Hi I want to do PhD in quantitative finance from University of Oxford, Cambridge or ICL. But I am a little worried about how challenging it would be for me. I have heard that sometimes people quit their PhD. Is it possible to get a Masters degree in consolation (like the way in USA) if I find PhD tough and decide to quit?

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I just started at ICL. You're initially registered for an MPhil, which you upgrade to a PhD after a year. Presumably after a year you'll know if you can cut the mustard. It's the same at Oxford, not sure about Cambridge.

Thanks for your reply. Is it easier to get into the MS or the PhD program? Is it possible to apply for both at a college?

Everyone I know who dropped out of a phd program spends the rest of their lives apologizing or rationalizing why they did so. It's funny. The excuses run the gamut from "I'm ABD" to "I just wasn't good enough." In either direction, this defines the rest of their lives.

Most people do not finish the phd and they do, in fact, rationalize their decison (if it was theirs) for the rest of their lives. Any decent program will tell you whether you are likely to make it through in a year or two, via the comprehensive examinations or faculty feedback.

If you already have doubts about completing the PhD ... if you are already thinking about it before you even start the PhD, then you will find a reason to quit eventually.

At least where I went (US) there were two kinds of masters degrees. One is a "terminal" masters. The kind you don't pretend you might go on from. The other is a regular masters degree, perceived as a waypoint to the PhD.You didn't have to get an MS first. But my university was happy to grant me one on the way to my getting a PhD. So, you don't have to choose right away per se. It will be more work, by the way. You will need to produce a masters' thesis and a PhD thesis. There is a higher expectation on "non terminal" masters students than on "terminal" (i.e. stopping here) students.There is a very low conditional probability of finishing your PhD given you stop at an MS.

I started off doing a research MSc for 2 years in FEM for hyperbolic PDE. Just another few months or so I would have a PhD. However, my supervisor's pet topic (singular perturbations) was important to his group. Decision time. So, I got the MSc and spent 3 years on a (completely) new topic: exponentially fitted FDM for convection-diffusion PDE. The input for the MSc was 1 paper. For PhD I defined the problem myself.You are basically on your own - intellectually speaking - in these years.