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
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: 6/5/2020 9:21:08 PM