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.
6. Other:
Distance-to-Default, GARCH(1,1) estimation, Vasicek model, volatility models.