AFX4030 - Advanced modelling in finance

Offered

Clayton First semester 2009 (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, collateralised debt obligations, asset value models.

Objectives

The learning goals associated with 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

Within semester assessment: 50%
Examination (3 hours): 50%

Contact hours

One 2-hour lecture and one 1-hour tutorial per week

Co-requisites

Students must be enrolled in course 0181 or 0171 to undertake this unit