# 2020/2021  KAN-CCMVV1138U  Financial Models in Excel

 English Title Financial Models in Excel

# Course information

Language English
Course ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Semester
Start time of the course Autumn
Timetable Course schedule will be posted at calendar.cbs.dk
Max. participants 100
Study board
Course coordinator
• Peter Raahauge - Department of Finance (FI)
Further information: https:/​/​studentcbs.sharepoint.com/​CEMS/​Pages/​Valgfag-paa-CBS_DK.aspx
• Finance
Teaching methods
• Online teaching
Last updated on 20-02-2020

Learning objectives
Use Excel and the methods used in the course-exercises to solve problems similar or slightly different from the problems solved in exercises of the course.
Course prerequisites
The course is oriented towards a second year master student (FIR or similar) including:

1. Master course in portfolio theory
2. Master course in bond and option analysis

Students without this background should not expect a satisfying result from the course.

Due to overlap, students cannot follow both this course and Financial Models in Excel and VBA.
Examination
Course content, structure and pedagogical approach

The aim of the course is to provide capabilities of practical implementation of financial theory using Excel.

It is important to note that the teaching format is fundamentally different from the traditional approach at CBS, and requires more self-management from the students.

The course is taught using a "flipped classroom"-approach where lectures are provided online as screencasts together with scheduled physical lectures. The former will assist the students in understanding theory and methods necessary to solve exercises.  The latter will be informal and driven by problems and questions raised by the students on an individual basis.

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 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. Monte Carlo, return properties, and portfolios.
4. Black-Litterman
5. Empirical tests of the CAPM
6. Factor Models
7. European, American, and Bermuda options in binomial grids.
8. Black-Scholes and implied volatility
9. Volatility predictions (Moving average, ARCH, GARCH)
10. European and Asian option prices based on Monte Carlo
11. Portfolio choice under parameter uncertainty
12. Bonds, duration, and immunization strategies
13. Term structure estimation
14. Interest rates modelling
Description of the 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 informal and driven by problems and questions raised by the students on an individual basis.
Feedback during the teaching period
For the main part, the physical lectures will be used for interaction with the students, where individual questions and problems are discussed and solved.
 Course Introduction and explanation of the "flipped classroom" teaching approach 2 hours 14x12 hours work outside classroom (online) with 14 worked examples 168 hours Scheduled "flipped classroom" classes 31 hours Exam preparation 5 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 20-02-2020