The course reviews several topics in corporate finance and closely related topics that are increasingly incorporated into corporate finance research. It focuses primarily on managers of real and, to lesser extent, financial assets. As such, the course deals with the recent work on the four aspects of the firm’s budget equation (profitability, external financing, optimal investment and payouts); capital structure; firm focus and diversification; corporate governance, social responsibility and compensation; and the effect on other firm stakeholders and of exogenous shocks.
Description: This course provides an advanced coverage of the general theory of derivatives pricing, and an examination of special topics on option pricing and financial engineering. It covers and contrasts basic models in option pricing by two different paradigms, absence of arbitrage and absence of stochastic dominance in terms of their theoretical contributions and empirical implications. It then proceeds to cases, where the basic model fails because of violations of its fundamental assumptions of market completeness and frictionless trading. Frictionless derivatives pricing models in the presence of market incompleteness include stochastic volatility, GARCH and jump processes. The attempts to deal with the presence of market frictions such as transaction costs are also briefly covered.
Description: This course focuses on theoretical and empirical tools and results in asset pricing and portfolio choice. The course introduces continuous time finance and broadly covers cross-sectional and time-series models in asset pricing, consumption-based models, as well as intermediary asset pricing including the role of capital constraints. Topics covered include utility and risk aversion, portfolio choice, stochastic discount factors, equilibrium and efficiency, mean-variance analysis and spanning tests, factor models, heterogeneous beliefs, learning, rational expectations equilibria, information/strategic trading/liquidity, and tests of asset pricing models and anomalies.
Description: The course presents approaches used in conducting research in finance and accounting. A discussion of general problems in research is followed by a review of relevant statistical concepts, general problems of financial model building, and the linear regression model. The problems of unit roots, time series approaches for testing the stability of financial variables, and co-integration are also discussed. The issue of stochastic volatility is also considered as are other techniques such as qualitative choice methods, regime switching models, market-timing tests for performance appraisal, instrumental variables simultaneous equation estimation, generalized method of moments (GMM), quantile regression, regression discontinuities, as well as bootstrapping and Monte Carlo estimation.