Stephan Dieckmann

Stephan Dieckmann
  • Adjunct Associate Professor of Finance
  • Deputy Vice Dean of Academic Affairs in the MBA Program Office.

Contact Information

  • office Address:

    320 Jon M. Huntsman Hall
    Philadelphia, PA 19104

  • office Address:

    2252 SH-DH
    Philadelphia, PA 19104

Research Interests: dynamic asset pricing, financial econometrics, fixed income markets, insurance economics, risk management, in particular rare event risk and credit risk

Links: Personal Website

Overview

Dr. Stephan Dieckmann is the Deputy Vice Dean of Academic Affairs in the MBA Program. He has been teaching in the Finance department at the Wharton School since 2008. His teaching portfolio includes several electives in the areas of capital markets and investments, such as Financial Derivatives and Fixed Income Securities, as well as the core course Corporate Finance. Prior to joining Wharton, he was on the Finance faculty at the W.P. Carey School of Business, Arizona State University. Dr. Dieckmann received his Ph.D. from Carnegie Mellon University, and he has published his research in scholarly journals and has presented at international conferences and universities in the U.S. and Europe.  Dr. Dieckmann’s research interests include questions in asset pricing and insurance economics. Prior to his academic career he worked in the financial industry, where he was responsible for interest rate risk management activities, specializing in interest rate options and the management of callable debt.

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Teaching

Past Courses

  • FNCE100 - CORPORATE FINANCE

    This course provides an introduction to the theory, the methods, and the concerns of corporate finance. The concepts developed in FNCE 100 form the foundation for all elective finance courses. The main topics include: 1) the time value of money and capital budgeting techniques; 2) uncertainty and the trade-off between risk and return; 3) security market efficiency; 4) optimal capital structure, and 5) dividend policy decisions. ACCT 101 + STAT 101 may be taken concurrently.

  • FNCE206 - FINANCIAL DERIVATIVES

    This course covers one of the most exciting yet fundamental areas in finance: derivative securities. In the modern financial architecture, financial derivatives can be the most challenging and exotic securities traded by institutional specialists, while at the same time, they can also be the basic securities commonly traded by retail investors such as S&P Index Options, Beyond trading, the basic ideas of financial derivatives serve as building blocks to understand a much broader class of financial problems, such as complex asset portfolios, strategic corporate decisions, and stages in venture capital investing. The global derivatives market is one of the most fast-growing markets, with over $600 trillion notional value in total. It is important as ever to understand both the strategic opportunities offered by these derivative instruments and risks they imply. The main objective of this course is to help students gain the intuition and skills on (1) pricing and hedging of derivative securities, and (2) using them for investment and risk management. In terms of methodologies, we apply the non-arbitrage principle and the law of one price to dynamic models through three different approaches: the binomial tree model, the Black-Scholes-Merton option pricing model, and the simulation-based risk neutral pricing approach. We discuss a wide range of applications, including the use of derivatives in assetmanagement, the valuation of corporate securities such as stocks and corporate bonds with embedded options, interest rate derivatives, credit derivatives, as well as crude oil derivatives. In addition to theoretical discussions, we also emphasize practical considerations of implementing strategies using derivatives as tools, especially when no-arbitrage conditions do not hold. In addition to course prerequisites, STAT 102 may be taken concurrently.

  • FNCE235 - FIXED INCOME SECURITIES

    This course covers fixed income securities (including fixed income derivatives)and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. As a result, although every effort will be made to introduce the various pricing models and techniques as intuitively as possible and the technical requirements are limited to basic calculus and statistics, the class is by its nature quantitative and will require a steady amount of work. In addition, some computer proficiency will be required for the assignments, although familiarity with a spreadsheet program (such as Microsoft Excel) will suffice. In addition to course prerequisites, FNCE 101 is recommended.

  • FNCE238 - CAPITAL MARKETS

    The objective of this course is to give you a broad understanding of the framework and evolution of U.S. capital markets, the instruments that are traded, the mechanisms that facilitate their trading and issuance, and the motivations of issuers and investors across different asset classes. The course will highlight the problems that capital market participants are seeking to solve, which you can use in your post-Wharton careers to evaluate future market innovations. We will consider design, issuance, and pricing of financial instruments, the arbitrage strategies which keep their prices in-line with one another,and the associated economic and financial stability issues. We will draw from events in the aftermath of the recent financial crisis, which illustrate financing innovations and associated risks, as well as policy responses that can change the nature of these markets. In addition to course prerequisites, FNCE 101 is recommended.

  • FNCE611 - CORPORATE FINANCE

    This course serves as an introduction to business finance (corporate financial management and investments) for both non-majors and majors preparing for upper-level course work. The primary objective is to provide the framework, concepts, and tools for analyzing financial decisions based on fundamental principles of modern financial theory. The approach is rigorous and analytical. Topics covered include discounted cash flow techniques; corporate capital budgeting and valuation; investment decisions under uncertainty; capital asset pricing; options; and market efficiency. The course will also analyze corporate financial policy, including capital structure, cost of capital, dividend policy, and related issues. Additional topics will differ according to individual instructors.

  • FNCE614 - CORPORATE FNCE (HALF CU)

    This half-semester course serves as an introduction to corporate investments for non-majors. The primary objective is to provide a framework, concepts, and tools for analyzing financial decisions based on fundamental principles of modern financial theory. Topics covered include discounted cash flow techniques, corporate capital budgeting and valuation, investment decisions under uncertainty, and capital asset pricing. The approach is rigorous and analytical but the course will not cover several topics included in the full semester Corporate Finance course, including: market efficiency, corporate financial policy (including capital structure, cost of capital, dividend policy, and related issues), and options.

  • FNCE717 - FINANCIAL DERIVATIVES

    This course covers one of the most exciting yet fundamental areas in finance: derivative securities. Financial derivatives can be the most challenging and exotic securities traded by institutional specialists, while at the same time, they can also be the basic securities commonly traded by retail investors such as S&P Index Options, Beyond trading, the basic ideas of financial derivatives serve as building blocks to understand a much broader class of financial problems, such as complex asset portfolios, strategic corporate decisions, and stages in venture capital investing. The main objective of this course is to help students gain the intuition and skills on (1) pricing and hedging of derivative securities, and (2) using derivatives for investment and risk management. In terms of methodologies, we apply the non-arbitrage principle and the law of one price to dynamic models through three different approaches: the binomial tree model, the Black-Scholes-Merton option pricing model, and the simulation-based risk neutral pricing approach. We discuss a wide range of applications, including the use of derivatives in asset management, the valuation of corporate securities such as stocks and corporate bonds with embedded options, interest rate derivatives, credit derivatives, as well as crude oil derivatives. In addition to theoretical discussions, we also emphasize practical considerations of implementing strategies using derivatives as tools, especially when no-arbitrage conditions do not hold. In addition to prerequisites, STAT 613 may be taken concurrently.

  • FNCE725 - FIXED INCOME SECURITIES

    This course covers fixed income securities (including fixed income derivatives) and provides an introduction to the markets in which they are traded, as well as to the tools that are used to value these securities and to assess and manage their risk. Quantitative models play a key role in the valuation and risk management of these securities. In addition to course prerequisites, FNCE 613 is recommended but not required.

  • FNCE738 - CAPITAL MARKETS

    The objective of this course is to give you a broad understanding of the instruments traded in modern financial markets, the mechanisms that facilitate their trading and issuance, as well as, the motivations of issuers and investors across different asset classes. The course will balance functional and institutional perspectives by highlighting the problems capital markets participants are seeking to solve, as well as, the existing assets and markets which have arisen to accomplish these goals. We will consider design, issuance, and pricing of financial instruments, the arbitrage strategies which keep their prices in-line with one another, and the associated economic and financial stability issues. The course is taught in lecture format, and illustrates key concepts by drawing on a collection of case studies and visits from industry experts. In addition to prerequisites, FNCE 613 may be taken concurrently.

  • FNCE899 - INDEPENDENT STUDY

    Independent Study Projects require extensive independent work and a considerable amount of writing. ISP in Finance are intended to give students the opportunity to study a particular topic in Finance in greater depth than is covered in the curriculum. The application for ISP's should outline a plan of study that requires at least as much work as a typical course in the Finance Department that meets twice a week. Applications for FNCE 899 ISP's will not be accepted after the THIRD WEEK OF THE SEMESTER. ISP's must be supervised by a Standing Faculty member of the Finance Department.

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