Professor:
Lasse Heje Pedersen
Email: lpederse@stern.nyu.edu
Homepage:
http://www.stern.nyu.edu/~lpederse/
Course homepage:
http://www.stern.nyu.edu/~lpederse/courses/HFS/HFS.html
Teaching Assistants:
Farhang Farazmand, email:
ffarazma@stern.nyu.edu
Jaewon Choi, email:
jchoi@stern.nyu.edu
TA office hours: Monday 4-8pm in KMC 9-175 or by appointment
Prof. Pedersen's office hours: Wednesday 4-6pm or by appointment
Brief Course Description:
The class describes some of the main strategies used by
hedge funds and proprietary traders and provides a methodology to analyze them.
In class and through exercises, the strategies are illustrated using real data
and students learn to use “back testing” to evaluate a strategy. The class also
covers institutional issues related to short selling, liquidity, margin
requirements, risk management, and performance measurement. The strategies’
returns are adjusted for illiquidity and their risks are evaluated, including
the risk forced liquidation due to margin constraints.
Course Outline and Readings (restricted to registered students):