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PhD Course Work

 

In the summer prior to the first year of the program, it is strongly recommended that students take a mathematical economics course.

 

The curriculum in the PhD Program includes both required courses and electives. Required courses cover the fundamental tools that every financial economist must possess to conduct research in the finance area. Electives provide additional tools that are suitable to pursue the student’s specific research interests.

 

The PhD in finance requires all students to take a minimum of 15 doctoral courses (45 credit hours) in economics, statistics and econometrics, corporate finance and investments. Other topics include information economics, financial intermediation, derivatives, term structure models, and international finance.

 

Students may also pursue specific interests by taking elective courses in advanced statistics and mathematics, or economics. Courses will be taken in Kenan-Flagler and the UNC’s Economics Department. Students also have the option to attend specific courses at DukeUniversity. Students choose their course work under the supervision of their advisors and the director of the PhD Program in Finance.

 PhD Required Courses
DescriptionFilter
Expand/Collapse Courses : Required ‎(10)
BUSI880Financial Economics
3h. Introduction to the theory of decision making under uncertainty, portfolio selection and asset pricing.
BUSI881Corporate Finance
3h. Introductory level course to corporate finance theory. The course will cover in detail several of the seminal papers in corporate theory, discussing topics such as takeovers, capital structure, and agency theory.
BUSI882 Empirical Corporate Finance
3h. This course offers an introduction to selected topics in the empirical corporate finance literature. Topics include executive compensation, corporate governance, law and finance, takeovers and corporate control, capital structure, financial distress and bankruptcy, internal capital markets and diversification, and financial intermediation.
BUSI885Seminar in Research in Finance
1h. An informal seminar to discuss current research of doctoral candidates and faculty.
BUSI886Quantitative Methods in Finance (Economics 386)
3h. This course is provides an introduction to the quantitative methods used in empirical asset pricing. Model specification and estimation issues are discussed at length. The course emphasizes both theoretical and practical research.
BUSI887Seminar in Asset Pricing
3h. This course introduces PhD students to advanced techniques for modeling asset prices or returns in a continuous-time setting. The course encompasses no-arbitrage characterization of asset prices, no-arbitrage pricing of derivatives securities; dynamic portfolio and consumption choice under uncertainty; and equilibrium characterization of asset prices.
BUSI888Seminar in Financial Markets
3h. This course cover advanced topics in empirical asset pricing. The topics change every time the course is being taught. The course is meant to be a bridge towards the current literature and provides students with the most recent developments in various areas.
BUSI899Foundations for Continuous Time Asset Pricing
The aim of this course is to summarize the main probabilistic tools in asset pricing. While the focus is on continuous time mathematical finance (stochastic calculus, martingale methods), we will also pay attention to underlying economics assumptions (no arbitrage and risk premium in market equilibrium) as well as to practical relevance (from discrete time data to continuous time models).
BUSI899-002Advanced Corporate Finance Theory
1.5h. This is an advanced course in corporate finance theory, examining recent contribution related to the choice of corporate financial policies, such as dividend policy, capital structure, corporate control, financial reorganizations, initial public offers and security design.
BUSI 899-006Market Microstructure Theory
3h. Introduction to the field of market microstructure with asymmetrically informed agents. Topics include rational expectation models and their foundation, strategic trader models, welfare issues associated with insider trading, information disclosure, manipulation, information sales in financial markets, and optimal market design.

 PhD Elective Courses
DescriptionFilter
Expand/Collapse Courses : Elective ‎(18)
Expand/Collapse Category : Mathematics and Statistics ‎(4)
STAT154 Use SHIFT+ENTER to open the menu (new window).
Measure and Integration
Prerequisite, advanced calculus. Lebesgue and abstract measure and integration, convergence theorems, differentiation. Radon-Nikodym theorem, product measures. Fubini theorems. Lp spaces. Fall. Leadbetter. (3).
STAT155 Use SHIFT+ENTER to open the menu (new window).
Probability Theory
Prerequisite, Statistics 154 or permission of instructor. Foundations of probability. Basic classical theorems. Modes of probabilistic convergence. Central limit problem. Generating functions, characteristic functions. Conditional probability and expectation. Spring. Kelly. (3)
STAT184 Use SHIFT+ENTER to open the menu (new window).
Introduction to Stochastic Processes
Prerequisites for nonstatistics majors, Statistics 126 and permission of instructor. Discrete Markov chains; Continuous Markov chains: Poisson, birth-death, etc.; Stationary processes. Fall. Ji. (3).
STAT236 Use SHIFT+ENTER to open the menu (new window).
Stochastic Analysis
Prerequisite, Statistics 154 amd 155, or permission of the instructor. Advanced course covering topics selected from: semimartingale theory, stochastic integrals, homogeneous chaos expansions, stochastic differential equations, Malliavin calculus, infinite dimensional processes, functional central limit theorems, Feynman-Kac formula, Feynman integral. Applications to filtering theory, infinite particle systems, quantum mechanics, and stochastic models in neurophysiology. (3).
Expand/Collapse Category : Finance at Duke University ‎(4)
Finance551 Use SHIFT+ENTER to open the menu (new window).
Finance 1
Finance552 Use SHIFT+ENTER to open the menu (new window).
Finance 2
Finance553 Use SHIFT+ENTER to open the menu (new window).
Finance 3
Finance554 Use SHIFT+ENTER to open the menu (new window).
Finance 4
Expand/Collapse Category : Economics ‎(4)
ECON810 (221)Use SHIFT+ENTER to open the menu (new window).
Game Theory 1
Prerequisite, Economics 710 (200), 711 (201), or permission of the instructor. Non-cooperative games in strategic and extensive form with perfect and imperfection information. Other topics from: information economics, mechanism design, auctions, repeated games, bargaining, bounded rationality, learning, evolutionary games, cooperative games. Fall. Parreiras.
ECON811 (225)Use SHIFT+ENTER to open the menu (new window).
Game Theory 2
Prerequisite, Economics 710 (200), 711 (201), or permission of the instructor. Topics covered will be chosen from those listed, but not covered in Economics 810 (221). Fall or spring. Biglaiser, Parreiras.
ECON861 (262)Use SHIFT+ENTER to open the menu (new window).
International Monetary Economics
Prerequisite, graduate standing in economics or permission of the instructor. Analysis of the international monetary system; exchange rates; the process of adjustment in the balance of payments. Fall or spring. Black, Conway.
865 (263) ECONOMIC DEVELOPMENT: THEORY AND POLICY (3). Prerequisite
ECON911 (300)Use SHIFT+ENTER to open the menu (new window).
Seminar in Microeconomic Theory
Prerequisite, permission of the instructor. Advanced study of theoretical and applied topics in monetary economics. Fall or spring. Froyen, Salemi.
Expand/Collapse Category : Econometrics ‎(6)
ECON771 (272)Use SHIFT+ENTER to open the menu (new window).
Econometrics
Prerequisite, Economics 770 (271) or equivalent. One semester coverage of basic econometrics. Topics include: regression under ideal and nonideal conditions; special models, including simultaneous equations models; and applications and econometric computer programs. Spring. Guilkey, Mroz, Parke.
ECON870 (273)Use SHIFT+ENTER to open the menu (new window).
Advanced Econometrics
Prerequisites, Economics 770 (271), Economics 771 (272), and Mathematics 547 (147). Economics 870 (273) constitutes a one-semester treatment of the fundamental theory of econometrics. Topics covered include asymptotic distribution theory, linear and nonlinear models, specification testing techniques, and simultaneous equations models. Fall. Campo, Ghysels, Guilkey, Parke, Renault.
ECON870 (271)Use SHIFT+ENTER to open the menu (new window).
Time Series Econometrics
Prerequisite, Economics 870 (273). Covers stationary univariate and multivariate time series models, spectral analysis methods, nonstationary models with time trends, unit roots and cointegration, and special topics such as conditional volatility, the Kalman filter and changes of regime. Spring. Ghysels, Parke, Renault.
ECON872 (275)Use SHIFT+ENTER to open the menu (new window).
Non-linear Econometric Methods

Prerequisite, Economics 870 (273). Density estimation, nonparametric regression, neural nets, nonlinear regression, generalized method of moments, seminonparametric time series, estimating stochastic differential equations and nonlinear latent variables. Fall or spring. (Not offered 2006/2007.)

873 (276) CROSS SECTIONAL ECONOMETRICS

ECON873 (276)Use SHIFT+ENTER to open the menu (new window).
Cross Sectional Econometrics
Prerequisite, Economics 870 (273). Maximum likelihood methods for limited dependent variables. Longitudinal data models and methods. Hazard models. Multivariate models with limited dependent variables. Fall or spring. Guilkey, Mroz.
Duke ECON347 Use SHIFT+ENTER to open the menu (new window).
Econometrics