Commerce 3721: Quantitative Finance, Spring 2021. Students will learn how to write code using VBA for Excel to solve financial problems and build models. The course covers:

Options and payoffs
The Black-Scholes-Merton option pricing model
The binomial option pricing model
Risk-neutral valuation
Monte-Carlo simulation applied to option valuation
A primer on linear algebra
Arrow-DeBrue state prices
No-arbitrage and the Law of One Price

Graduate Commerce 7750: Asset Management, Spring 2021. Students will develop the concepts and tools needed to build and analyze investments used by a wide range of investors including sovereign wealth funds (SWFs), pensions, endowments, family funds, and high-net worth individuals. The course covers:

Option basics and valuation
Market microstructure
Portfolio theory, the CAPM & empirical evidence
Three, four, and five factor models
Behavioral finance
Performance evaluation
Fixed income securities
Futures and forwards

Commerce 4730: Advanced Investments, Fixed Income and Derivatives, Fall 2019. This course focuses on fixed income and derivative security markets. Topics include:

Bond valuation & yields
The term structure
Interest rate risk
Securitization and application to MBSs
Structuring and application to CMOs
Corporates and default risk
Credit risk and credit derivatives
Futures and forward contracts
Bond futures and forwards
Interest rate swaps
Foreign exchange swaps
Stochastic term structure models (HJM)
Hedging with options