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| FINA0063-1 | Financial Modeling and IT
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| Durée : | 30h Th |
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| Nombre de crédits : |
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| Nom du professeur : | Laurent Bodson |
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Langue(s) du cours :
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| Langue anglaise |
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Organisation et évaluation :
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| Enseignement au deuxième quadrimestre |
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Contenus du cours :
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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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Acquis d'apprentissage (objectifs d'apprentissage) du cours :
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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.
Intended Learning Outcomes addressed by the courses :
- Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
- Gaining the knowledge and understanding of one of the following fields: supply chain management, financial engineering, performance management systems or intrapreneuriat; being able to mobilize them in order to solve concrete management problems or cases
- Capacity to research autonomously and methodically the information needed to solve a complex, transversal management problem, to perform a rigorous analysis of it and to suggest pertinent solutions
- Understanding and being capable of using modelization methods when seeking a solution for a concrete management problem
- Providing concrete solutions to a management problem, integrating a dimension of technology, innovation or production
- Developing a critical sense (arguing)
- Developing a transversal, global vision
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Prérequis et corequis / Modules de cours optionnels recommandés :
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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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Activités d'apprentissage prévues et méthodes d'enseignement :
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| Cours ex-cathedra (théorie), présentations de groupes, études de cas, séances d'exercices et simulations financières. |
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Mode d'enseignement (présentiel ; enseignement à distance) :
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| Présentiel. |
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Lectures recommandées ou obligatoires et notes de cours :
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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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Modalités d'évaluation et critères :
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| Etudes de cas:
- participation en classe 2/3
Pondération relative de l'évaluation individuelle : 66%. |
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Stage(s) :
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Remarques organisationnelles :
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Contacts :
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| Professeur Affilié: Laurent.Bodson@ulg.ac.be |
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