Leader: Professor Francis In
Clayton First semester 2006 (Day)
Synopsis: Topics include modelling financial statements, capital budgeting, financial planning, fixed income securities, term structure models (Vasicek' model, Cox-Ingersoll-Ross and Heath-Jarrow-Morton models), portfolio models (ICAPM, CCAPM, Zero-Beta, CAPM and APT), technical analysis of financial markets, option pricing models (Black-Scholes and binomial tree) and value-at-risk.
Objectives: On completion of this unit students will have an understanding of advanced modelling in finance and a richer appreciation for contemporary models employed by researchers in finance and their application in financial markets. At the end of this unit students will be able to: (a) display a sound knowledge of the current literature on financial modelling (b) build models to assist with corporate budgeting and planning (c) model medium and long-term corporate debt requirements (d) select and apply financial models to assist in the valuation of derivative assets (e) use a range of analytical and practical skills that will enable them to apply theoretical models in solving practical problems.
Assessment: Two computer based finance projects 40% + 3 hours examination 60%.
Contact Hours: One 2 hour lecture and one 1 hour tutorial per week