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Advanced modelling in Finance (6 points)


Leader: Dr Francis In

Clayton First semester 2003 (Day)
Clayton First semester 2004 (Day)

Synopsis: Topics include modelling financial statements, capital budgeting, financial planning, fixed income securities, term structure models (Vasicek' model, Cox-Ingersoll-Ross and Heath-Jarrow-Morton models), portfolio models (ICAPM, CCAPM, Zero-Beta, CAPM and APT), technical analysis of financial markets, option pricing models (Black-Scholes and binomial tree) and value-at-risk.

Assessment: Two computer based finance projects 40% + 3 hours examination 60%.

Contact Hours: One 2 hour lecture and one 1 hour tutorial per week

Prerequisites: AFC2160 and ETC1010 and one of AFC2140, AFC2240 or AFC2340. Fourth year students should take this unit as AFC3544.

Prohibitions: AFC3544

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