Computational Finance 2400-QFU1CF
1. Introduction to VBA in Excel:
Advanced Excel functions and procedures, data tables, access to Data Analysis and Solver, matrix algebra.
VBA editor in Excel, simple macros, using Excel functions and VBA functions in code, communications between macros and spreadsheet.
Writing VBA user-defined functions, manipulating arrays, pros and cons of developing VBA functions.
2. Equities models:
Portfolio optimization: risk-return representation of portfolios, generating the efficient frontier, combining risk-free and risky assets.
Asset pricing: the single-index model, estimating beta coefficient, the CAPM model.
3. Options on equities
Intro to options on equities: the Black-Scholes formula, hedge portfolios, risk-neutral valuation, simple one-step binomial tree, call-put parity, dividends.
4. Monte Carlo simulations:
Geometric Brownian Motion, simulation with antithetic variables.
5. Value at Risk.
Different methods of calculating VaR.
Distance-to-Default, GARCH(1,1) estimation, Vasicek model, volatility models.
Type of course
After finishing this course student should:
- know how to use selected advanced Excel functions;
- be able to write simple macros, and user-defined functions;
- be able to perform simple Monte Carlo simulations;
KW01, KW02, KU01, KU02
Final grade is based on VBA homeworks (~50%) and final exam.
John Walkenbach, Excel 2013 Power Programming with VBA, 1st Edition, Wiley, ISBN-13: 978-1118490396
Mary Jackson, Mike Staunton, Advanced modelling in finance using Excel and VBA, Wiley, ISBN-13: 978-0471499220
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: