Course Catalog

Spring 2009

B8312-001: Advanced Derivatives

TR - Full Term, 02:15PM to 03:45PM

Instructor: pierre collin-dufresne

Prerequisite(s): B6302 Capital Markets & Investments

Download Syllabus

This course is designed to explore topics for which the basic options
 markets course has already laid the foundations.

Students who have not taken B8311 are strongly advised to take
 that course first.
 
In this course we will explore various derivatives markets and strategies
 that are used in the economy by a) Governments,
b) Corporations, c) Money managers, and d) Investment banks.

The course will cover three main areas: a) equity derivatives,
b) credit derivatives,and c) fixed-income.
Each session will be organized around one or two key papers.
In addition, class notes will be used to supplement and clarify issues.
Papers that are highlighted are required reading assignments.
All papers will be made available in a PDF form in ANGEL.

Pierre Collin-Dufresne

Pierre Collin-Dufresne

Carson Family Professor of Business

Prior to joining Columbia University in July 2008, Pierre worked three years as a senior portfolio manager responsible for fixed income and credit strategies in the Quantitative Strategies Group of Goldman Sachs Asset Management. Pierre joined GSAM in July 2005 from the Haas School of Business of U.C. Berkeley where he had been an Associate Professor of Finance since 2004. After obtaining his Ph.D. in 1998 from the HEC School of Management, Paris, France, he started as an Assistant Professor of Finance at the Graduate School of Industrial Administration of Carnegie Mellon University, where he became Associate Professor in 2003. Pierre’s teaching and research interests include Asset and Contingent Claim Pricing, Fixed Income Securities, Default Risk, Emerging Markets, International Finance, and Real Estate Economics. His research has been published in refereed journals such as Econometrica, Journal of Finance, and Journal of Derivatives. He has served as a member of the NBER and of the Advisory Research Board of Moody's. He also served as associate editor for the Journal of Quantitative Financial Analysis, Finance and Stochastics, Mathematics and Financial Economics, and the Review of Financial Studies.

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