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- FIN 394.2 "Energy Finance: Corporate."
Prof. Sheridan Titman
Cases in corporate and energy finance.
- FIN 397.4 "Energy Finance: Risk Management."
Prof. Ehud Ronn
(August-October 1999) Risk management issues such as VaR, hedging and
insurance. Valuation and structuring of contracts.
Characteristics of Asian, spread, and swing options, collars, caps and swaps.
Designing
securities and discovery of embedded options.
Likely biases in forward rates vs. E[spot].
Real options approach to the valuation of power plants and
other facilities. Peculiarities of energy price movements, TSOV, tracking errors,
quantity risks and basis risks.
- M 389U, "Actuarial Contingent Payments."
Prof. James Daniels
(Fall 1999) Building practical probabilistic simulation models ala Ross.
Topics include survival analysis, insurance, reserves, ruin & annuities.
A useful complement to the CAPM, VaR and contingent-claims theories,
particularly for those risks that cannot be hedged.
- MIS 383N.7 "Computational Finance."
Prof. Stathis Tompaidis
Highly quantitative survey of pricing & hedging of derivative products
such as Asian, spread, and swing options,
as well as flexi-caps, collars and swaptions.
Solution of PDEs using finite-difference, bi/trinomial forests, SciFinance &
Monte Carlo methods.
Various price movement distributions, log-normal, mean-reverting, and jump-diffusion.
Analysis of Value at Risk.
Numerical project related to Brennan & Schwartz's real-option valuation of mines.
- MIS 383N "Financial Engineering."
Prof. Stathis Tompaidis
Harvard case studies in corporate use & hedging of derivative products
such as futures, options & swaps. Consideration of term structure of
interest and forward rates, credit risks, liquidity risks and arbitrage.
Cases included: Structured notes based on commodity futures, employee
stock options, AVON PERCS, Arley putable common stock, Disney FX hedging, Nikkei
put warrants, LOR, American Barrick, Enron Gas Services, & Orange County.
- FIN 354 "Money, Banking & Economic Conditions."
Murat Binay
Basic survey of interest rates & term structure, FX, banking regulation &
monetary theory.
- PGE 383 "Numerical Solution of Time Dependent Problems."
Prof. Kamy Sepehrnoori
Semi-discrete methods, where we discretize the
spatial dimensions (or strike price), and use continuous ODE methods to
determine the evolution in time.
- EM 394F "Finite Element Methods."
Prof. Clint Dawson
A method of solving the partial differential equations (PDEs) that arise
in a large number of option pricing and hedging problems. The finite element method
is not widely accepted in finance, but may turn out to be extremely effective at
solving problems with free &/or irregular boundaries.
- EM 393N "Numerical Methods for Flow and Transport Problems."
Prof. Graham F. Carey
Broad survey of numerical solution of PDEs, including finite difference,
finite element, finite volume, boundary integral, mixed methods,
global expansion & Monte Carlo methods,
with particular focus on stability & order of accuracy.
- EM 397 "Computational Grids."
Prof. Graham F. Carey
A state-of-the-art survey of irregular, adaptive, and multi-grid schemes in the solution of PDEs.
- CAM 383D "Numerical Analysis: Interpolation, Approximation, Quadrature & Differential Equations."
- CAM 383C "Numerical Analysis: Linear Algebra."
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