Anh Le

Color portrait of Anh Le

Associate Professor

Department Finance
Office Address 336 Business Building
Phone Number 814-867-0068
Email Address

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Dr. Anh Le received his PhD from New York University's Stern School of Business, and his bachelor of commerce degree with first-class honors from the University of Queensland in Australia.


Fixed Income


Ph D, Finance (Fixed Income), New York University, 2008

Bachelor of Commerce (Honors), Finance, University of Queensland, 2001

Bachelor of Commerce, Accounting and Finance, Monash University, 2000

Courses Taught

FIN 496 – Indep Studies (Variable)
Creative projects, including research and design, which are supervised on an individual basis and which fall outside the scope of formal courses.

FIN 497 – Special Topics (3)
Formal courses given infrequently to explore, in depth, a comparatively narrow subject which may be topical or of special interest.

This course provides a broad understanding of the pricing mechanism of the bond, equity, and foreign exchange markets. The course also gives students an overview of analytical methodologies that help market participants discern asset price from asset value. How can a market participant understand when they are "buying low and selling high"? In particular, the course investigates the following questions related to understanding financial markets and why this understanding is important to success as a strategic corporate manager: ¿ What is the language of financial markets¿how do market actors read financial statements with a critical eye to understand assets' future value? ¿ What is the difference between price and value? ¿ What, theoretically, is the "intrinsic value of an asset? What analytical techniques can the financial market participant use to approximate intrinsic value? ¿ How are decisions made given that market results are uncertain? ¿ How are decisions made probabilistically using the basic concepts of expected value and standard deviation? ¿ What is the difference between an "optimal" decision using market data vs. an "accurate" decision? ¿ How do we understand that the concept of risk is multi-layered and multi-dimensional? ¿ Which risks are associated with which markets, i.e., bonds vs. equities etc., and how do market participants mitigate risk through hedging? ¿ Are markets rational or are they subject to "behavioral" characteristics? ¿ How do we understand and quantify our corporation¿s risk profile and how does that determine our decisions to employ capital in one asset market vs. another? At the end of the course students should have a sense that decisions to buy or sell an asset in any financial market are imperfect, and that new information alters the value of assets extremely quickly. As a result, students must develop a keen sense of how markets are moving, and why they are moving in one direction or the other. More importantly, students will realize that decisions must be made, assets must be bought or sold, and hopefully, valuation techniques lead to profitable outcomes.

FIN 597 – Special Topics (1.5)
Formal courses given on a topical or special interest subject which may be offered infrequently; several different topics may be taught in one year or term.

FIN 408 – Fin Mrkts and Insts (3)
Functional analysis of major credit institutions; sources and uses of funds; impact of government regulation.

Selected Publications

Le A., Giglio S., Dew-Becker I., Rodriguez M., "The Price of Variance Risk." Journal of Financial Economics, 2017
Le A., Jotikasthira P., Lundblad C., "Why Do Term Structures in Different Currencies Comove?." Journal of Financial Economics, vol. 115, no. 1, 2015, pp. 58-83
Le A., "Separating the Components of Default Risk: A Derivative-Based Approach." Quarterly Journal of Finance, vol. 5, no. 1, 2015, pp. 1550005-1:48, Invited
Le A., Singleton K., Joslin S., "Gaussian Macro-Finance Term Structure Models with Lags." Journal of Financial Econometrics, vol. 11, no. 4, 2013, pp. 581-609, Invited
Le A., Singleton K., Joslin S., "Why Gaussian Macro-Finance Term Structure Models Are (Nearly) Unconstrained Factor-VARs." Journal of Financial Economics, vol. 109, no. 3, 2013, pp. 604-622
Le A., Singleton K., "An Equilibrium Term Structure Model with Recursive Preferences." American Economic Review, vol. 100, no. 2, 2010, pp. 557-561
Le A., Singleton K., Dai Q., "Discrete-time AffineQ Term Structure Models with Generalized Market Prices of Risk." Review of Financial Studies, vol. 23, no. 5, 2010, pp. 2184-2227