I will check out the website. By the way nst stands for my name

This is "Merton"They took that nickname too seriously, so I had to make up a new one. Magill wrote a book on incomplete markets but he teaches the main courses in financial economics at the economics department. But, believe me, the econ department here is not good. Cvitanic did his Ph.D. at Columbia, taught there for over 5 years, and was aggressively recruited by USC in 1999 along with Ortu and Zapatero (both at the business school, and the latter co-authoring a book with Cvitanic). I have been invited to join the MS program at USC, but I know of at least 3 people who went to other top schools from USC: Chicago, Columbia, NYU, etc. So I am guessing they saw the same thing in USC as I did--some great professors, a lot of courses, but difficult to find a quant job here in LA. Plus, if I am going to get a degree, might as well get it from a prestigious school: Princeton and Columbia.I wonder if Princeton's finance courses are sufficiently rigorous, or do they require additional math and OR courses to really learn the quantitative stuff.

Makes sense.Princeton's courses are definitely rigorous enough; that was one of the questions I posed to them. The courses are essentially PhD level, as they don't really cater to master's students at the school (as I stated before). Aside from stochastic calculus (they have split this class into 2 sections, so you can take either the difficult, or very difficult, version) and other courses, they offer a number of other higher-level classes that rotate from year to year. These are the type of courses that might require the more difficult version of stochastic calculus, the PhD sequence in probability, etc. as pre-requisites. The economics department offers courses which require the same preparation (financial economics I & II, for example). And of course they offer everything in between in math and OR as well. They completely convinced me when when I was asking about this....

MathFinance,Which depts at Prinston U manage to give PhD in QF program?Is it very difficult to get an admission of that program?Where is its courses list?

No departments at Princeton grant a PhD in quantitative finance. The closest thing would probably be a PhD in ORFE - operations research and financial engineering (the renamed version of their industrial engineering and operations research department). The master's in finance does not have a corresponding PhD directly aligned with it, although ORFE is one of the two main departments which run the master's in finance program. Otherwise, the next closet areas in which one could pursue similar studies might be economics or applied and computational mathematics. Some of the courses from the various departments are listed on the webpage I posted at the bottom of an early reply on this thread.Carnegie Mellon confers PhD's specifically in mathematical finance.http://www.math.cmu.edu/grad/degree/phd-mf.htmlThe admissions process for PhD programs in the US is generally very competitive.