DBA 900 Student Orientation: Business Strategy, Ethics and Craft of Research 1.5 CR
The DBA orientation seminar introduces students to the curriculum, organization and requirements of the program. It explains major business strategies, as well as ethical foundations of business, with a particular focus on ethical standards in the finance field. It also elaborates the nature, uses and objectives of a doctoral-level applied research. Students learn how to construct arguments, devise and test analytical models and write publishable studies.
DBA 901 Career Transition Seminar 1.5 CR
A program-concluding special seminar that overviews career trajectories for DBA Finance graduates in both business and academic institutions. It also covers professional networking strategies.
FN 901 Advanced Corporate Finance 3 CR
The purpose of this course is to provide a background for understanding the major research directions in corporate finance. Topics include theory of the firm, capital structure, external financing decisions, payout policy, agency problems, corporate control and governance, investment decisions, and the role of financial institutions in corporate transactions. Prerequisite: DBA900
FN902 Advanced Asset Pricing 3 CR
This course is an advanced treatment of portfolio choice and asset pricing theory. Topics include expected utility maximization, stochastic discount factors, arbitrage, mean-variance analysis, representative investors, and beta-pricing models. Single-period and dynamic models are studied. Prerequisite: DBA900
FN 903 Quantitative Research Methods I: Advanced Statistics and Mathematical Modeling 3 CR
Students learn in this lab-based course mathematical statistics along with applications to business decisions. The main topics include: probability, random variables, normal and non-normal distribution, hypothesis testing, linear and non-linear regressions, analysis of variance and nonparametric statistics. A special emphasis is on cross-sectional, panel and stochastic analyses of financial data. The course material is particularly useful to professionals who aim at quantitative positions at financial institutions and consulting firms. Prerequisite: DBA900
FN 904 Quantitative Research Methods II (Econometric Methods) 3 CR
The second lab-based quantitative research methods course covers the analytical material comprised within the growing discipline of financial econometrics. The course material encompasses time-series analyses and their applications to financial processes. Students gain foundations of modeling and forecasting key financial variables, including asset prices, returns, interest rates, financial ratios, defaults, etc. They become familiar with modern, state-of-the-art estimation methods of high-frequency financial data (such as ARCH-class tests, PCA, ARMA, VAR and cointegrated systems estimation). Prerequisite: FN 903
FN 905 Price Theory 3 CR
The course overviews key concepts of microeconomic analysis. It is designed for students with a sound quantitative preparation. The material delineates the main theories of the firm, the consumer and the market. It includes modern analytical techniques of general equilibrium and welfare economics, along with their econometric verification. In addition, it examines basic concepts of the economics of information, including price signaling, moral hazard and multiple equilibria. Prerequisite: DBA900
FN 906 Global Financial Markets and Institutions 3 CR
The course examines equity, fixed income and derivative markets in the global context. The advanced analytical material focuses on modeling market trends, cycles and volatility. It examines impact of monetary, fiscal and regulatory policies on market dynamics. It highlights new research on financial crisis, banking, and credit markets. Major risks faced by financial institutions are thoroughly covered. Prerequisite: DBA900
FN 907 Doctoral Field Seminar I 3 CR
This is an advanced seminar examining modern theories and concepts in several sub-fields of finance. These functional areas include: A: Fixed Income Securities, B: Investments, C: Market Microstructure, D: Derivative Securities, E: International Finance, F: Portfolio Management. The course normally covers both seminal and recent literature in one, two or three of these functional areas. The current selection of the specified areas is consistent with the specific expertise of the departmental faculty and may be expanded in the future. The required readings include a set of appropriate seminal research papers from areas covered in a single course. The seminar will conclude with a specific guided research project conducted in an individual financial institution. Prerequisite: FN901 and FN902
FN 908 Doctoral Field Seminar II 3 CR
A continued advanced seminar examining modern theories and concepts in the functional areas of finance other than those selected in FN907. As in FN907, the functional areas include: A: Fixed Income Securities, B: Investments, C: Market Microstructure, D: Derivative Securities, E: International Finance, F: Portfolio Management. Prerequisite: FN901 and FN902
FN 909 Research Methods and Dissertation Design in Finance 3 CR
The course provides a survey of modern research methodology in the field of finance. The course material focuses on leading models of financial analyses, seminal studies, recent literature and bibliographical sources. A special emphasis is on writing skills for advanced financial studies. Students learn to formulate motivation, underlying hypotheses; they gain skills for developing advanced analytical models. The course material also emphasizes advanced estimation techniques of financial models. Students learn to test underlying hypotheses and formulate practical policy conclusions. Prerequisites: FN901 and FN902
FN 910 Finance Dissertation Research Seminar I 3 CR
An interactive in-class, lab-based instruction. This seminar leads to formulation of a motivation and hypothesis for a specific finance dissertation project. It concludes with a development of a dissertation proposal. Prerequisites: Comprehensive Field Exam
FN 911 Finance Dissertation Research Seminar II 6 CR
An interactive in-class, lab-based and individualized instruction. This seminar emphasizes empirical testing and articulation of policy applications of a specific analytical model or a set of models utilized in a DBA dissertation. Prerequisite: FN 910
FN 912 Empirical Methods in Finance 3 CR
This course is an introduction to empirical research in finance, covering the techniques most often used in the analysis and testing of financial economic theory. The course covers both time-series and cross section methods. Topics include event studies, empirical tests of asset pricing models, forecasting relationships, return predictability in the time-series and cross-section, asset pricing anomalies, and specification and identification issues in corporate finance. Prerequisite: FN 901
FN 913 Advanced Financial Risk Management 3 CR
The course provides a comprehensive overview of various types of financial risk and the techniques employed to manage them. The material covers standard risk identification and measurement models as well as alternative models addressing options and structured credit risks. Real-world complexities of risk modeling are discussed, along with the background on financial innovation, liquidity, leverage and financial crises. Prerequisite: FN 912
FN 907 & FN 908: DBA Field Seminar Courses
FN 907/908A Fixed Income Securities 3 CR
The lecture material provides an analysis of various fixed income products, their trading and pricing. Examined are their applications for achieving financial goals, including: capital formation, interest rate risk management, and portfolio diversification. Topics covered include treasury, agency, corporate, and municipal bonds, floating rate bonds, mortgage-backed securities, term structure modeling, immunization, credit risk management, credit derivatives, and interest rate derivatives including swaps, caps and floors, and swaptions.
The lecture material also includes the valuation of fixed income securities, the management and hedging of fixed income portfolios and the valuation and usage of fixed income derivatives. Some of the contracts analyzed in the course include pure discount bonds, coupon bonds, callable bonds, floating rate notes, interest rate swaps, caps, floors, swaptions, inflation-indexed bonds, and convertible bonds.
Prerequisites: FN 902, FN904 and FN912
FN 907/908B Investments 3 CR
The course focuses on risk, return and the institutional structure of equity, bond and derivative securities markets. It overviews modern theories of portfolio analysis and performance evaluation, as well as cutting-edge methods employed in managing portfolio choices and asset allocation. Students gain familiarity with analytical methods used in projecting individual stock and bond performance such as discounted cash flows, factor models, value versus growth and an analysis of factors affecting the risks and returns of individual securities. Prerequisites: FN 902, FN904 and FN912
FN 907/908C Market Microstructure 3 CR
The lecture material reviews the fundamental theories and models of market microstructure such as the Inventory Model, Sequential Trading Model (e.g. Glosten-Milgrom model, Easley, O’Hara model), Strategic Trading Models (e.g. Kyle model) as they apply to markets for equities, currencies and fixed income securities. The content of the course will also focus on issues related to limit order market, information and price discovery, trading cost and liquidity, and market depth. Using super-high-frequency data, students work with models of the limit-order markets, and optimal order execution: optimal order slicing, and maker-versus-taker strategies. Quantitative, technical analyses include: stochastic and deterministic trends, momentum, oscillation, arbitrage trading, pair trading, implementation and methods of back-testing. Students learn to formulate and back-test various trading strategies developed upon understanding the mechanics of market microstructure. Prerequisites: FN 902, FN904 and FN912
FN 907/908D Derivatives Securities 3 CR
The material covers a comprehensive and in-depth treatment of valuation methods for derivative securities. Extensive use is made of continuous time stochastic processes, stochastic calculus and martingale methods. The main topics to be addressed include (a) European option valuation, (b) Exotic options, (c) Multi-asset options, (d) Swaps, (e) Stochastic volatility, (f) American options, and (g) The role of derivatives in modern financial risk management. Prerequisites: FN 902, FN904 and FN912
FN 907/908E International Finance 3 CR
A comprehensive survey of the structure and dynamics of international financial markets and their linkages to domestic markets. Topics include the global profile of capital movements, the Eurocurrency markets and major money markets, international capital markets, including bonds and syndicated credits, and the foreign exchange market. An emphasis will be placed on the hedging techniques and tools used to reduce the risks associated with international financial markets. Prerequisites: FN 902, FN904 and FN912
FN 907/908F Portfolio Management 3 CR
This course provides an advanced treatment of the theory and practice of modern portfolio management. Topics include quantitative concepts, portfolio analysis, capital asset pricing theory, performance measurement, efficient market hypothesis, portfolio management process, use of derivative securities, ethical and legal considerations and professional standards.
The course will also provide students with a concise introduction to recent results on optimal dynamic consumption-investment problems. Lectures will also cover standard mean-variance theory, dynamic asset allocation, asset-liability management, and life cycle finance. The main focus of this course is to present a financial engineering approach to dynamic asset allocation problems of institutional investors such as pension funds, mutual funds, hedge funds, and sovereign wealth funds. Numerical methods for implementation of asset allocation models will be presented.
Prerequisites: FN 902, FN904 and FN912