2013/2014 KAN-CCMVV1616U Financial Models in Excel (Quarter version)
English Title | |
Financial Models in Excel (Quarter version) |
Course information |
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Language | English |
Exam ECTS | 7.5 ECTS |
Type | Elective |
Level | Full Degree Master |
Duration | One Quarter |
Course period | Autumn, First Quarter
Chages in course schedule may occur Monday 15.20-18.50, 36 Monday 09.50-13.20, week 37,40, 41, 42 Monday 08.00-11.30, week 38, 39 Monday 09.50-14.15, week 43 |
Time Table | Please see course schedule at e-Campus |
Study board |
Study Board for MSc in Economics and Business
Administration
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Course coordinator | |
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Teacher: Peter Raahauge - pr.fi@cbs.dk | |
Main academic disciplines | |
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Last updated on 07-04-2014 |
Learning objectives | |||||||||||||||||||||||
Besides gaining a deeper
understanding of the relevant financial theory as well as improving
their Excel and programming skills, the students should be able to
solve in Excel problems within the topics dealt with during the
course at a level similar to the exercises solved.
At the exam, the student should be able to recognize and to implement in Excel the right method for solving problems similar to the ones dealt with during the course. These problems include: • Using historical price series to draw inference and form portfolios with or without restrictions on volatility, expected return, and/or portfolio weights • Evaluating investment performance • Testing the CAPM using simple linear regressions • Pricing options with closed form solutions (European Options) • Pricing options with binomial grids • Pricing options with Monte Carlo methods • Determine implied volatility from option prices • Predicting volatility with moving average, exponentially weighted moving average, and GARCH models • Estimate exponentially weighted moving average models and GARCH models using the root mean squared error criteria and testing parameter values using maximum likelihood • Simulating and evaluate portfolio strategies with Monte Carlo methods • Form immunization strategies for bond portfolios with respect to parallel shifts • Evaluate the effectiveness of immunization strategies with respect to parallel and other simple shifts in the term structure • Estimate the parameters of a parametric term structure approximation, including cubic splines. • Price callable bonds in binomial interest rate grids calibrated to the term structure |
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Course prerequisites | |||||||||||||||||||||||
The course is oriented towards a
second year master student (at CBS) with the following background:
1. Master course in portfolio theory, 2. Master course in bond and option analysis 3. Undergraduate course in math (matrix algebra and optimization) and statistics. 4. Very basic Excel-skills. |
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Examination | |||||||||||||||||||||||
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Course content and structure | |||||||||||||||||||||||
The aim of the course is to provide capabilities of practical
implementation of financial theory using real world data.
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Teaching methods | |||||||||||||||||||||||
The course is very exercises based,
and the main workload consists of solving exercises in Excel for
each of the 14 topics dealt with during the course.
The course provide lectures online as screencasts and physical lessons. The former will assist the students understanding and ability to solve the exercises. The latter will be driven by problems and questions raised by the students. |
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Student workload | |||||||||||||||||||||||
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Further Information | |||||||||||||||||||||||
Term papers are not allowed due to the special nature of the course |
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Expected literature | |||||||||||||||||||||||
Benninga, S., "Financial Modelling, using Excel", 3rd edition, 2009, MIT-press. Notes and exercises |