Course Work

The course component of the M.Sc. in Finance program is designed to prepare students for research work in the field of Finance. Consistent with this goal, a significant portion of the course work concentrates on the techniques of econometrics, multivariate statistical analysis, and general research methodology. In addition, students take four intensive seminar courses in advanced Finance:

Advanced Corporate Finance provides students with a fundamental understanding of the current issues of interest in research in the modern theory of corporate finance. It provides students with a theoretical background in areas such as security issuance, capital raising and corporate governance. Presentation and discussion of articles from academic journals is used as a tool to enhance student learning. Commonly used empirical research methodologies are also introduced.

Advanced Investment Theory examines the main theoretical themes of investments and modern financial economics. It provides a foundation for the area of asset pricing, as well as other fields of research in finance. The course begins with an introduction to expected utility theory, which describes how investors choose between investments. This leads to modern portfolio theory and the CAPM for valuing investments. It then looks at the notion of Arrow-Debreu pricing and valuing contingent claims by arbitrage, including the risk-neutral valuation method and the APT. Further topics include general equilibrium models such as the consumption CAPM, the theory of Modigliani and Miller, and examining the role of asymmetric information, including the notion of market efficiency.

Capital Market Theory provides a firm grounding in the theory and practice of the operations of capital markets, including the pricing, valuation and risk management of capital markets' instruments with special emphasis on fixed income securities, as well as an economic analysis of the relationships between the institutes that comprise the financial system. Many of the recent extensions of the theory are also reviewed and considerable attempt is made to integrate these extensions with the currently available empirical evidence. Also an understanding of the directions and causes of financial innovation is stressed.

Empirical Methods in Finance presents a critical look at current financial models and gives the student experience in the systematic analysis of financial data. Characteristics of financial data will be explored using tests for stationarity, co-integration and GARCH analysis as well as other techniques. Students are exposed to a suite of analytical tools that allow rigorous assessment of the characteristics of the financial data and models.

As students' theses will most likely involve empirical analyses using financial data, students are recommended to familiarize themselves with a computer programming language, econometric or financial analytical software package or macros on spreadsheets prior to entering the program. Such knowledge will facilitate students' research efforts. Computer packages that are used currently include SAS, SPSS, and EVIEWS.