# 2015/2016  KAN-CCMVV1138U  Financial Models in Excel (Quarter version)

 English Title Financial Models in Excel (Quarter version)

# Course information

Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Quarter
Start time of the course First Quarter
Timetable Course schedule will be posted at calendar.cbs.dk
Study board
Course coordinator
• Claus Parum - Department of Finance (FI)
Teacher: Peter Raahauge - pr.fi@cbs.dk
Kontaktinformation: https:/​/​e-campus.dk/​studium/​kontakt eller Contact information: https:/​/​e-campus.dk/​studium/​kontakt
• Finance
Last updated on 26-03-2015
Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors: The student should be able to 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. Introductory course in statistics
4. Basic knowledge about optimization and matrix algebra.

Students at cand.merc.mat, cand.oecon, and cand.merc.fin cannot follow this course due to overlap. Instead, they are referred to the course Financial Models in Excel and VBA.

Due to overlap, students cannot follow both this course and Financial Models in Excel and VBA.
Examination
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.
 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.

Expected literature

Simon Benninga, Financial Modeling

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

Notes and exercises

Last updated on 26-03-2015