Finance 500R Topics in Quantitative Finance

Phil Dybvig
314-398-3186 (cell)
phildybvig (Weixin/WeChat)
Washington University Olin School

TA support: John Dooley

Some paper suggestions:

Section 1:

Section 2:

Section 3:

Focus: Deeper Analysis and Current Issues

Many financial scandals have been caused by mechanical application of quantitative tools. In this class we will discuss the limitations of the models and a deeper understanding of the economics, and should increase the students' breadth of understanding. Students will also develop skills in reading research papers, presenting economic ideas, and coming up with opinions on topics in finance and related areas.

Prerequisites Third semester standing in the MSF Quant track or permission of the instructor.

Feedback Feedback is especially appreciated. I will give a modest amount of course credit for good suggestions on how to improve the course.

Organization of the course Student presentations, some lectures, and a final exam.

Course Requirements Grades will be based 60% on the final exam and 40% on the quality of the class presentation.

Original Research Occasionally, students present their own original research. A student interested in this option should come to talk with me as early as possible. Expect to work closely with me in refining the analysis. (This is harder in the current half-semester format than in the original full-semester format.)

Presenting Academic Research In the past, most students have presented a research paper assigned by me. You can either present a paper from a list of available papers, or you can work with me and the TAs on finding a paper in your special area of interest. You are allowed to get help from other people in understanding the paper you present, but you must prepare the presentations yourself. Your presentation should reflect a sophisticated understanding of the papers' assumptions and conclusions, and the presentation should include a critical analysis of the paper's validity and applicability. Each presentation will last 40 to 45 minutes to allow us to have two presentations in each two-hour class (which is actually 2 hours less the final 10 minutes and time for a break). The presentation should be interesting and pitched at a level appropriate for your classmates. I suggest using slides, which can also be shared with your classmates to help them to study for the exam. Make sure the main conclusions of the paper come through (it is okay if you disagree with the paper), and avoid going through too much algebra or other details for the time available. Even for a technical audience, it is often more useful to talk about the ideas and intuition rather than plowing through the mathematics. The first slide should make it clear the author(s) of the paper and should also make it clear that it is your presentation. If your presentation gets behind, do not try to fly through many slides in a few minutes, and instead summarize anything important in the slides you are skipping and move quickly to the conclusion and your opinions. Your opinions on the paper should be more than you agree or disagree. If you like the paper, tell us why and which parts are especially good or relatively weak. If you don't like the paper, be specific about the problems (could be in execution or just answering a less interesting question than you expected) and say what you would do differently. These are examples, and when you express your opinion, your approach may vary. The main thing is that you need to provide some details in support of your opinions.

Course materials Beyond this syllabus, papers for study will be posted on the course web site, a few at a time through the semester. There will not be any textbook, problem sets, or packet. Slides from the student presentations will be posted to help you prepare for the final exam.

Final Exam The final exams for the three sections are tentatively scheduled for the following times:

Section 1: Monday, October 7, 1:00 - 3:00 in Simon Hall 107
Section 2: October 8, 1:00 - 3:00 in Simon Hall 108
Section 3: October 8, 3:30 - 5:30 in Simon Hall 108

If you have a conflict with these times, tell me as soon as possible, and I will schedule a separate oral final exam for you. An oral exam is fair because I can measure accurately your knowledge, but also it is probably a little intimidating so you have an incentive not to miss the exam unless you have a good reason.

Feel free to contact me anytime. My Weixin (WeChat) id is PhilDybvig; that is probably the quickest way of reaching me. Or send me an E-mail at or call or text at 314-398-3196.

About me I was previously a tenured full professor at Yale, and I came to Wash U in 1988 with a charge to build a top finance group, which we have done. More information on me is in the chatty blurb at or in my vitae at All of these pages can be accessed through my home page, and I invite you to visit there.

Integrity and Professionalism Students are expected to conform to the Olin School's Honor Code and Code of Professionalism. In particular, keep in mind the preparing your presentation for class is an individual effort and not preparing your own presentation could have a big negative impact on your life. I will report any violations to the Disciplinary Committee (with considerable sadness but a strong sense of duty).

Other resources See the Appendix below for links to university resources for students who have experienced sexual assault, bias, or mental health difficulties.

Summary I look forward to sharing with you some interesting and challenging ideas.

APPENDIX: some additional resources

Accommodations based upon sexual assault The University is committed to offering reasonable academic accommodations to students who are victims of sexual assault. Students are eligible for accommodation regardless of whether they seek criminal or disciplinary action. Depending on the specific nature of the allegation, such measures may include but are not limited to: implementation of a no-contact order, course/classroom assignment changes, and other academic support services and accommodations. If you need to request such accommodations, please direct your request to Kim Webb (, Director of the Relationship and Sexual Violence Prevention Center. Ms. Webb is a confidential resource; however, requests for accommodations will be shared with the appropriate University administration and faculty. The University will maintain as confidential any accommodations or protective measures provided to an individual student so long as it does not impair the ability to provide such measures.

If a student comes to me to discuss or disclose an instance of sexual assault, sex discrimination, sexual harassment, dating violence, domestic violence or stalking, or if I otherwise observe or become aware of such an allegation, I will keep the information as private as I can, but as a faculty member of Washington University, I am required to immediately report it to my Department Chair or Dean or directly to Ms. Jessica Kennedy, the University's Title IX Coordinator. If you would like to speak with the Title IX Coordinator directly, Ms. Kennedy can be reached at (314) 935-3118,, or by visiting her office in the Women's Building. Additionally, you can report incidents or complaints to Tamara King, Associate Dean for Students and Director of Student Conduct, or by contacting WUPD at (314) 935-5555 or your local law enforcement agency.

You can also speak confidentially and learn more about available resources at the Relationship and Sexual Violence Prevention Center by calling (314) 935-8761 or visiting the 4th floor of Seigle Hall.

Bias Reporting The University has a process through which students, faculty, staff and community members who have experienced or witnessed incidents of bias, prejudice or discrimination against a student can report their experiences to the University's Bias Report and Support System (BRSS) team. See

Mental Health Mental Health Services' professional staff members work with students to resolve personal and interpersonal difficulties, many of which can affect the academic experience. These include conflicts with or worry about friends or family, concerns about eating or drinking patterns, and feelings of anxiety and depression. See