units

ETC5460

Faculty of Business and Economics

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Monash University Handbook 2011 Postgraduate - Unit

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

LevelPostgraduate
FacultyFaculty of Business and Economics
OfferedClayton Second semester 2011 (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:

  1. critically evaluate alternative methods of modelling asset return volatility
  2. explain the role of volatility modelling in the measurement of risk and in the pricing of financial derivatives
  3. describe the role of continuous time stochastic processes in the pricing of financial derivatives
  4. evaluate econometric models for high frequency data
  5. 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

3 hours per week

Prerequisites

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