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2014/2015  KAN-CCMVV1616U  Financial Models in Excel (full semester version)

English Title
Financial Models in Excel (full semester version)

Course information
Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Semester
Course period Autumn, Spring
Timetable Course schedule will be posted at calendar.cbs.dk
Max. participants 100
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Claus Parum - Department of Finance (FI)
Teacher: Peter Raahauge - pr.fi@cbs.dk
Administration: Sabrine Josephine Schmidt - sjs.fi@cbs.dk
Main academic disciplines
  • Finance
Last updated on 13-01-2015
Learning objectives
The student should be able implement correctly in Excel the right method for solving the questions asked at the exam.
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. Basic Excel-skills.
Examination
Financial Models in Excel (full semester version):
Exam ECTS 7,5
Examination form Written sit-in exam
Individual or group exam Individual
Assignment type Written assignment
Duration 4 hours
Grading scale 7-step scale
Examiner(s) One internal examiner
Exam period Winter Term and Summer Term
Aids allowed to bring to the exam Limited aids, see the list below and the exam plan/guidelines for further information:
  • Books and compendia brought by the examinee
  • Notes brought by the examinee
  • Allowed calculators
  • Allowed dictionaries
Make-up exam/re-exam
Same examination form as the ordinary exam
If the number of registered candidates for the make-up examination/re-take examination warrants that it may most appropriately be held as an oral examination, the programme office will inform the students that the make-up examination/re-take examination will be held as an oral examination instead.
Description of the exam procedure

PC exam on CBS computers without print.

Hand in on CD-ROM provided by CBS.
It is not allowed to bring your own PC and printer.
No access to the internet and Learn.
Access to personal S:/drive.
Before the exam starts information can also be uploaded from a USB-key to PC, then the USB-Key should be put away during exam.
Course content and structure

The aim of the course is to provide capabilities of practical implementation of financial theory using real world data.

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.

The 14 topics/exercises dealt with in the course are as follows:

  1. Introduction to Excel (Names, array functions, matrix/vector calculation, the Excel-solver, regression analysis etc.)
  2. Datastream, mean values and standard deviations of stock portfolios
  3. Portfolios at the efficient frontier
  4. The eff. frontier without short-sale and empirical test of CAPM
  5. Performance evaluation of investment funds.
  6. Black-Scholes and implied volatility
  7. Volatility predictions (Moving average, ARCH, GARCH)
  8. European, American, and Bermuda options in binomial grids
  9. European and Asian option prices based on Monte Carlo
  10. Portfolio choice under parameter uncertainty
  11. Bonds, duration, and immunization strategies
  12. Term structure estimation and advanced immunization
  13. Term structure estimation, cubic spline
  14. Interest rates in binomial grids and callable bond prices
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.
Student workload
On average, each of the 14 topics are assumed to require around 2 days of full time work (15 hours) 210 hours
Course overhead and exam preperation 30 hours
Further Information

Term papers are not allowed due to the special nature of the course

Changes in course schedule may occur
Class A: Monday 13.30-16.05, week 36-46
Class B: Wednesday 13.30-16.05, week 36-46
Expected literature

Financial Modelling
Simon Benninga

  • ISBN-10:0262027283
  • MIT Press
  • 4. edition

Notes and exercises
Last updated on 13-01-2015