Joe Wayne Byers
Formerly Assistant Applied Professor of Finance
| Phone: (713) 802-1297 | |
| Cell: (918) 269-1598 | Email: FinancialSEAL@FinancialSEAL.com |
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Joe Wayne Byers Formerly Assistant Applied Professor of Finance
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Finance 7033/Finance 7133
Dunis, Christian, Jason Laws, and Patrick Naim. (2003). Applied quantitative methods for trading and investments. (John Wiley & Sons, Ltd. New York, NY).
Jorion, Philippe. (2001). Value at Risk, 2nd Ed. (McGraw-Hill, New York).
Pilipovic, Dragana. (1997). Energy Risk: valuing and managing energy derivatives. (McGraw-Hill, New York).
Taleb, Nassim. (1997). Dynamic hedging: managing vanilla and exotic options. (John Wiley & Sons, Ltd. New York, NY).
Wilmott, Paul. (2000). Quantitative finance. Volumes 1 and 2. (John Wiley & Sons, Ltd. New York, NY).
Zhang, Peter G. (1998). Exotic options. 2nd Ed. (World Scientific Publishing Co., New Jersey).
Albanese, Claudio and Guiseppe Campolieti. (2006). Advanced derivatives pricing and risk management: theory, tools, and hands on programming applications. (Elsevier Academic Press, Burlington, MA).
Derman, Emanuel. (1996). Model Risk, Risk, 9:5, 34-37.
Derman, Emanuel. (1997). The future of modeling, Risk, December, 164-167.
Kim, Jongwoo Kim and Jorge Mina. (1996). RiskMetrics Technical Document. www.riskmetrics.com
Mina, Jorge and Jerry Yi Xiao. (2001). Return to Risk Metrics – the evolution of a standard. www.riskmetrics.com
Simkins, Betty. (2003). Deregulation in the Power Industry: Valuation and Risk Analysis of Energy Tolling Arrangements. Working Paper.
Baxter, Martin, and Andrew Rennie. (1996) Financial Calculus: an introduction to derivative pricing. (Cambridge University Press, New York, NY).
Clewlow, Les, and Chris Strickland. (1998). Implementing Derivative Models. (John Wiley & Sons, Ltd. New York, NY).
Greene, William H. (1997). Econometric Analysis. 3rd Ed. (Prentice-Hall, New Jersey).
Haug, Espen G. (1996). The complete guide to option pricing formulas. (McGraw-Hill, New York).
Jorion, Philippe. (2001). Value at Risk, 2nd Ed. (McGraw-Hill, New York).
Natenberg, Sheldon. (1994). Option Volatility & Pricing. (McGraw-Hill, New York).
Pindyck, Robert S., and Daniel L. Rubinfeld. (1991). Econometrics Models & Economic Forecasts, 3rd Ed. (McGraw-Hill, New York).
Rebonato, Riccardol. (1999). Volatility and Correlation. (John Wiley & Sons, Ltd. New York, NY).
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Presentation Literature Review (2) |
100 |
| Presentation Methodology (2) |
100 |
| Proposal |
150 |
| Participation |
150 |
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Total |
500 |
The course is composed of two parts: literature review and methodology. Each student will select two topics from the Topics list. Students are required to present literature reviews and discussions on the methodology for the each topic. The literature reviews will be covered in the first half of the semester and the methodology in the second half. A reference list will be provided to the class 1 week before the scheduled presentation and classmates that are not presenting must be prepared to rebut any material covered.
One topic will be selected for a formal proposal. This topic will also allow the student to select a replication study from their references.
The literature review will be presented to other student during the schedule time. Handouts, overheads, and other appropriate materials should be utilized.
The methodology will be presented to other student during the schedule time. Handouts, overheads, and other appropriate materials should be utilized.
The student will select a reference from the proposal literature review and replicate and extension the original results. The paper will contain a brief introduction of the original study including a description of the data, a description of the new data, and results from the replication and extension.
A formal proposal will be due the next to last week of the semester. This proposal will follow the Graduate School of the University of Tulsa style requirements.
The document Policies and Procedures Relating to Academic Misconduct in the College of Business Administration shall apply to this course. Copies of the document are on reserve in BAH 218.
All missing grades are recorded as zero unless the missed grade falls under the policy specified on pages E56-57 of the Student Handbook. This policy states that the student should report to the Student Center for Academic Support in Holmes Student Center, Room 59 for a formal excuse.
The topics and associated material is conceptually difficult meaning students will find it helpful to review the scheduled chapters and study assignments before class. This pre-class preparation will assist students to understand the “basic” concepts allowing class time to be devoted to the more difficult material.
Computer Lab: Excel (VBA), SAS, Matlab, Bloomberg, Mathematica, Moneyline, Compustat Research Insight.
GPL: R-Project from http://www.r-project.org, Quantlib from quantlib.org, lpsolv5 from http://groups.yahoo.com/group/lp_solve/ (requires user ID).
Other: Haug Excel addin (provided by professor once book is purchased), Visual Studio.