首先,要明确一点,金融学也有很多方向

国内传统的金融学课程主要是货币金融学、财政学的东西，都是偏文科的，对学数学的人来说，似乎不太过瘾。

而金融工程（就是《连续时间金融》里的内容）用数学比较多，建议楼主往这方面发展。

网上流传很广的一篇文章《一个CCER研究生的学习感悟》，里面有段是讲金融学的学习方法的

按照西方标准的金融学博士生项目，课程计划如下：

宾夕法尼亚大学沃顿商学院金融系博士生课程介绍：

FNCE 911
Financial Economics
The objective of this course is to undertake a rigorous study of the theoretical foundations of modern financial economics. The course will cover the central themes of modern finance including individual investment decisions under uncertainty, stochastic dominance, mean variance theory, capital market equilibrium and asset valuation, arbitrage pricing theory, option pricing, and incomplete markets, and the potential application of these themes. Upon completion of this course, students should acquire a clear understanding of the major theoretical results concerning individuals' consumption and portfolio decisions under uncertainty and their implications for the valuation of securities.
Prerequisites: ECON 681 OR ECON 701, Matrix Algebra and Calculus.

FNCE 912
Financial Institutions
This course provides students with an overview of the basic contributions in the modern theory of corporate finance and financial institutions. The course is methodology oriented in that students are required to master necessary technical tools for each topic. The topics covered may include capital structure, distribution policy, financial intermediation, incomplete financial contracting, initial and seasoned public offerings, market for corporate control, product market corporate finance interactions, corporate reorganization and bankruptcy, financing in imperfect markets, security design under adverse selection and moral hazard, and some selected topics.
Prerequisites: ECON 898, STAT 510, or FNCE 911.

FNCE 921
Introduction to Empirical Methods in Finance
This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.
Prerequisites: FNCE 911 (can be taken concurrently), STAT 510 and 511 or equivalent.

FNCE 922
Continuous-Time Financial Economics
This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.
Prerequisites: FNCE 911, ECON 701, ECON 703. Graduate level knowledge of analysis and statistics is highly recommended but not required.

FNCE 923
Financial Economics Under Imperfect Information
General equilibrium and rational expectations. Foundations of the theory of information. Learning from prices in rational expectations equilibrium models. Moral hazard, adverse selection and signalling. Bidding theories.
Prerequisites: FNCE 922.

FNCE 924
Intertemporal Macroeconomics and Finance
This is a doctoral level course on macroeconomics, with special emphasis on intertemporal choice under uncertainty and topics related to finance. Topics include: optimal consumption and saving, the stochastic growth model, q-theory of investment, (incomplete) risk sharing and asset pricing. The course will cover and apply techniques, including dynamic programming, to solve dynamic optimization problems under uncertainty. Numerical solution methods are also discussed.
Prerequisites: FNCE 911.

FNCE 925
Topics in Asset Pricing
This course will analyze several aspects of liquidity. Mostly, it will concentrate on liquidity as an asset's property of being traded quickly and at low cost, but the notion of availability of cash will also be studied. Particular attention will be devoted to exogenous transaction costs, asymmetric information and search frictions as determinants of asset liquidity and, consequently, price. We will also look at liquidity risk, institutional features arising as response to liquidity problems, and financing constraints. The course will concentrate on theoretical models, but the empirical literature will be referred to throughout.

FNCE 932
Corporate Finance
Advanced theory and empirical investigations: financial decisions of the firm, dividends, capital structure, mergers and takeovers.
Prerequisites: FNCE 911, FNCE 921, or permission of instructor.

FNCE 933
International Finance
This course provides an understanding of current academic research in the areas of international finance and international macroeconomics. Students will learn the tools for conducting research in this field.
Prerequisites: FNCE 911, FNCE 922 (recommended).

FNCE 934
Empirical Research in Finance
Rigorous treatment of current empirical research in finance. Applications of multivariate and nonlinear methods. Intertemporal and multifactor pricing models. Conditional distributions. Temporal dependence in asset returns.
Prerequisites: FNCE 911, 921.

FNCE 937
Applied Quantitative Methods in Finance
FNCE 937 uses numerical tools to address a variety of issues in finance. The course has two main objectives. First, it seeks to provide the students with useful quantitative tools to understand and produce frontier research in finance. Second, it applies these tools to advanced topics in both corporate finance and asset pricing. A special emphasis is placed on new and recent research.
Prerequisites: FNCE 911.

FNCE 939
Behavioral Finance
There is an abundance of evidence suggesting that the standard economic paradigm – rational agents in an efficient market – does not adequately describe behavior in financial markets. In this course, we will survey the evidence and use psychology to guide alternative theories of financial markets with an eye towards identifying frontiers and opportunities for new research. Along the way, we will address the standard argument that arbitrage will eliminate any distortions caused by irrational investors. Further, we will examine more closely the preferences and trading decisions of individual investors. We will argue that their systematic biases can aggregate into observed market inefficiencies. The second half of the course extends the analysis to corporate decision making. We present the two themes of behavioral corporate finance: rational managers exploiting financial market inefficiencies and managerial decision-making biases. We then explore the evidence for both views in the context of capital structure, investment, dividend, and merger decisions. We emphasize the importance of differentiating the behavioral approach from information models and other more traditional methodology.
Prerequisites: FNCE 911.

http://finance.wharton.upenn.edu/department/PHD/courses/

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西北大学凯洛格商学院金融系博士生项目：

http://www.kellogg.northwestern.edu/finance/doctoral/index.htm

Doctoral Program Overview

The finance doctoral program provides students with a rigorous background in finance, both theoretical and empirical, economics, mathematics and statistics. These tools, plus opportunities for supervised independent research, enable students to make their own contributions to the understanding of financial markets and institutions. Doctoral students are trained to be future faculty members at leading research universities.

Current theoretical and empirical research in the department of finance spans the areas of asset pricing, corporate finance, financial institutions, international finance, market microstructure, regulation and related economic theory and econometrics. Moreover, PhD candidates have the opportunity to interact with the broader research community at the Kellogg School and the adjacent economics department of Northwestern University.

http://www.kellogg.northwestern.edu/finance/doctoral/guidelines.pdf