FIN10 Introductory Applied Finance
Autumn 2018Spring 2019
- Introduction to financial modelling in Excel
- Financial statement modelling
- Portfolio analysis
- Portfolio style analysis and performance evaluation
- Risk measurement
- Bond portfolio management
- Modelling the term structure
- Option pricing
Introductory Applied Finance is a semi-intensive course that equips students with the knowledge and tools to implement financial models using Excel. The course covers a range of topics in finance, including both standard material and more advanced topics, with the emphasis on practical application. Lectures on each topic are followed by in-depth practical classes, in which students work through real world problems using Excel. The course also introduces students to the use of VBA in financial modelling.
On successful completion of this module, students should be able to:
Module Specific Skills:
1. understand the principles of financial modelling and the characteristics of financial data
2. download financial data from the internet for a range of securities, including stocks, bonds, derivatives and currencies
3. undertake a range of financial and statistical calculations in Excel
4. use matrix functions in Excel and estimate the variance-covariance matrix of returns
5. use Excel's solver function and derive the optimal passively managed portfolio of securities, with and without investment constraints
6. use Excel's regression analysis tool, linear estimation function and regression functions, and undertake a style analysis of a portfolio
7. conduct an event study in Excel
8. understand the principles of VBA and write a simple VBA function to find the fair price of an option
Discipline Specific Skills:
9. understand the relationship between risk and return
10. understand the principles of passive portfolio management
11. understand the principles of option pricing
12. use the event study methodology to test hypotheses about market efficiency
13. understand the principles of duration, convexity and immunisation
Personal and Key Skills:
14. develop their writing skills
15. work in groups
16. download and manipulate complex data
17. solve applied problems using Excel and VBA
18. plan and undertake independent research projects
Lectures and group-based computer classes
The course is taught semi-intensively.
Students are expected to have completed one or more courses in finance theory at the undergraduate level.
Credit reduction due to overlap
Overlap with VOA024
Requirements for course approval
For course approval, each student is required to attend lectures and tutorials, and to submit a short report (of no more than one side of single spaced A4) for each of the practical sessions. This report should summarise the motivation, method used and results obtained, and offer a critical assessment of the limitations of the practical exercise.
Written group-based project. The exam in this course must be answered in English.
Grading scale A - F
The course will make extensive use of Excel and will introduce students to VBA. Students should have at least a basic understanding of Excel, but do not need to be especially familiar with financial functions in Excel.
Benninga, S., 2008, Financial Modeling third edition, MIT Press, 2008.
- ECTS Credits
- Teaching language
Evarist Stoja, Department of Finance