 |
 |
The Johnson Graduate School of Management has numerous activities related to Financial Engineering. Faculty doing research in the areas of options/futures and investments include Professors W. Bailey and R. Jarrow. These professors also collaborate with others both on research and with Ph. D. students from Economics, Operations Research and Industrial Engineering, Applied Mathematics, Mathematics, the Theory Center, and the School of Industrial and Labor Relations.
The weekly Finance Seminar at the Johnson School often has speakers of interest. Courses are offered in the areas of investments, asset pricing theory, derivatives, fixed income securities, risk management, international finance, and financial markets and institutions.
Current research interests of the Faculty and Ph.D. students include:
- Incomplete Markets, the Pricing and Hedging of Financial Derivatives;
- Modeling Credit Risk;
- Modeling Liquidity Risk;
- Empirical Estimation of Continuous Time Models;
- Testing of Derivative Pricing Models;
- Coherent Risk Measures