|This course offers the financial theory and quantitative analytical tools necessary for understanding how stock, bond, and option prices are determined, and provides the skills required to make sound investment decisions. Topics covered include the following: the term structure of interest rates; portfolio selection based on mean-variance analysis; models of risk and return (including the CAPM and multifactor models); performance evaluation; market efficiency (including asset pricing anomalies and behavioral finance); derivative security pricing (including options, futures, forwards, and swaps), and special topics on the state of quantitative finance.
Practical implementation issues will be discussed on every topic, and every effort will be made to incorporate the problems and objectives of the practitioner. An array of analytical and statistical skills will be developed throughout the course.
|The main texts used for the course are Bodie, Kane, and Marcus, Investments; and Grinblatt and Titman, Financial Markets and Corporate Strategy. A CoursePack will also be designed containing supplemental readings, cases, and articles.|
|Based on 5-6 homework assignments, 1-2 case write-ups and discussion, a mid-term, and a final exam. Class participation will also play a role. Cannot be taken pass/fail. No auditors.|
|Business 30000, 33001, and 41000. This is a highly quantitative course. Students must be comfortable with statistics, linear and matrix algebra, calculus, and microeconomics at the level of the above courses. Familiarity with a spreadsheet package such as Excel is vital.
Description and/or course criteria last updated: 6/09
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