BFX4030 - Advanced modelling in finance - 2017

6 points, SCA Band 3, 0.125 EFTSL

Undergraduate, Postgraduate - Unit

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.


Business and Economics

Organisational Unit

Department of Banking and Finance

Unit guides



  • First semester 2017 (Day)


This unit has two key components. The first half covers aspects of theoretical and empirical financial modelling, including modelling the stock price behaviour, consumption-based asset pricing models, multifactor models, two beta, ICAPM, intertemporal asset pricing models, mean-variance frontier and beta representations, bayesian alphas and mutual fund persistence, a bayesian and bootstrap analysis, performance measures of the hedge fund returns. The second half covers technical skills in building Excel models to solve problems in Finance. The aim is to bridge the gap between financial theory and practice. To achieve this, students will learn modelling skills in Excel and be introduced to VBA programming concepts and techniques.


The learning goals associated with this unit are to:

  1. apply advanced knowledge and skills in the use of Excel and Visual Basic
  2. develop advanced skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models
  3. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with advanced modelling in finance and demonstrate in an individual summative assessment tasks the acquisition of a comprehensive understanding of the topics covered by BFX4030.


Within semester assessment: 50% + Examination: 50%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)


Students must be enrolled in course 0181, 0171 or 4416 to undertake this unit.