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Object Oriented Programming in Finance I (22:839:614) & II (22:839:615)
C++ is a higher level computer language with multiple personalities. The objective for this two part course is for the student to become proficient in C++ programming so as to be able to develop c++ functions and classes for independent and interrelated economic models via parametrization and/or class interrelation. Topics will include data structures from the simple data types and matrices to interrelated classes and inheritance; standard mathematics libraries, logic and processing from simple conditionals to iteration and multitasking and the various forms of parametrization.



Operations Research Models in Finance (26:711:685)
This course teaches students the use of Operations Research Models in the areas of Risk and Portfolio Management.



Options (22:390:609)
Introduces the rapidly developing markets in futures and options. Subjects include the nature of such markets, the pricing of instruments in the markets, and the use of such instruments by both speculators and hedgers.



Elective CoursesThe descriptions below briefly outline some of the elective courses.



Advanced Econometrics (26:223:655)
Simultaneous equation models, seemingly unrelated regressions, autocorrelation, ARIMA models, and nonlinear estimation. Applications of such techniques to theoretical and empirical problems.

Advanced Financial Management (22:390:605)
Examines the problems faced by the corporate financial manager on the theoretical, analytical, and applied level. The impact of the financing decision upon the value of the firm is analyzed. Theoretical and analytical aspects of the capital budgeting decision. An analytical framework is presented to evaluate leasing, bond refunding, and mergers and acquisitions. Theories of corporate governance are discussed.



Analysis of Fixed Income Securities (22:390:611)
This course is designed to explore the investment characteristics, pricing, and risk/reward potential of fixed income securities. The securities covered include bonds---with and without embedded options, mortgages and mortgage-backed securities together with their derivatives such as collateralized mortgage obligations (CMO's), income-only (I0's) and principal-only (PO's) strips, interest rate swaps, and interest rate futures and option contracts. In addition this course will explore the strategies for investing in portfolios of fixed income securities. Prerequisites: 390:587 or 390:522; and 390:603.



Applied Portfolio Management (22:390:658)
This course teaches students how to create and manage on a continuing basis and actual portfolio that meets the needs of a client. At most, seven students will be accepted to this course.



Credit Derivatives (16:642:611)
In addition to equity, interest rates, FX, and commodity derivatives, credit derivatives play an increasingly important role in financial markets. The course will include a review of jump processes; the basic theory of single name credit derivative modeling; structual, reduced form or intensity models; credit default swaps; default correlation, multiname credit derivative modeling; top down versus bottom up models; basket credit derivatives; collaterized debt obligations; and tranche options. The goal of the course is to cover most of the material in "Credit Risk Modeling" by David Lando (Princeton University Press, 2004) or "Credit Derivatives Pricing Models" by Philipp Schonbucher (Wiley, 2004).



Empirical Finance (26:390:668)
The application of econometric techniques to the empirical study of finance and financial economics, especially the examination of weak effects with very large samples. Among the topics examined are measurement problems in event studies, the effects of anomalies in reported prices on computed returns, and how to deal with those effects. After completing this course and Advanced Econometrics, the student should be able to evaluate critically both proposed and published studies and will become adept at designing his or her own studies.




Financial Management (22:390:587)
Provides a general survey of the field, including the basic principles of corporate finance, financial markets and institutions, and investment theory. Corporate finance topics covered include: the objective of financial management, valuation of assets and associated problems in the valuation of the firm, acquisition of long-trimester assets (capital budgeting), management of short-trimester assets, capital structure and financial statement analysis. Financial markets and institutions studied include money markets, stock and bond markets, derivatives and the banking system. Investment analysis topics include portfolio theory and asset pricing models.



Financial Statement Analysis (22:390:613)
This course presents techniques for analyzing a firm’s current and projected financial statements for the purposes of credit analysis, security analysis, and internal financial analysis, cash flow forecasting, time series analysis, discriminant analysis, and ‘event studies’. Topics covered include: financial distress prediction, evaluation of sort-term and long-term loan requests, financial evaluation of new products and start up firms, the impact of accounting information on security returns, determinants of bond ratings and yields, and the reliability of historical and forecasted accounting data. A working knowledge of spreadsheet analysis is expected. Special emphasis is placed on acquiring data from printed and computer databases and an introduction to specialized online databases and the Internet.



International Capital Markets (22:390:606)
Offers an understanding of the international financial structure and studies its impact on business and individuals in various nations. Topics include the study of the adjustment mechanism used by nations to solve balance of payments difficulties, the examination of international liquidity and the new techniques being developed to replace gold; and a brief look at the implications of these developments in guiding the international operations of banks, other financial institutions, and business firms.

Investment Banking (22:390:654)
This course covers the effective integration of financial theory and practice and explores the rapidly evolving theory of finance as it relates to a corporation’s investment in assets and finance. We will also cover financial analysis and reasoning applied to problems faced by management. Topics include: mergers and acquisitions, leasing, project finance, the art of negotiating, securities industry, and financial engineering. Caricom, Aesean, and examine attempts elsewhere, such as the Middle East, China, Japan, and other Asian territories. Students develop projects on contemporary themes.




Portfolio Management (22:839:608)
Comprehensive coverage of the theory and practice of money management as well as in-depth analysis of the theory and practice involved when securities are combined into portfolios. Like 390:603, the course is designed for finance majors interested in a career in money management. Prerequisites: 223:581 or 223:521; 223:591 or 223:520; 390:587 or 390:522; and 390:603.



Risk Management (22:390:670)
This course introduces fundamental principles and techniques of financial risk management. Topics include the role and function of risk management in investments; categories of financial risk: market, credit and operational risk; regulatory issues of risk management; models and measurement of risk; tools and techniques of risk management: P&L models, value-at-risk, expected shortfall, extreme value theory, regression techniques, Monte-Carlo simulation, and Dempster-Shafer model; stress testing and maximum loss theory; and model risk: model validation in practice, term structure models and volatility models.
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