Philip H. Dybvig
Washington University in Saint Louis
You are invited to come hear Bill Drobny of UBS who is the class speaker in FIN451 November 19 (our room, 2:30-4:30). He will talk about "dynamic alpha strategies," a derivatives-based product at UBS. He will also talk about connections between marketing and finance.
Download his handouts here.
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Welcome to FIN 524B, Derivative Securities. This is a project-based course. Most people will want to do projects based on derivative securities but I allow students the flexibility to do any project that has a nontrivial connection to finance: having a free option is a good thing. Class time will be devoted primarily to discussion about student projects and lectures driven by student interest. Based on past experience, lectures will include topics such as pricing fixed-income securities, convertible debt, stochastic volatility, back-testing investment strategies, mortgage-backed securities, real estate, implied volatility, and many other topics of interest to the students. More details on the parameters of the project can be found in the syllabus.
We will also be having some class speakers. Here is our schedule so far:
| Ron Allen (Wash U) | October 30 | Financial Data Sources |
| Dan Scholz (NISA) | November 1 | Portable Alpha Strategies |
| Dong Chuhl Oh (Wash U) | November 2 (2:00-4:00) room TBA | Options and Futures Prices and Contract Terms |
| Bill Drobny (UBS) | November 20 (2:30) | TBA |
Ron Allen is the head librarian in our Business Library and will talk to us about financial data sources. Please let me know if there is something in particular you would like him to cover. NISA Investments Management, LLC, is a fixed-income manager that has a lot of other quantitative products including futures overlays. Dong Chuhl Oh, our TA, will present a session on reading financial screens and looking up contract specifications. Note that Bill Drobny's talk is during my undergraduate class just after our class time. We have no class that week because of Thanksgiving break. However, anyone from the MBA class who happens to be in town is welcome to come to the lecture.