Advanced Financial Modeling

Catalog description

Develop financial models using spreadsheets, VBA programming, and trading room applications such as Bloomberg and @Risk. FIN 415 Advanced Financial Modeling (3) Students will develop financial models using spreadsheets, VBA programs, and trading room applications such as Bloomberg and @Risk. Students learn Excel's financial functions, shortcuts, web queries, data analysis capabilities, and optimization techniques. Students use @Risk software to define variable distributions and correlations to run Monte Carlo simulations to evaluate stochastic processes. Students access market data through the internet and proprietary providers such as Bloomberg. Students build models to construct optimal portfolios of securities and asset classes. Students estimate asset returns using CAPM, multi-factor models, and fundamental analysis. Students estimate asset volatility using exponential weighting, GARCH, and Black-Scholes implied volatility. Students model and optimize bond portfolios using portfolio duration, convexity, leverage, and income. Students value options using Monte Carlo, Black-Scholes, and binomial option pricing models. Students learn to apply Brownian motion models to asset returns and prices. Students construct and test delta-hedging strategies for option portfolios. Students use matrix algebra and Excel matrix functions to compute portfolio return and volatility. Students write VBA functions and macros using VBA code, objects, array functions, loops, matrix operations, and data types. Achievement is measured by assignments, computer-based exams, and a final assignment.