Course
Quarter
Instructor
Time and location
KELLG_FE 312-0: Investments
This course covers key investment concepts from the perspective of a portfolio manager. You will learn about passive and active investment strategies for large portfolios. The class will cover topics at the frontier of academic research, including performance evaluation, risk management, liquidity, and models of risk and return.
Course prerequisite/co-requisite: ECON 381-1. Econ 381-1, MATH 386-1, IEMS 304-0, or STAT 350-0 must be take before or concurrently with KELLG_FE 312-0
Fall '21
Dimitris Papanikolaou
Lecture:
T/Th 11 a.m. – 12:20 p.m.
Room B01
No discussion section
KELLG_FE 314-0: Derivatives
This course focuses on the use and pricing of forwards, futures, swaps and options. Strategies for speculation and risk management, no-arbitrage pricing for forward contracts, the binomial and Black-Scholes option pricing models and applications of pricing models in other contexts are discussed in depth.
Course prerequisite/co-requisite: The Kellogg CPU Probability Co-requisite (MATH 314-0, MATH 310-1, MATH 311-1, STAT 320-1, STAT 383-0 (ISP), MATH 385-0 (MMSS), IEMS 202-0, ELEC_ENG 302-0, EECS 302-0, BMD_ENG 220-0, or CHEM_ENG 312-0) must be completed before or concurrently with KELLG_FE 314-0.
Winter '22
Viktor Todorov
Lecture:
T/Th 9:30–10:50 a.m.
Room B01
Discussion:
F 1–1:50 p.m.
KELLG_FE 316-0: Topics in Financial Economics: Derivatives II
Each year, this course changes topics to better reflect the current nature of the industry.
This course studies the foundations of derivatives pricing and modern risk management practice. Topics include delta-hedging, the lognormal distribution, Monte Carlo valuation, the Black-Scholes equation, exotic options, fixed income derivatives and risk assessment. Extensive use is made of spreadsheet-based valuation models. This course presumes that you already understand binomial pricing and the Black-Scholes formula.
Course Prerequisite: KELLG_FE 314-0: Derivatives I
Spring '22
Robert McDonald
Lecture:
T/Th 9:30–10:50 a.m.
Discussion Section: TBA
KELLG_FE 310-0: Principles of Finance, Section 20
This foundation course, taken by all FE students during spring quarter, provides an overview of financial principles. You will learn about the impact of time and uncertainty on value; discounted cash flows; equity and debt valuation; the term structure of interest rates; portfolio theory; asset pricing; and efficient market theory. The course also explores firms’ financing decisions, including capital budgeting, capital structure and payout policy. (This course is also featured in the Managerial Analytics Certificate program.)
Course prerequisites: Experience with linear regressions is required. If possible, you should complete ECON 381-1, MATH 386-1, IEMS 304-0, STAT 350-0, or an equivalent course that covers linear regressions prior to FE 310. Students who are not familiar with linear regressions will be provided with a free online course that they should complete prior to FE 310 (over spring break).
Spring '22
Anthony DeFusco
Lecture:
T/Th 9:30–10:50 a.m.
No discussion section
