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Advanced modelling in finance ( 6 points, SCA Band 2, 0.125 EFTSL)


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

Prerequisites: One of AFC2140, AFC2240, AFC2340 or permission. Fourth year students should take this unit as AFC4354.

Prohibitions: AFC3544