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Corporate Finance
This course will survey the most important theoretical concepts in the field of corporate finance. Topics include capital structure decisions, corporate payout policy (dividend policy), security design, initial public offering, agency problems in the firm, optimal financial contracting, bankruptcy and financial distress, mergers and acquisition and the market for corporate control, and issues in corporate governance. The structure of this course is to synthesise key empirical and theoretical papers. The objective is to expose students with influential papers and discuss new or current research.
Empirical Finance
This course will introduce key empirical research methodologies in financial economics. It will illustrate the use of econometric methods in analyzing financial data, such as stock and bond prices, interest rates, foreign exchange rates, commodity and futures prices and option prices. Topics include tests of asset valuation models such as capital pricing model, multifactor pricing models, derivative pricing models, term structure of interest rates models and event-study analysis. Econometrics I
This is an advanced introduciton to econometrics. It covers the commonly used models and methods in econometrics, including linear regression model and OLS, FGLS, IV, MLE, limited dependent variables (logit, probit, Poisson) with computer implementation using real and simulated data. There is a balanced emphasis on theory, application, and computation.
Microeconomics I
This course is a graduate level introductin to microeconomics. The objective is to provide students with a sound grounding in the analytical methods of microeconomic theory used by economists. The course focuses on classical theories of consumer and producer behavior and on the theory of competitive equilibrium. The main textbook is Andreu Mas-Colell, Michael Whinston, and Jerry Green, Microeconomic Theory, Oxford 1995.
Research Seminar in Finance
This course will focus on the “state of the art” empirical research in finance. The topics will cover areas such as empirical asset pricing, corporate finance and corporate governance. Students will be reading both published and “working papers” on these topics and will attend seminars and research workshops on these topics. In the conclusion of the course, students will be expected to write an original research paper in one of these topics.
Behavioral Finance
The course introduces students to the core questions asked by behavioral scientists and behavioral finance researchers via a collection of seminal work and demonstrations. It is an inter-disciplinary course which spans topics in finance, psychology, and decision science. We will first discuss conventional finance paradigm and its empirical challenges. We then proceed with four weeks of in-depth discussions of behavioral foundations and updated findings, followed by another four weeks of application topics related to financial markets characteristics and investments.
Corporate Governance
One of the outcomes of the industrial revolution is the creation of the corporation, which results in the separation of ownership and management. Given this separation, management is acting as agents for the owner, in this case, shareholders. Complication arises due to the separation can affect firm value. Enron and WorldCom are two well-known examples. This course will investigate the link between corporate governance and firm value. More specifically, topics on board structure, role and responsibilities of shareholders, executive compensation, and disclosure practices will be discussed. Take-away from this course includes, the understanding and purpose of corporate governance, the ability to explain and apply theories on governance mechanisms, and the in-depth knowledge of advantages and disadvantages of various governance policies and rules.
Financial Econometrics
This research seminar covers applications of econometric techniques to the analysis of financial data. Models with special relevance to asset prices, interest rate processes and exchange rate determination are discussed. The course also covers models of conditional volatility, continuous time stochastic processes, analysis of high frequency data and event study methodology.
Theory of Finance
This course will introduce basic finance theory. Concepts of state prices in discrete time complete market will be introduced. This will build onto discrete period models of capital asset pricing. Multi-period asset pricing will also be covered. Continuous time dynamics are then introduced and it is seen how continuous time trading is required for spanning.. Continuous time asset pricing models are constructed. Hamiltonian Jacobian optimisation methods are covered. Stochastic calculus is introduced and simple derivatives are introduced. The idea of no-arbitrage pricing is taught and European option pricing is shown using PDE approach and then the EMM approach. Girsanov transform and applications to more complex interest rate derivatives are shown. Discretisation in terms of explicit numerical approach like lattice methods is also shown. Extensions to imcomplete market and suitable EMM will be considered. This connects back with utility-based pricing at some point in the EMM mannifold.
Econometrics II
This is an overview of time series econometrics, designed to introduce students to a range of material in stationary and nonstationary time series, including unit root and cointegration theory, state-space models, non-linear time series analysis, continuous time models, and Bayesian time series methods. Students will be introduced to practical time series forecasting methods.
Macroeconomics I
This course focuses on modern dynamic macroeconomic theory and the tools used in modern dynamic macroeconomics. It first deals with dynamic optimization, in particular, Dynamic Programming. We then cover search models of unemployment, before styduing Dynamic Stochastic General Equilibrium models, with and without heterogeneious agents, and with and without complete markets, with emphases on the Neo-Classical Growth model and the Overlapping-Generations model.
Microeconomics II
The first part of this course will focus on the fundamental concepts of general equilibrium theory. Topics covered will include existence and optimality of Walrasian equilibria, the extension of the Arrow Debreu model to dynamic economies and asset markets, and core equivalence. The second part of the course will study topics in social choice. These will include Arrowian Aggregation, the Gibbard Satterthwaite Theorem and Groves Clarke schemes.
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