Kellogg School of Management, Northwestern University
Evanston, IL, United States
http://www.kellogg.northwestern.edu/

Dynamic Asset Pricing Theory

This course covers the basic arbitrage and equilibrium models of asset pricing in dynamic settings. Topics include the implications of no arbitrage for derivative security pricing and term-structure models, optimal portfolio selection, equilibrium models of asset pricing and the representative agent. The necessary mathematical tools are introduced, including the Ito calculus and stochastic cont......
 

This course is an introduction to asset pricing theory and portfolio choice. The first part of the course introduces arbitrage theory, including state prices, equivalent martingale measures, beta pricing and the associated mean-variance analysis. The second part deals with optimal consumption/portfolio choice of agents and competitive equilibrium in the context of general preferences. The third......
 

This course uses a case approach to analyze a variety of decisions in the international financial environment. Topics include multinational capital budgeting, determining the cost of capital and project evaluation in an international environment, performance evaluation and control of a foreign subsidiary, debt-equity swaps and capital flight, international portfolio management, new instruments ......
 

This course studies the foundations of derivatives pricing and modern risk management practice. Topics include delta-hedging, the lognormal distribution, Monte Carlo valuation, the Black-Scholes equation, exotic options, fixed income derivatives and risk assessment. Extensive use is made of spreadsheet-based valuation models. This course presumes that students already understand binomial pricin......
 

This course examines the special problems in financial management of the transportation sector. Topics include models of capital formation and financing, capital maintenance and utilization policies, specialized debt instruments, bankruptcy and restructuring, and joint public-private ventures. ...
 

This course covers the use and pricing of forwards and futures, swaps and options. Specific topics include strategies for speculation and risk management, no-arbitrage pricing for forward contracts, the binomial and Black-Scholes option pricing models and applications of pricing models in other contexts. ...
 

This advanced course is designed for students seeking a sophisticated understanding of fixed income valuation and hedging methods, and a basic familiarity with the major markets and instruments. Tools include duration, convexity, yield curve models, option pricing models and value at risk, which are used to understand pricing and hedging of forwards, futures and swaps, asset-backed securities a......
 

This course focuses on the valuation of publicly traded equity securities. The tools and techniques include fundamental analysis ("bottoms-up," firm-level, business and financial analysis), preparation of pro forma financial statements, estimation of free cash flows and application of valuation models. The firm’s financial statement data constitute a major input to the valuation ......
 

This course focuses on the functions, products and services of investment banks and how the securities industry meets the financing, investing, hedging and advisory needs of its corporate, government, institutional and individual clients. In addition, the course examines career opportunities in investment banking, how revenue is generated, how client relationships are developed, the role of der......
 

This course focuses on the organization, products and services of investment banks and how the securities industry meets the financing, investing, trading, hedging and advisory needs of its corporate, government, institutional and individual clients. In addition, the course examines career opportunities in investment banking, including banking (financings and M & A), trading, sales, research an......
 

Risk bearing markets and risk shifting, often using insurance, pervade business and our personal lives. This course explores risk, the economics of risk bearing markets and risk bearing institutions, and business problems and strategies associated with these institutions. We cover theory and real-world applications. In our initial classes we study risk bearing market behavior, which explains ma......
 

This course covers financial institutions and financial instruments. In the first half of the course, the linkages between the financial system and the macroeconomy are studied including interest rate determination, the role of the Federal Reserve and the conduct of monetary policy. Particular attention is paid to the banking system, with an eye toward understanding the function and importance ......
 

Securitization is the transformation of a pool of individual loans, debt instruments or future income flows into securities tradable in capital markets. This process funds more home and auto loans and credit card receivables than all intermediaries put together, and its reach has expanded to commercial real estate, commercial and industrial loans, loans commitments, accounts receivable, royalty......
 

This course examines transactions that significantly affect corporations’ assets, liabilities, and/or equity claims. The course is intended to provide an overview of common restructuring techniques as well as the economic motives for undertaking them. Topics covered include bankruptcy, convertible securities, tracking stock, spin-offs, and mergers. Transactions will be examined from the pe......
 

This course examines the role of taxes in a firm’s financial strategy. Tax knowledge is not a prerequisite, and we do not cover the specifics of any one tax code. Instead we study the basic structure of tax codes and identify the fundamental sources of gains from tax planning. General principles are illustrated with examples from past and current tax law in the United States and other coun......
 

This course teaches students how to become entrepreneurs by focusing on financial aspects. Topics include pro forma development and review, business valuation models, cash flow analysis, and raising capital from private investors, venture capitalists and banks. The course is taught using the case method process ("real life" case studies). Periodically, technical notes are used and gue......
 

This course is designed to develop, mainly through the real-world experiences of venture capitalists and private equity investors, an understanding of the key issues in private equity investing and creating long-term value in privately held companies. It is hoped that students will develop an appreciation of the kinds of judgments involved in entrepreneurial companies at various points in the r......
 

This course uses case studies to enhance the student’s understanding of managerial financial decision making, specifically investment and financing decisions. Topics include short- and long-term financing, capital structure and dividend decisions, cost of capital, capital budgeting, firm valuation, financial and operational restructuring, and mergers and acquisitions. The course emphasizes......
 

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