The doctoral specialization in finance is designed to prepare qualified candidates for academic careers in teaching and research and for advanced-level research positions in industrial and financial organizations. The PhD program in finance is intensive and analytical in nature, relying heavily on the economics and quantitative disciplines for its foundations.
Prof. Jun “Jonathan” Wang (Finance Area Coordinator)
For PhD admissions inquiries contact the PhD Program Office
|ECO 82000||Econometric Theory|
|ECON 70100||Microeconomic Theory I|
|ECON 82100||Econometrics I|
|ECON 83000||Financial Markets/Instruments|
|ECON 70200||Microeconomic Theory II|
|ECON 82200||Econometrics II|
|FIN 77000||Internat Fin Mrkts/Institutns|
|FIN 81100||Corporate Finance Theory|
|Begin Research Paper|
|FIN 81000||Corporate Finance Theory|
|FIN 89000||Options Markets|
|ECON 82300||Applied Microeconometrics|
|FIN 83200||Sem Cap Mrkts/Portfolio Theory|
|FIN 85700||Sem in Financial Institutions|
FIN 831 Asset Pricing with Frictions
The standard asset pricing theories build on a framework with a representative agent and frictionless markets have over the years encountered many challenges in explaining the data, such as the so-called equity premium puzzle, excess volatility puzzle, bubbles, and return predictability. The course focuses on extending the standard framework to consider market frictions that are either due to market microstructure or due to investor irrationality. We will focus on both the theoretical models as well as empirical evidence that investigate these frictions.
Empirical Corporate Finance (FIN 79600)
The goal of this seminar is to familiarize students with current research in corporate finance and help them generate new research ideas. The course will also introduce the students to the databases and empirical methods used most frequently in corporate finance research. The course covers a set of topics from a broad spectrum including capital structure, security issuance, investment decisions, dividend policy, corporate control, corporate governance, and behavioral research in corporate finance.
Corporate Finance Theory (FIN 81100)
The course focuses on recent theoretical developments in corporate finance. Topics include basic concepts in game theory and contract theory and their applications to corporate finance. The techniques developed are used to understand agency conflicts between debt holders and equity holders, the role of managerial reputation and monitoring by financial intermediaries; conflicts of interest between managers and shareholders; capital structure and security design under asymmetric information; interactions between capital structure and product market competition; the market for corporate control, takeovers and acquisitions; bankruptcy and reorganization; IPOs and underpricing.
Financial Econometrics (FIN 79400)
This course is intended for Ph.D. students who are interested in the econometrics of financial modeling. The course covers a wide variety of topics in empirical finance, including the nonlinear autoregressive models, ARCH/GARCH models, stochastic volatility models, diffusion models, and their applications to portfolio theory, term structure of interest rates, derivative pricing, and risk management. Each part develops statistical techniques within the context of a particular financial application. The course contains a unique and accessible combination of theory and practice. The course will also include a discussion of recent empirical evidence as well as problems designed to help students incorporate what they have read into their own research.
Financial Institutions (FIN 77000)
This seminar provides an exposure to the recent papers in a few of the interesting topics in banking, and more generally financial intermediation. During this semester, the topics covered will be grouped under the following topics (1) Bank Regulation, (2) Lending Contracts, (3) Relationship Lending, (4) Securitization, (5) Banks and Systemic Risk, (6) Banks vs. Venture Capitalists, (7) Creditor Rights and Bankruptcy Design, and (8) Financial Architecture. In addition to the papers assigned for presentation and detailed discussion in class, an extensive reading list of other related papers and surveys on each topic are also included.
International Financial Markets and Institutions (FIN 77000)
The course presents an overview of the theoretical and empirical literature in International Finance. There is no required textbook, though any M.B.A. level textbook in International Finance will provide the appropriate background preliminary reading. After a few weeks of initial lectures covering background material, a set of journal articles and working papers will be discussed. Students will have to present papers and provide summaries of the papers they present. Students are also required to submit a survey / review article on any of the topics mentioned in the course syllabus.
Options (FIN 89000)
This class discusses the frontiers of the option pricing literature. After a brief review of the options market, including market conventions and stylized facts, the course goes through old and new option pricing models from the perspective of modeling security returns with time-changed Lévy processes. It is a new framework that can encompass pretty much all the existing models. It also provides an intuitive way to designing new models.
Market Microstructure (83200)
The seminar considers topics in equity market microstructure. A major focus will be on market architecture, and on an array of issues including liquidity formation, price discovery, and price volatility. Particular attention will be paid to methodological issues concerning theoretical modeling, empirical testing, and the development of public policy implementation. Additionally, a computerized trading simulation will be presented, and its use in experimental economics discussed.