30177 - FINANCIAL MODELLING
Course taught in English
Go to class group/s: 31
An intermediate level of Excel knowledge is assumed. Students with a basic knowledge are expected to fill their gaps before starting the course. Several Excel user manuals can come handy, for instance: M.MILLER, "Idiot's Guides: Microsoft Excel 2013", Penguin Group, 2014.
The course provides the technical skills for implementing financial models with Excel. Students are equipped with the basic operational tools to understand financial markets and employ the modelling abilities developed via sample applications to build their own models. Coursework mainly focuses on functions already embedded in the worksheet as well as on procedures designed to solve specific problems. The course concentrates on the application of several theoretical models for financial valuation, optimal portfolio choice and performance evaluation.
- Tools: introduction to Excel (array, financial and statistical functions) and add-ins (Solver and Data Analysis).
- Mean-variance portfolio choice: efficient frontier with and without shortselling constraints
- Bonds: duration, immunization and the term structure of interest rates.
- Stocks: CAPM, beta estimation and the security market line; APT and multi-factor models.
- Options: binomial model, lognormal distribution and Black-Scholes model.
- Further topics: event study, style analysis.
- Understand the functioning of financial markets.
- Implement financial models for asset pricing and portfolio formation.
- Face-to-face lectures
- Exercises (exercises, database, software etc.)
Exercises include Excel worksheets to analyse asset pricing and portfolio investment based on real world data.
|Continuous assessment||Partial exams||General exam|
- S. BENNINGA, Financial Modeling, MIT Press, 2014, 4th Edition.