Akash Bandyopadhyay's Courses

FINC 460-0 Sec 81: Investments [Winter 2013]: Course Description, Syllabus (final version, 1/6/2013), and First Class Assignment (REQUIRED, Due at the Beginning of First Class).

Course Schedule (updated with classroom and TA hour information, 1/4/2013) iCalendar File (i nstruction for installation), Website (Blackboard login site).

Here are the 4 readings to help you review Statistics, Probability, and Regression Analysis. These articles may or may not cover everything you need to know. Reviewing the material from the prerequisite statistics/regression courses might be helpful:

(1) Probability Review, (2) Regression Review, (3) Statistics Review, (4) Table of Useful Statistics Formulas.

Here is an Excellent Introduction to Regression Analysis: An Introduction to Regression Analysis - Alan O. Sykes.

Regression Review For Advanced Students: Review of Simple Regression - Rawlings, Pantula, Dickey.

Facts may inspire you to take this course: An Up-to-Date Overview of the Global Hedge Funds Industry. Quote, "The asset under management of the global hedge funds industry totaled $1,902bn at the end of 2011" (see Chart 1). $1,902bn = $1.9+ TRILLIONS! Doesn't sound like a period of deep global recession! Now compare this with the $700 TRILLIONS Notional Amount Outstanding in International Derivatives Market in early 2012 with a Gross Market Value of $27.3 TRILLIONS (see Chart 1 and Chart 4 of Derivatives, November 2012 report).

11/6/2012: Slides of my Presentation at the Investment Management Club (IMC)

FINC 530-0 Sec 21/PhD: Special Topics in Finance [Spring 2013]: Course Description and Syllabus, meets with

FINC 970-0 Sec 81: Empirical Methods in Finance [Spring 2013]: Course Description and Syllabus (updated: as of 3/25/2013).

PhD Students: This is our doctoral course on "Topics of Asset Pricing". This year's focus is "Risk Premia" and "Asset Pricing in Continuous-Time". We will review as many seminal, leading, and interesting published/working papers as (reasonably) possible within the 10 weeks period. See the syllabus for a tentative reading list. Please review Chapters 1-4, 7, and 8 of Gene Fama's book "Foundations of Finance" before the first meeting (see below for the links to download). Auditors are not allowed. Please registrar for the class if you are interested in this field. For more information see me at Jacobs 4207.

MBA Students: Do you want to learn the state-of-the-art financial models and statistical techniques for making smart investments (beyond FINC 460-0)? Then this is the course for you. This advanced doctoral level course is designed to teach up-to-date empirical research in asset pricing and portfolio/asset management. This course will be demanding on your time, but learning about the cornerstones of modern research is worthwhile and potentially highly rewarding. Hedge funds and quantitative asset management groups in the investment banks aggressively look for these short-in-supply skills. An ideal student is someone who is not afraid of advanced statistics and probability, matrix algebra, and calculus. Hedge funds seem impressed with MATLAB abilities. We will organize tutorial sessions on MATLAB. You will also have unrestricted access to the most comprehensive financial databases via WRDS.

Here is a Problem Set to Help You Review the Prerequisites. Solutions will be available in the course Blackboard site.

Here are 4 articles to help you review Statistical Hypothesis Testing, OLS Regression Analysis, Matrix Algebra, and Calculus. In addition, please look at the following chapters of Gene Fama's book "Foundations of Finance".

(1) Hypothesis Testing, (2) Introduction to Regression Analysis, (3) Applied Regression Analysis (Chapters 1-4), (4) Calculus Refresher.

Auditors are not allowed in this class. Please do registrar for the course if you are interested in learning the material. The feedbacks from last year's MBA students is highly enthusiastic (the course received an Impact Award). If you work hard then you will do well. No worries, workload is not unbearable.

Download Course Schedule in Outlook: iCalendar File (i nstruction for installation). Course Website = Blackboard.

2/13/2013: Slides of my IMC Presentation.

Recommended Pre-Class Readings (for both PhD and MBA students): Please brush-up your statistics/econometrics knowledge from a finance perspective (and, of course, review the basics of finance) before our first meeting. I strongly recommend reading Chapters 1 — 4, 7 and 8 of Gene Fama's 1976 classic "Foundations of Finance". Its notations are a bit obsolete, but it is the best resource to learn the fundamental intuitions without digression to unnecessary technicalities. You may download those chapters from the following links (no password required, many thanks to Gene Fama for permission, and also to help me develop this course).