This course aims at discussing some advanced financial models, with the aid of Excel/VBA. Topics include: capital budgeting, immunization techniques, portfolio allocation, option pricing.
G. Scandolo, "Matematica Finanziaria", Amon Editore, 2013
Additional material on topics not covered in the textbook.
Learning Objectives
At the end of the course, students will be able to tackle financial problems, solving them with Excel, and presenting the results with clarity. This course will improve students' skills regarding problem-solving, software competences and communication.
Prerequisites
Basic Financial Mathematics and Statistics.
Teaching Methods
On-line lectures using Webex.
Type of Assessment
Oral exam with theoretical and practical (Excel) questions.
Course program
- Intro to Excel and VBA
- Capital budgeting, amortization plans, immunization
- Portfolio allocation and Value-at-Risk
- Option pricing