MS Finance Handbooks

Objectives of this technical course include providing students with knowledge of specific trading mechanics, basic economic concepts and technical asset valuation tools to successfully employ a wide variety of derivative securities into a risk management context; as well as to understand risk-return tradeoffs associated with specialized speculative strategies in derivatives markets. A broad survey of rapidly-changing forward, futures, options, swaps (and other related derivative types) is followed by emphasis upon asset pricing models of complex financial instruments using both classical economic theory and advanced mathematical techniques. Basic knowledge of differential calculus is expected. Basics of stochastic calculus will be covered. Students will be prepared to employ material learned into a corporate (or smaller firm) environment for management of business-related risk from fluctuating commodity prices, interest rates changes, foreign exchange fluctuations and construction of stock/bond investment fund 'portfolio insurance'.

Credits: 3
Semesters offered: Fall 2023 | Spring 2024
Co-Requisite: MGF 633 or MS Accounting Majors.

This is a course about fixed-income securities and markets. It covers topics that are important for any MBA student that anticipates hedging interest rate exposures or otherwise transacting in the fixed-income market. The course reviews basic bond pricing concepts and important features of interest rate futures and options contracts. It also introduces a few (somewhat complicated) models of the term structure. This is a rigorous course that requires students to be familiar with basic investments and calculus concepts. While MGF633 is not a prerequisite for this course, students that are taking MGF633 simultaneously with the course will be better prepared. Like most finance courses, the course focuses more on lasting financial principles than on current institutional details.

Credits: 3
Semesters offered: Spring 2024

This course provides an in-depth treatment of corporate finance concepts for all finance majors, with the purpose of furthering students' understanding of major corporate financial policies and decisions. These decisions include choosing between competing investment opportunities, measuring risk and return, how to value a business, how much debt to issue, how much equity to issue, what level of dividend to payout, and incentive structure for managers, and so on. The course starts with a discussion on corporate financial goals and corporate governance issues. It then proceeds to cover topics that center on corporate investment decisions, corporate valuation, and capital structure issues.

Credits: 3
Semesters offered: Fall 2023 | Spring 2024

The financial services industry is very dynamic and continues to undergo dramatic changes. Many forces contribute to the changes including interest rates, overall market and credit factors, consolidation within the industry, and regulations. From this perspective, the course explores the basic management problems in the credit, investment, and financing administration functions of financial institutions, including commercial banks in the United States and abroad.

Credits: 3
Semesters offered: Fall 2023
Pre-Requisite: MGF 611 or MGQ 608 and MGQ 609 or a

This course is designed to familiarize students with the core concepts related to international financial management, including foreign exchange markets (from institutional details to quantitative models for the forecasting of future exchange rates), currency risk derivatives (spanning both a discussion of contract characteristics and quantitative methods for pricing and valuation of currency forwards, options, and swap contracts), quantitative approaches for risk management and hedging in cross-border settings, quantitative analysis of currency arbitrage operations, analysis of translation, economic, and political risks, cross-border financing, issues with cross-border taxation, analysis of institutional details and recent statistics on foreign debt and equity markets, and other topics.

Credits: 3
Semesters offered: Fall 2023
Pre-Requisite: MGF 611 and MGQ 608 or MS Finance S

The course covers sophisticated approaches to investing and it has an introduction and three main parts. The introduction covers measures of performance and risk and methods to calculate them in closed form or from historical data. The first part of the course covers investment strategies across several asset classes, from traditional ones such as value or growth investing to strategies employed by hedge funds, such as arbitrage, option trading and other quant strategies. The second part of the course addresses portfolio construction, from assessing a utility function to the investor to constructing an optimal portfolio maximizing that utility. Investor types covered are individuals saving for retirement, speculators, university endowments or foundations, or pension funds. Finally, the last part of the course addresses the topic of risk measurement and management, with an emphasis of risks faced by decentralized organizations, such as funds of funds, foundations, or pension funds.

Credits: 3
Semesters offered: Fall 2023
Co-Requisite: MGF 633.

Students taking this course should expect to learn about financial derivatives. Among others, students will learn about how to price financial derivatives and how to incorporate various real-world frictions into binomial trees and stochastic processes (such as underlying the commonly used Black & Scholes model). In a case-study we will use R programming to replicate the risk-neutral price of a variance swap (underlying the so called Volatility Index or VIX). The course will be of particular interest for students who contemplate pursuing a career in the financial industry, e.g. as a Quantitative Analyst. The required prior courses depend on your trajectory (e.g., MGF 633 "Investment Management" or MGF 634 "Quantitative Methods in Finance"). Please consult your study guide for details. In general, students are expected to possess good knowledge of mathematics and statistics. Students should also feel comfortable with Excel and some basic programming knowledge will be helpful. Mathematical, statistical, and Excel skills required for this course will be reviewed during the course.

Credits: 3
Semesters offered: Spring 2024

In this course, students will use financial econometric models to analyze problems of model specification, estimation, analysis and forecasting commonly faced by analysts in financial markets. The course materials cover the measurement and estimation of asset returns, earnings, macroeconomic data, risk and related applications in financial data analysis and visualization. Topics include regression analysis of time series/ARIMA models, multiple regression specifications and models of asset volatility including ARCH and GARCH. Throughout the course, students will use the statistical functions of the R programming language to analyze, model and forecast a variety of financial data.

Credits: 3
Semesters offered: Fall 2023 | Spring 2024

This is a course about fixed-income securities and markets. It covers topics that are important for any MBA student that anticipates hedging interest rate exposures or otherwise transacting in the fixed-income market. The course reviews basic bond pricing concepts and important features of interest rate futures and options contracts. It also introduces a few (somewhat complicated) models of the term structure. This is a rigorous course that requires students to be familiar with basic investments and calculus concepts. While MGF633 is not a prerequisite for this course, students that are taking MGF633 simultaneously with the course will be better prepared. Like most finance courses, the course focuses more on lasting financial principles than on current institutional details.

Credits: 3
Semesters offered: Spring 2024

The objective of this course is to ensure students have a solid foundation in the mathematical foundations required to understand and work with complex financial securities and derivatives. This foundation will be useful in higher level finance courses and as practitioners working in financial markets. Topics covered include stochastic calculus, continuous time finance, numerical methods, finite differences, and taylor series approximations. Applications from finance such as bond pricing, option pricing and portfolio theory are used as examples to illustrate the mathematics.

Credits: 3
Semesters offered: Fall 2023

In this course, students will use financial econometric models to analyze problems of model specification, estimation, analysis and forecasting commonly faced by analysts in financial markets. The course materials cover the measurement and estimation of asset returns, earnings, macroeconomic data, risk and related applications in financial data analysis and visualization. Topics include regression analysis of time series/ARIMA models, multiple regression specifications and models of asset volatility including ARCH and GARCH. Throughout the course, students will use the statistical functions of the R programming language to analyze, model and forecast a variety of financial data.

Credits: 3
Semesters offered: Fall 2023 | Spring 2024

The course covers sophisticated approaches to investing and it has an introduction and three main parts. The introduction covers measures of performance and risk and methods to calculate them in closed form or from historical data. The first part of the course covers investment strategies across several asset classes, from traditional ones such as value or growth investing to strategies employed by hedge funds, such as arbitrage, option trading and other quant strategies. The second part of the course addresses portfolio construction, from assessing a utility function to the investor to constructing an optimal portfolio maximizing that utility. Investor types covered are individuals saving for retirement, speculators, university endowments or foundations, or pension funds. Finally, the last part of the course addresses the topic of risk measurement and management, with an emphasis of risks faced by decentralized organizations, such as funds of funds, foundations, or pension funds.

Credits: 3
Semesters offered: Fall 2023
Co-Requisite: MGF 633.