Philip H. Dybvig
Washington University in Saint Louis
Welcome to Topics in Quantitative Finance! This course talks about ideas and situations that challenge our traditional understanding of quantitative finance.
Final Exam The final exam will be based on all the classes (including the ones I taught). While the papers have a fair amount of mathematics, the exam will not have any. The questions should be answered using simple English to explain the economics. There is more information on the cover of the sample exam, which is from another year's class. Note that the set of papers covered in the other year was different, and therefore many of the questions and answers may be unfamiliar to you.
Here is the sample exam and an answer sheet (although due to the nature of the exam there are many correct answers):
...final exam pdf size 37K
...suggested answers pdf size 51K
(IMPORTANT) Note that the exam will be closed-book, and that you are not permitted to use any notes or electronics on the exam. There is more information on this on the sample exam and in the syllabus.
To prepare for the exam, I recommend looking at your classmates' slides and the papers below.
Papers Each week we will discuss, in my lectures or in the student presentations, interesting papers. I have some suggested papers you can choose; see http://dybfin.wustl.edu/teaching/topicsquantfin18-shared/index.html. Or, if you want to choose a topic not available there, let me know the topic or topics you are interested in, and the TAs and I will help you to find a suitable paper to present.
I will be posting the papers for this section on this web site. Some of the links use the university's library proxy server so if you access them from off-campus you will need to use your WUSTL KEY. If you do not have a WUSTL KEY, you can copy and paste any jstor addresses into your browser, so long as you are accessing the internet through an appropriate IP address from a participating university.
Topic 1 Bubbles, Doubling Strategies, Suicidal Strategies, and Verification
(Sept 4) Shell, Karl, 1971, "Notes on the Economics of Infinity," 1971, Journal of Political Economy 79. Stable URL: http://www.jstor.org/stable/1830269.
(Sept 4) Dybvig, Philip H. "Perpetual American Put: valuation and verification theorem," lecture notes, link
Topic 2 Side-stepping the Investment Banks
(Sept 11) Scholes, Myron and Mark Wolfson, "Decentralized Investment Banking: the Case of Discount Dividend-Reinvestment and Discount Dividend-Reinvestment and Stock-Purchase Plans," Journal of Financial Economics 23, 7-35. WashU link. slides by Wenlin Cai
Topic 3 P2P Lending and FinTech
(Sept 11) Tang, Huan, 2018, Peer-to-Peer Lenders versus Banks: Substitutes or Complements?" working paper http://huan-tang.com/wp-content/uploads/2018/08/P2P_lending_Tang.pdf slides by Vanessa Sun
(Sept 13) Liao, Li, Zhengwei Wang, Jia Xiang, Hongjun Yan, and Jun Yang, "Investment Under Fast-Thinking," https://ssrn.com/abstract=3197303. slides by Roger Shi
Topic 4 Blockchain
(Sept 13) Yermack, David, Corporate Governance and Blockchains, 2017, Review of Finance 21 Issue 1, 7-31 https://academic.oup.com/rof/article/21/1/7/2888422 slides by Brandon Yanchao Chen
Topic 5 Regional Economics
(Sept 18) Heniford, Davis, Junyan Pu, and James Loomis, US Regional Collaboration and Economic Growth: a Midwestern Case Study and a National Cross-Sectional Analysis, working paper WashU link slides by Davis Heniford
Topic 6 Finance in Africa
(Sept 18) Blavy, Rodolphe, Anupam Basu, and Murat A Yulek, 2004, Microfinance in Africa : Experience and Lessons From Selected African Countries, IMF Working paper, https://www.imf.org/en/Publications/WP/Issues/2016/12/31/Microfinance-in-Africa-Experience-and-Lessons-From-Selected-African-Countries-17710. slides by Sarah Liu
Topic 7 Anti-corruption Campaign
(Oct 4) Hung, Mingyi, T. J. Wong, and Tianyu Zhang, 2012, Political Considerations in the Decision of Chinese SOEs to List in Hong Kong, Journal of Accounting and Economics 53, 435-49 WashU link slides by Xizi Yu
Topic 8 Risk management
(Sept 20) Ross, Stephen A., 2002, "Forensic Finance: ENRON and Others," Fourth Angelo Costa Lecture, http://www.rivistapoliticaeconomica.it/nov_dic02/rossengl.pdf slides by Edwin Hung
Topic 9 Understanding the financial crisis.
(Sept 25) Gorton, Gary, and Andrew Metrick, Securitized Banking and the Run on Repo, 2012, Journal of Financial Economics 104, 425-51. WashU link. slides by Ethan Xu
(Oct 11) Diamond, Douglas W., and Philip H. Dybvig, 1986, Banking Theory, Deposit Insurance, and Bank Regulation, Journal of Business 59, 55-68. Stable URL: http://www.jstor.org/stable/2352687. slides by Linghang Lyu
Topic 10 Negative interest rates
(Oct 9) Goodfriend, Marvin, 2000, Overcoming the Zero Bound on Interest Rate Policy, Journal of Money, Credit, and Banking 32, 1007-1035. http://www.jstor.org/stable/2601157. slides by Tiange Gu
Topic 11 Mutual Fund Performance
(Sept 27) Pastor, Lubos, and Robert Stambaugh, 2012, "On the Size of the Active Management Industry," Journal of Political Economy 120, No. 4 (August 2012), pp. 740-781. Stable URL: http://www.jstor.org/stable/10.1086/667987. slides by Shuhan Li
(Sept 25) Cremers, Martijn, and Antti Petajisto, 2009, "How Active Is Your Fund Manager? A New Measure That Predicts Performance," Review of Financial Studies 22, 3329-65, WashU link slides by Judy Qinying Zhu
(Oct 2) Cowles, Alfred 3rd, 1933, "Can Stock Market Forecasters Forecast?" Econometrica 1, 309-324. Stable URL: http://www.jstor.org/stable/1907042. slides by Yichen Ethan Wang
Topic 12 Chinese markets and FX
(Sept 27) Jin, Keyu, "Industrial Structure and Capital Flows," 2012, American Economic Review 102, 2111-2146. Stable URL: http://www.jstor.org/stable/41724616 slides by Jingyun Cui
Topic 13 Textual Analysis Tools
(Oct 2) Hanley, K. W., & Hoberg, G. (2010). The information content of IPO prospectuses. The Review of Financial Studies, 23(7), 2821-2864. https://www.jstor.org/stable/40782968 slides by Lingyue Jiao
Topic 14 Indian Economy
(Sept 20) Rajan, Raghuram, "India in the global economy," First Ramnath Goenka Memorial Lecture. http://www.bis.org/review/r160316b.pdf. slides by Palwin Kohli
Topic 15 Market manipulation
(Oct 4) Griffin, John M., and Amin Shams, "Manipulation in the VIX?" working paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2972979 slides by Matteo Carcciolo-King
Topic 16 Investing with Transaction Costs
(Oct 9) Dybvig, Philip H., 2005, "Mean-Variance Portfolio Rebalancing with Transaction Costs," working paper. pdf file slides by Yueying Li