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| FINA0063-1 | Financial Modeling and IT
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| Duration : | 30h Th |
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| Number of credits : |
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| Lecturer : | Laurent Bodson |
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Language(s) of instruction :
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| English language |
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Course contents :
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| Organization and Contents
A. MATLAB, Excel... for financial modeling
B. Financial statement forecasting
1. Review of theory and concepts
2. Modeling examples
C. Time Value of Money
D. Bond models
3. Modeling the term structure
4. Duration
5. Bond pricing
E. Equity models
6. Simulating stock prices
F. Portfolio models
7. Efficient portfolios
8. Estimating betas (+Kalman filter)
9. Black-Litterman
10. Value-at-Risk
G. Option-pricing models
11. Binomial option pricing
12. Black-Scholes model
13. Option Greeks
14. Portfolio insurance |
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Learning outcomes of the course :
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| This course introduces the foundations for financial models and their applications using IT solutions. It emphasizes three aspects of each model: its set of assumptions, its specification and its applications. Its primary goal is to demonstrate how various financial models can be practically incorporated into companies' strategic decision making and risk management. |
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Prerequisites and co-requisites/ Recommended optional programme components :
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| This course requires basic prerequisites in corporate finance, portfolio management and derivative instruments. Familiarity with the cash flows discounting approach and basic statistical techniques (e.g. descriptive statistics, hypothesis testing and linear regression) is assumed but these concepts will be "refreshed". |
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Recommended or required readings :
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| Suggested notes:
- Financial Modeling using Excel and VBA, Chandan Sengupta, Wiley Finance, 2004.
- Financial Modeling - 3rd Edition, Simon Benninga, MIT Press, 2008. |
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Assessment methods and criteria :
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| Case study |
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Contacts :
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| Professor: Laurent.Bodson@ulg.ac.be |
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