Topics in Quantitative Finance, FIN 500R, Section 2

Philip H. Dybvig
Washington University in Saint Louis


Some paper suggestions:

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 are probably unfamiliar to you.

Here is the sample exam and an answer sheet. Each question has two parts: the first part is factual and the second part asks for an opinion, which should be supported briefly. Due to the nature of the exam there are many correct answers to the opinion part of each question. 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 Or, if you want to choose a topic not available there, let me know the topic or topics you are interested in, and the TA 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, and therefore 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, and access will be free if you are accessing the internet through an appropriate IP address from a participating university. Some of the links will only work within Wash U.

Topic 1 Bubbles, Doubling Strategies, Suicidal Strategies, and Verification

(August 27 and 29) Shell, Karl, 1971, "Notes on the Economics of Infinity," 1971, Journal of Political Economy 79. Stable URL:

(August 27 and 29) Dybvig, Philip H. "Perpetual American Put: valuation and verification theorem," lecture notes, link

Topic 2 Option Pricing

(Aug 29) Carr, Peter, 2016, Yield Curves and Volatility Smiles, working paper WashU link Slides by David Zhong

(Oct 3) Carr, Peter, 1998, Randomization and the American Put, Review of Financial Studies 11, 597-626. Stable URL: Slides by Ken Ngo

Topic 3 Textual Analysis Tools

(Sept 3) Huang, Allen H., Lehavy, Reuven, Zang, Amy Y., & Zheng, Rong (2018). Analyst information discovery and interpretation roles: A topic modeling approach. Management Science 64(6): 2833-2855. Slides by Kunfeng Zheng

Topic 4 Fund Performance

(Sept 5) Cowles, Alfred 3rd, 1933, "Can Stock Market Forecasters Forecast?" Econometrica 1, 309-324. Stable URL: Slides by Yifei Xu

Topic 5 Finance and Society

(Sept 5) Zingales, Luigi, 2015, "Presidential Address: Does Finance Benefit Society?" Journal of Finance, 70: 1327-1363. WashU link Slides by Sunny Deng

Topic 6 Negative interest rates

(Sept 10) Goodfriend, Marvin, 2000, Overcoming the Zero Bound on Interest Rate Policy, Journal of Money, Credit, and Banking 32, 1007-1035. Slides by Zack Chen

(Sept 19) Goodfriend, Marvin, 2016, "The Case for Unencumbering Interest Rates at the Zero Bound," mimeo, CMU, link Slides by Shen Wang

Topic 7 Risk management

(Sept 12) Brown, David T., Philip H. Dybvig and William J. Marshall, 2001, The Cost and Duration of Cash-Balance Pension Plans, Financial Analysts Journal 57, No. 6 (Nov. - Dec., 2001), pp. 50-62 Stable URL: Slides by Renyan Zhang

(Sept 24) Philip H. Dybvig, Pierre Jinghong Liang, and William J. Marshall, 2013, "The New Risk Management: The Good, the Bad, and the Ugly," Federal Reserve Bank of Saint Louis Review, July/August 2013, 95(4) 273--91. Slides by Lea Li

Topic 8 Crypto-currencies

(Sept 10) Nakamoto, Satoshi. "Bitcoin: A peer-to-peer electronic cash system." (2008). unpublished manuscript Slides by Lizhi Xing

(Oct 3) Weber, Beat, Bitcoin and the legitimacy crisis of money, 2014, Cambridge Journal of Economics 40, 17-41. WashU link Slides by Junhao Shen

Topic 9 Trade and Chinese Markets

(Sept 12) Kehoe, Timothy J., and Kim J. Ruhl, 2010, "Why Have Economic Reforms in Mexico Not Generated Growth?" Journal of Economic Literature 48, No. 4, pp. 1005-1027 WashU link Slides by Zhijian Yang

(Sept 17) Jin, Keyu, "Industrial Structure and Capital Flows," 2012, American Economic Review 102, 2111-2146. Stable URL: Slides by Minxi Yan

(Sept 26) Song, Zheng, Kjetil Storesletten, and Fabrizio Zilibotti, 2011, "Growing Like China," American Economic Review 101, 196-233. Stable URL: Slides by Shangli (Sunny) Chen

Topic 10 Investments, picking stocks, and accounting numbers

(Sept 17) Ghosh, Aloke, Zhaoyang Gu, and Prem C. Jain, 2005, "Sustained Earnings and Revenue Growth, Earnings Quality, and Earnings Response Coefficients," Review of Accounting Studies 10, 33-57. WashU link Slides by Yiqing (Grace) Feng

(Oct 3) Petter N. Kolm, Reha Tutuncu, and Frank J. Fabozzi, 2014, 60 Years of portfolio optimization: Practical challenges and current trends, European Journal of Operational Research 234, 356-371. WashU link Slides by Tim Robin

Topic 11 Anti-corruption Campaign

(Sept 19) Wang, Qian, T. J. Wong, Lijun Xia, 2008, State ownership, the institutional environment, and auditor choice: Evidence from China, Journal of Accounting and Economics 46, 112-134 WashU link Slides by Shuning (Neo) Bao

Topic 12 P2P Lending and FinTech

(Sept 24) Chava, Sudheer and Nikhil Paradkar, "Winners and Losers of Marketplace Lending: Evidence from Borrower Credit Dynamics," working paper 18 18selected/87. Winners and Losers of Marketplace Lending_ Evidence from Borrower Credit Dynamics.pdf Slides by Yihan Wu

Topic 13 High frequency trading

(Sept 26) Biais, Bruno, Thierry Foucault, Sophie Moinas, "Equilibrium Fast Trading," Journal of Financial Economics 116 (2015) 292-313 WashU link Slides by Zongyu Cai

(Oct 1) O'Hara, Maureen, "High Frequency Market Microstructure, Journal of Financial Economics 116, Issue 2, May 2015, Pages 257-270 WashU link Slides by Jingyuan Wu