Durée
30h Th
Nombre de crédits
| Master en sciences économiques, orientation générale, à finalité | 5 crédits | |||
| Master en ingénieur de gestion, à finalité | 5 crédits |
Enseignant
Langue(s) de l'unité d'enseignement
Langue anglaise
Organisation et évaluation
Enseignement au premier quadrimestre, examen en janvier
Unités d'enseignement prérequises et corequises
Les unités prérequises ou corequises sont présentées au sein de chaque programme
Contenus de l'unité d'enseignement
Organization and Contents
A. MATLAB and Excel for financial modeling
B. Time Value of Money
C. Bond models
Bond pricing
Modeling the term structure
Duration
D. Equity models
Simulating stock prices
E. Portfolio models
Efficient portfolios
Estimating betas (+Kalman filter)
Black-Litterman
Value-at-Risk
F. Option-pricing models
Binomial option pricing
Black-Scholes model
Option Greeks
Portfolio insurance
Acquis d'apprentissage (objectifs d'apprentissage) de l'unité d'enseignement
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
Savoirs et compétences prérequis
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".
Activités d'apprentissage prévues et méthodes d'enseignement
Ex-cathedra lectures (theory), group presentations, case studies, exercises and financial simulations.
Mode d'enseignement (présentiel ; enseignement à distance)
Face-to-face.
Lectures recommandées ou obligatoires et notes de cours
Suggested notes: - Financial Modeling using Excel and VBA, Chandan Sengupta, Wiley Finance, 2004. - Financial Modeling - 3rd Edition, Simon Benninga, MIT Press, 2008.
Modalités d'évaluation et critères
Case studies:
- collective works 1/3
- participation in class 2/3
Stage(s)
Remarques organisationnelles
Contacts
Affiliate Professor: Laurent.Bodson@ulg.ac.be