College of Business and Economics, WVU

FIN 520 Quantitative Finance
Spring 2010
Monday, Wednesday, 4:00-5:15 p.m., 244 B&E

Course Description: This course provides the statistical foundation for quantitative analysis of financial markets. The structure of the course closely follows the quantitative methods portion of the CFA curriculum. We will examine statistical and probability concepts, statistical inference, regression analysis, time series analysis, and financial modeling. The course is designed to provide hands on application of key concepts and techniques through realistic class examples and assignments.

Expected Learning Outcomes:

Upon successful completion of this course, the student will be able to:

• Apply statistical methods to analyze past financial data.
• Select appropriate techniques and build quantitative models to solve financial problems.
• Interpret, evaluate and clearly communicate results from quantitative analysis.
• Demonstrate an understanding of appropriate application of quantitative techniques.

Prerequisites: I will assume that students know basic algebra and basic statistics, and are familiar with Excel.

Required Text: Quantitative Investment Analysis, by Richard DeFusco, Dennis McLeavey, Jerald Pinto and David Runkle, 2^nd edition, John Wiley & Sons, Inc., CFA Institute, 2007. (ISBN: 978-0-470-05220-4)

I will make regular reading assignments from the text. It is important that you complete the reading assignments prior to class. Your goal in reading must be true understanding of the material, not memorization. I expect you to come to class prepared for active participation.

Recommended Text: Quantitative Investment Analysis Workbook, by Richard DeFusco, Dennis McLeavey, Jerald Pinto and David Runkle, 2^nd edition, John Wiley & Sons, Inc., CFA Institute, 2007. (ISBN: 978-0-470-06918-9)

Recommended Additional Reading: Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets by Nassim Taleb. Random House, 2008.

Software: A part of the course will rely on Excel for applications of statistical techniques using financial data. We will also use SAS for regression and time series analysis.

Data Sources: We will use historical financial data from Wharton Research Data Services (WRDS) and other sources.

WVU eCampus: I will use WVU eCampus (https://ecampus.wvu.edu/) throughout the course to post announcements, problem sets, lecture notes, classroom handouts and other class materials.

Data Analysis Assignments: The assignments are designed to apply appropriate statistical techniques with real financial data. You may work individually or in a group of two. The tentative due dates of the assignments are listed on the course schedule. More information on these assignments will be provided.

Regularly Scheduled Exams: There will be two midterm exams during the semester, tentatively scheduled for February 17 and April 7. The midterm exam dates will be confirmed at least a week in advance of the exam. A comprehensive final exam is scheduled for 7:00 p.m. on May 6. No make-up exams will be given except by prior arrangement with the instructor.

Attendance: Regular attendance is important. Students who attend classes regularly tend to earn higher grades. Consistent with WVU guidelines, students absent from regularly scheduled examinations because of authorized University activities will have the opportunity to take them at an alternate time.

Class Participation: Student involvement in class discussion is an important part of this class. All questions and comments are encouraged and welcome.

Determination of Grade: Your grade for the course will be determined as follows:

The final grade will be determined using the following scale: A: 90-100; B: 80-89; C: 70-79; D: 60-69; F: below 60.

Social Justice Statement: West Virginia University is committed to social justice. I concur with that commitment and expect to maintain a positive learning environment based on open communication, mutual respect, and nondiscrimination. Our University does not discriminate on the basis of race, sex, age, disability, veteran status, religion, sexual orientation, color or national origin. Any suggestions as to how to further such a positive and open environment in this class will be appreciated and given serious consideration. If you are a person with a disability and anticipate needing any type of accommodation in order to participate in this class, please advise me and make appropriate arrangement with Disability Services (293-6700).

Academic Integrity: The integrity of the classes offered by any academic institution solidifies the foundation of its mission and cannot be sacrificed to expediency, ignorance, or blatant fraud. Therefore, I will enforce rigorous standards of academic integrity in all aspects and assignments of this course. Should you have any questions about possibly improper research citations or references, or any other activity that may be interpreted as an attempt at academic dishonesty, please see me before the assignment is due to discuss the matter.

Tentative Course Schedule

NOTE: The instructor reserves the right to change this syllabus as time and circumstances dictate. Necessary changes will be announced in class in advance when possible.

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