AFX4030 - Advanced modelling in finance

Leader: Professor Francis In

Offered

Clayton First semester 2007 (Day)

Synopsis

Topics include consumption-based asset pricing models , two beta ICAPM, intertemporal asset pricing models, modelling for mutual and hedging funds, credit risk models, modelling correlated defaults, term structure of default probability, credit derivatives, credit default swaps, collateralized debt obligations, asset value models.

Objectives

The learning objectives of this unit are to:

• apply advanced knowledge and skills in the use of Excel and Visual Basic;
• develop advanced skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models;
• apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with advanced modelling in finance.

Assessment

Two assignments: 40%
Test: 10%
Examination (3 hours): 50%

Contact hours

One 2 hour lecture and one 1 hour tutorial per week

Prerequisites

Enrolment in an honours or masters program offered by the Faculty of Business and Economics

Prohibitions

AFC3540