Course Sequence

This course introduces advanced methodological tools required to do research in finance and investment analysis. Topics include basic theory of statistical inference with linear models, general linear models, Heteroskedasticity models, time series models, analysis of variance, discriminate analysis, factor analysis, and non-parametric tests. Emphasizes modern portfolio theory. This course will also cover asset pricing models (preferences, utility functions, risk aversion, basic consumption model, the mean-variance frontier, factor models, and robust preferences) and options pricing and risk management (arbitrage pricing in a complete market, delta-hedging, risk measure, and Value at Risk).

This course focuses on fundamental analysis and firm valuation. The knowledge and skills required for financial analysis of firms reporting under U.S. GAAP and IFRS are introduced first, followed by techniques for fundamental analysis of an industry and a firm. Techniques to value the enterprise and equity are emphasized with focus on mature firms in developed markets, followed by financial institution, emerging market, and private equity applications. Participants will gain proficiency in spreadsheet analysis, financial models for integrated financial forecast, and valuation. Attention to developing the communication skills needed to effectively communicate the analysis is embedded through cases and presentations. Technology and data, heavy use of Excel, and Bloomberg will be required.

The course is intended to provide an understanding of the role of modern financial theory in portfolio management and to present a framework for addressing current issues in the management of financial assets. Topics to be covered during the semester include trading, valuation, active portfolio management, asset allocation, global diversification, performance measurement, financial derivatives, and fixed income securities.

The course emphasizes modern methods of risk management. Lectures cover risk measurement and estimation, management, control, and monitoring of risk positions. The impact of risk management tools such as derivative securities will be examined. Regulatory constraints and their impact on risk management will also be assessed. This course also provides 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.) stochastic interest rate, D.) stochastic volatility, E.) American options, and F.) some numerical methods such as Monte Carlo simulations. Additional topics may be covered depending on time constraints.
Prerequisite: Take MFIM-638 MFIM-636

This courses features analyses of U.S. and foreign fixed income markets and describes the various products, where and how they are traded, how they are priced, and how they are used to achieve a variety of 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 course also provides an introduction to 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. The course covers topics such as basic theoretical and empirical term structure concepts, short rate modeling, and the Heath-Jarrow-Morton methodology and market models.
Prerequisite: Take MFIM-636

This course analyzes the theory and practice of modern investment management. Topics include quantitative concepts, portfolio analysis, capital asset pricing theory model, 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 lifecycle 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 also be presented. The course also focuses on empirical features and practical implementation of dynamic portfolio problems.
Prerequisite: MFIM-636 MFIM-638 MFIM-640

This course provides a solid foundation in the investment field. Considers aspects of accounting, economics, finance, strategic management, strategic marketing, and management science relevant to modern investment analysis. Topics include the analysis and understanding of security markets and the economy, industries, companies, and analysis and valuation of corporate securities. The course teaches students how to develop valuation techniques and technical analysis that is later used to value equities in the major industrial sectors. The variety of geographic, industrial, and other specialized circumstances requires a careful selection of the appropriate valuation methods and the interpretation of different standards of financial reporting and disclosure. The course also prepares students to analyze the firm's prospects based on forecasts of the economic environment, industrial activity, and business cycle; measures of performance and value added (EVA, MVA, CFROI); valuation for closely held companies, mergers, acquisitions, and divestitures; technical analysis; and alternative investments such as real estate, venture capital, investment companies, and hedge funds.
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

The course covers ethical issues, professional standards, and the code of conduct related to investment portfolio management and private and public sharing of information. This course will also examine regulations covering business ethics and standards of professional conduct in the financial services industry and include discussions of business leadership and professional conduct in the financial services industry.
Prerequisite: TAKE MFIM-636 MFIM-638

This course introduces and applies various numerical and computational techniques useful to tackle problems in mathematical finance. Among them are different interpolation methods and their consequences during hedge and root solving techniques and their properties. The focus of this course is the pricing of derivative securities. The PDE (partial differential equation) approach is discussed and stability analyzed. Monte Carlo methods are introduced with various variance reduction techniques and theoretical aspects studied. The course will also include applications to credit derivatives and other fashionable topics if time permits. The course is designed to be both theoretical and practical, dealing with theoretical aspects of the numerical techniques (what works, what does not, and what is popular in the industry and why) using tools from pure and/or applied mathematics with spreadsheet experimentations. In this course, students are challenged in both areas: theoretical (theorems, calculations, proofs) and practical (making spreadsheets that are working, easy to use, and understand).
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

This course is required for students in the MSFIM program.  The course parallels the curriculum found in the Chartered Financial Analysts, CFA Level I examination.  Topics include ethics and professional standards, economics, financial statement analysis, equity and fixed income analysis, quantitative techniques, derivatives, and portfolio management.  Completion of the course facilitates the student in preparing for the CFA Level I examination.

The course has an emphasis on applications rather than statistical theory, and thus builds on Quantitative Finance I by emphasizing the use of financial data to conduct applied analysis. The aim of the course is to equip students with a working knowledge of important econometric techniques used in financial economics, such as event study, advanced time series analysis, and survival analysis. Substantial emphasis will be placed on the development of programming skills in computer program. The emphasis is on understanding and learning how to apply the econometric tools used by academics and practitioners working in these areas. The course will be helpful for anyone interested in pursuing a graduate degree in a quantitative field, but equally helpful for students interested in working at research institutions or financial institutions.
Prerequisite: Take MFIM-636 MFIM-638;

This course examines different models and practices for valuing various asset classes ranging from R&D investments to firms, both public and private.
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

This course studies the flow of funds in the short-term and long-term financial markets. Sources and uses of funds, interest rate theory, and the role of the Federal Reserve System and the U.S. Treasury are studied to provide background for interpretation of current developments.
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

This course introduces and applies various numerical and computational techniques useful to tackle problems in mathematical finance. Among them are different interpolation methods and their consequences during hedge and root solving techniques and their properties. The focus of this course is the pricing of derivative securities. The PDE (partial differential equation) approach is discussed and stability analyzed. Monte Carlo methods are introduced with various variance reduction techniques and theoretical aspects studied. The course will also include applications to credit derivatives and other fashionable topics if time permits. The course is designed to be both theoretical and practical, dealing with theoretical aspects of the numerical techniques (what works, what does not, and what is popular in the industry and why) using tools from pure and/or applied mathematics with spreadsheet experimentations. In this course, students are challenged in both areas: theoretical (theorems, calculations, proofs) and practical (making spreadsheets that are working, easy to use, and understand).
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

This course features in-depth coverage of a selected issue in finance. Subject matter may vary from semester to semester. Enrollment is limited to facilitate a high level of interaction among faculty and students.
Prerequisite: TAKE MFIM-636 MFIM-638 MFIM-640

This course is required for students in the MSFIM program.  The course parallels the curriculum found in the Chartered Financial Analysts, CFA Level I examination.  Topics include ethics and professional standards, economics, financial statement analysis, equity and fixed income analysis, quantitative techniques, derivatives, and portfolio management.  Completion of the course facilitates the student in preparing for the CFA Level I examination.