|This course provides the theory and quantitative tools necessary to understand the pricing of financial securities and the management of financial portfolios. The course is organized into three sections. The first section covers fixed income securities: bond pricing, the term structure of interest rates, interest rate swaps and forwards, and monetary policy. The second section examines modern portfolio management: mean-variance analysis of portfolios, models of risk and return (including the CAPM and multifactor models), performance evaluation of money managers such as mutual funds and hedge funds, and market efficiency (including asset-pricing anomalies and behavioral finance). The last section covers the pricing of derivative securities such as options, futures, forwards, and swaps; and gives an overview of international investing.
While analytical rigor is expected, intuition is emphasized throughout as well as applications to real-world data and situations. An array of statistical skills are developed throughout the course.
|The primary texts are Bodie, Kane, and Marcus, Investments; and a CoursePack.|
|Based on 5-6 homework assignments, case write-ups and discussion, a mid-term, and a final. Class participation also plays a part. Cannot be taken pass/fail. No auditors.
There will be voluntary review sessions before the mid-term and final.
|Business 30000, 33001, and 41000 or 41100. Students must be comfortable with statistics, linear and matrix algebra, calculus, and microeconomics at the level of the above courses. Familiarity with Excel is essential.
Description and/or course criteria last updated: 08/13/2013
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