30177 - FINANCIAL MODELLING
CLEAM - CLEF - CLEACC - BESS-CLES - BIEMF
Course taught in English
Go to class group/s: 31
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 are able to 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; parameter uncertainty.
- Bonds: duration, immunization and the term structure of interest rates.
- Stocks: CAPM, beta estimation and the security market line.
- introduction to APT and multi-factor models.
- Options: binomial model, lognormal distribution and Black-Scholes model.
- Further topics: event study, style analysis.
- S. BENNINGA, Financial Modeling, MIT Press, 2008, 3rd Edition.