BUFN400 and BUFN403 are required courses. Students can take one or both of BUFN401 and BUFN402 to complete the requirements for the notation.
- BUFN400 Introduction to Financial Markets and Financial Datasets [Required]
- BUFN401 Option Theory and Derivatives
- BUFN402 Portfolio Management
- BUFN403 Capstone Computational Finance Projects [Required]
BUFN400 - Introduction to Financial Markets and Financial Datasets
This course will provide an overview of financial concepts and markets and datasets.
Company financial statements will be used to review concepts including earnings, cash flow, accruals, investment, dividends, etc. The course will introduce concepts related to portfolio theory and asset pricing. It will introduce the fundamentals of the stock market and market microstructure, including bid ask spreads and market liquidity. Advanced topics include event studies, high frequency trading, Over The Counter (OTC) bond markets, and more specialized institutional arrangements including repo markets and foreign currency exchange markets.
Instructors: Pete Kyle, Tom Ernst.
It will be taught in Fall 2022 by Professor Pete Kyle, Distinguished University Professor and Charles E. Smith Chair in Finance.
Fall meeting time is Monday and Wednesday 2:00 to 3:15 p.m.
BUFN401 - Option Theory and Derivatives
This course will introduce Option Theory and the concept of a derivative financial contract whose value is based on some underlying asset, e.g., a stock or bond or commodity. Option theory is a cornerstone of modern finance. Unlike the Capital Asset Pricing Model (CAPM) that determines an appropriate rate of return, option theory relies on arbitrage and the probability that an option will be exercised during some time interval. Common derivative types include stock and bond and index options, futures contracts, forward contracts, and swaps.
Instructors: Steve Heston, Mark Loewenstein, Pete Kyle, Brandon Han.
BUFN402 - Portfolio Management
This course will cover the fundamentals of portfolio management, including asset allocation, investing strategies, and the management of risk. Assets include stocks, bonds, foreign assets, real estate, etc. Topics: Risk management of defined benefit pension plans, including performance measurement and gaming. Also includes mutual fund styles and strategies. Quantitative modeling approaches include predictive regressions, factor models, overfitting models, backtesting, alpha models, signals, portfolio optimization (quadratic programming), leverage constraints, ESG constraints.
Instructors: Russ Wermers, Serhiy Kosak, Mark Loewenstein.
BUFN403 - Capstone Computational Finance Projects
The capstone project will be a semester project in groups of 3 students. The projects may be either academic research projects (co-mentored by a finance faculty member) or an industry focused project (co-mentored by an industry coach).
The projects will apply techniques from the following areas:
- Machine learning.
- NLP and text analytics.
- Tensors, embeddings, deep learning.
- HCI: Question Answering, chatbots, etc.
- Graph data management.
- Visual analytics.
Instructors: Louiqa Raschid