Module Catalogues, Xi'an Jiaotong-Liverpool University   
 
Module Code: MTH222
Module Title: Financial Modelling with Excel VBA
Module Level: Level 2
Module Credits: 5.00
Academic Year: 2019/20
Semester: SEM2
Originating Department: Mathematical Sciences
Pre-requisites: N/A
   
Aims
This course gives an introduction to financial modeling with hands on experience in Excel

VBA programming. The module is designed to complement the theoretical knowledge

developed in the financial mathematics programme with practical applications. The module

not only contributes to the development of programming and computational skills of students

but also improves the understanding of the financial mathematics theory via hands on practice

with one of the most commonly used software.
Learning outcomes 
A Understand and implement advanced modeling techniques in Excel VBA


B Define and implement user defined Excel VBA functions


C Understand, analyze and apply portfolio optimization and CAPM model


D Understand, analyze and implement option pricing models in Excel VBA


E Understands, analyze and implement term structure models for pricing fixed income securities

Method of teaching and learning 
This module will be delivered by a combination of formal lectures and tutorials.


Furthermore, assignments and continuous work provides sufficient practice and timely

feedback.
Syllabus 
Part I. Advanced Modelling in Excel:


(i) Advanced Excel functions and procedures


(ii) Introduction to VBA programming


(iii) Writing VBA user defined functions


Part II. Equity models in Excel VBA


(i) Portfolio optimization


(ii) Applications of CAPM


Part III. Option Pricing


(i) Applying the Black-Scholes model


(ii) Binomial trees


(iii) Monte Carlo simulation


Part IV. Fixed Income Securities


(i) Term structure of interest rates


(ii) Bond options valuation


(iii) Duration and convexity


(iv) Vasicek and CIR term structure models


(v) Black Derman Toy (BDT) binomial tree for interest rates

Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26      26    98  150 

Assessment

Sequence Method % of Final Mark
1 Assignments (X5) 25.00
2 Class Test 15.00
3 Final Exam 60.00

Module Catalogue generated from SITS CUT-OFF: 12/16/2019 8:19:17 AM