units

ETC5460

Faculty of Business and Economics

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Monash University Handbook 2010 Postgraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

LevelPostgraduate
FacultyFaculty of Business and Economics
OfferedClayton Second semester 2010 (Day)
Coordinator(s)Associate Professor Gael Martin and Dr Catherine Forbes

Synopsis

This unit introduces students to a range of advanced, current techniques used in analysing financial data. Topics covered include the analysis of the time series and distributional features of financial data; the use of stochastic volatility and realised volatility models to capture time-varying volatility, including long memory in volatility; the use of econometric methods to estimate Value at Risk; the modelling of transactions data using trade duration models and transaction-based volatility models; continuous time processes and the application of econometric techniques to option pricing; and the use of generalised method of moments in financial models.

Objectives

The learning goals associated with this unit are to:

  • critically evaluate alternative methods of modelling asset return volatility
  • explain the role of volatility modelling in the measurement of risk and in the pricing of financial derivatives
  • describe the role of continuous time stochastic processes in the pricing of financial derivatives
  • evaluate econometric models for high frequency data
  • evaluate the use of generalised method of moments in financial models

Assessment

Within semester assessment: 40%
Examination (3 hours): 60%

Chief examiner(s)

Brett Inder

Contact hours

Two 1.5-hour lectures per week for 11 weeks

Prerequisites

Students must have passed one of the following: ETC3460, ETC4346 and at least one of: ETC3400, ETC3410, ETC3450 before undertaking this unit.