普林斯顿大学运营与金融工程系(Operations Research and Financial Engineering )
2006年春季学期课程表
ECO464-FIN519_S2006 Corporate Restructuring (ECO464-FIN519_S2006)
Instructor Users: Ormond Sexton
This course applies topics from microeconomics (Economics 310) and corporate finance
(Economics 363) to study corporate restructuring. Topics include mergers, acquisitions,
joint ventures, divestiture and share repurchases. Each of these is discussed in the context
of the relevant economic theory, institutional and regulatory environment, and with a focus
on shareholder value.
ECO466-FIN521_S2006 Fixed Income: Models and Applications (ECO466-FIN521_S2006)
Instructor Users: Robert Kimmel
This course will deal with no-arbitrage models of contracts based on interest rates
including bonds, forward and future contracts, swaps, options and other derivatives. We will
develop the theory of arbitrage-free pricing of financial assets in discrete and continuous
time, as well as many special models that can be used to price and hedge fixed income
securities.
ECO467-FIN567_S2006 Institutional Finance (ECO467-FIN567_S2006)
Instructor Users: Shmuel Baruch, Markus Brunnermeier
Financial institutions play an increasingly dominant role in modern finance. This course
studies financial institutions and focuses on the stability of the financial system. It
covers important theoretical concepts and recent developments in financial intermediation,
asset pricing under asymmetric information, behavioral finance, and market microstructure.
Topics include market efficiency, asset price bubbles, herding, liquidity crises, risk
management, market design, and financial regulation.
ECO526-FIN596_S2006 Financial Economics II (ECO526-FIN596_S2006)
Instructor Users: Hyun Shin
Review of probability and stochastic processes, stochastic integrals, reduction to
martingale gains from trade, change of variable (Ito's lemma, local time, generalized Ito's
formula, Girsanov's theorem), stochastic differential equations, the Black-Scholes model,
the term-structure of interest rates, equilibrium assest pricing, an introduction to the
optimal control of diffusions and some applications.
FIN502_S2006 Corporate Finance and Financial Accounting (FIN502_S2006)
Instructor Users: Robert Kimmel
Modern financial theory and its implications for decisions faced by corporate financial
officers. We will focus on investment decisions and capital budgeting under various
assumptions about the investment environment (for example, certain or uncertain outcomes)
and the legal/regulatory environment (such as different types of tax regimes). We also
examine financing decisions concerning the type of securities to be issued, amount of
dividends to be paid, etc., plus a selection of additional topics, such as
convertible/hybrid securities, real options, or corporate structure and control will also be
covered.
FIN561_S2006 Master's Project II (FIN561_S2006)
Instructor Users:
Under the direction of a Bendheim affiliated faculty member, students carry out a master's
project, write a report, and present the results in the form of a poster or an oral
presentation in front of an examining committee.
ORF504-FIN504_S2006 Financial Econometrics (ORF504-FIN504_S2006)
Instructor Users: Jianqing Fan
This course covers econometric and statistical methods as applied to finance. Topics
include: 1. Overview of Statistical Methods 2. Predictability of asset returns 3. Discrete
time volatility models 4. Efficient Portfolio and CAPM 5. Multifactor Pricing Models 6.
Intertemporal Equilibrium and Stochastic Discount Models 7. Expectation and present value
relation 8. Simulation methods for financial derivatives 9. Econometrics of financial
derivatives 10. Forecast and Management of Market Risks 11. Multivariate time series in
finance 12. Nonparametric methods in financial econometrics*
ORF515-FIN503_S2006 Asset Pricing II: Stochastic Calculus and Advanced Derivatives (ORF515
-FIN503_S2006)
Instructor Users: Victoria Henderson
This course covers the pricing and hedging of advanced derivatives including topics such as
exotic options, greeks, interest rate derivatives, credit derivatives and real options. The
course will cover basics of stochastic calculus necessary for finance. It is designed for
Masters students.
ORF531-FIN531_S2006 Computational Finance in C++ (ORF531-FIN531_S2006)
Instructor Users: Rene Carmona
The intent of this course is to introduce the student to the technical and algorithmic
aspects of a wide spectrum of computer applications currently used in the financial
industry, and to prepare the student for the development of new applications. The student
will be introduced to C++, the weekly homework will involve writing C++ code, and the final
project will also involve programming in the same environment.
ORF534-FIN534_S2006 Financial Engineering (ORF534-FIN534_S2006)
Instructor Users: John Mulvey
Concepts and methods of financial engineering and financial optimization. Stochastic methods
for valuing portfolios of assets and liabilities. Alternative definitions of risk.
Diversification techniques for reducing risks within large financial organizations. Temporal
issues. Customizing securities by means of asset and liability management systems. Portfolio
optimization.
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