Villanova University
Derivatives and Risk Management (MBA)
Corporate Finance (MBA)
Risk Management of Financial Institutions (Undergraduate)
Financial Markets and Institutions (MSF)
Financial Markets: Liquidity, Market Structure, and Trading (MSF)
Washington University in St Louis
FIN 539 Mathematical Finance
This course focuses on continuous-time portfolio choice and equilibrium asset pricing. Students will learn how to solve optimal portfolio selection problems through both the Hamilton-Jacob-Bellman equation approach and the martingale approach. Fundamentals of equilibrium pricing theory will also be covered.
Teacher rating: 9/10 (median)
FIN 538 Stochastic Foundations for Finance
This is an introductory class to the stochastic calculus in (quantitative) finance. It is intended for students seeking to develop a good understanding of and to get good economic intuition for the use of stochastic calculus employed in financial modeling and pricing. First half of class concentrates on the introduction to stochastic calculus, with the ultimate goal of getting familiar with Ito lemma and how to apply it to functions of stochastic processes. The second half concentrates on a few applications of stochastic calculus in finance, in particular the Black-Scholes pricing model for option market, and the Vasicek pricing model for interest rate market.
Teacher rating: 10/10 (median)
FIN 524B Derivative Securities
This course develops the theory of derivative security pricing and its applications. We cover both simple linear derivative contracts, such as forwards, futures, and swaps, as well as more complex non-linear derivatives, such as put and call options and credit derivatives. The focus of the course is on the pricing and hedging of derivative securities through the principles of no-arbitrage and the law of one price. We apply these concepts to dynamic trading models, through the development of the binomial tree model, the Black-Scholes option pricing model, and the risk neutral pricing methodology. We discuss several important applications of the pricing methodology, such as its implications for risk management, exotic options, the pricing of corporate securities and credit derivatives.
Teacher rating: 8/10 (median)
FIN 532 Investment Theory
This course introduces the theory and practice of investments from the perspective of an investment/portfolio manager. After starting with an overview of financial markets, we investigate the tradeoff between risk and return available to investors and discuss investor preferences for risk and return. Next, we develop modern portfolio theory (MPT), which is at the heart of the class. We use MPT to derive the capital asset pricing model (CAPM) and examine its key implications. We then consider multifactor model extensions of the CAPM. Finally, we discuss market efficiency and its implications for portfolio performance evaluation. The course balances theory, computation, and application. Our aim is to understand core concepts and analytical tools and learn how to apply them to solve real-world investment problems. We will work extensively with financial data.
Teacher rating: 9/10 (median)
FIN 556 Practicum
Instruct a team of students in developing an efficient tax loss harvesting program for an investment company. The program is written in Python using the MSCI Barra Open Optimizer and generates significant tax alphas in simulations.