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Course 2017-2018 a.y.

30177 - FINANCIAL MODELLING


CLEAM - CLEF - CLEACC - CLES-BESS - WBB - BIEF - BIEM - BIG
Department of Finance

Course taught in English

Go to class group/s: 31

CLEAM (6 credits - II sem. - OP  |  SECS-P/06) - CLEF (6 credits - II sem. - OP  |  SECS-P/06) - CLEACC (6 credits - II sem. - OP  |  SECS-P/06) - CLES-BESS (6 credits - II sem. - OP  |  SECS-P/06) - WBB (6 credits - II sem. - OP  |  SECS-P/06) - BIEF (6 credits - II sem. - OP  |  SECS-P/06) - BIEM (6 credits - II sem. - OP  |  SECS-P/06) - BIG (6 credits - II sem. - OP  |  SECS-P/06)
Course Director:
PAOLO COLLA

Classes: 31 (II sem.)
Instructors:
Class 31: PAOLO COLLA


Course Objectives

The course provides the technical skills for implementing financial models with Excel. Students will be equipped with the basic operational tools to understand financial markets and will be able to employ the modelling abilities developed via sample applications to build their own models. Coursework will mainly focus 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.


Course Content Summary
  • 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.

Detailed Description of Assessment Methods
Final written exam (1 hour and 30 minutes excercise-based test), no partial exam.
Same assessment method and exam syllabus for attending and non-attending students.

Textbooks
  • S. BENNINGA, Financial Modeling, MIT Press, 2014, 4th Edition.

Prerequisites
  • An intermediate level of Excel knowledge is assumed. Students with a basic knowledge are expected to fill their gaps before starting the course. Several Excel user manuals can come handy, for instance:
    • C.D. FRYE, Microsoft Excel 2013 - Step by step.
  • Prior exposure to finance is beneficial, although not essential.
Last change 10/05/2017 14:54