Undergraduate, Postgraduate - UnitAFX4030 - Advanced modelling in finance

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

Synopsis

Topics include consumption-based asset pricing models , two beta ICAPM, intertemporal asset pricing models, modelling for mutual and hedging funds, credit risk models, modelling correlated defaults, term structure of default probability, credit derivatives, credit default swaps, collateralised debt obligations, asset value models.

Outcomes

The learning goals associated with this unit are to:

1. apply advanced knowledge and skills in the use of Excel and Visual Basic
2. develop advanced skills in the design and implementation of efficient and robust financial models such as option pricing, portfolio and interest rate models
3. apply critical thinking, problem solving and presentation skills to individual and/or group activities dealing with advanced modelling in finance and demonstrate in an individual summative assessment tasks the acquisition of a comprehensive understanding of the topics covered by AFX4030.

Assessment

Within semester assessment: 50%
Examination (3 hours): 50%

Chief examiner(s)

Francis In

Contact hours

3 hours per week

Prerequisites

Students must be enrolled in course 0181 or 0171 or 4416 to undertake this unit.