Part I
Course Duration: 1 semester (39 hours)
Credit Units: 3
Level: P5
Medium of Instruction: English
Prerequisites:
MA5182 Mathematical Methods in Finance
Precursors:
EF5050 Derivatives and Risk Management
EF5210 Option Pricing
Equivalent Courses: Nil
Exclusive Courses: Nil
Part II
Course Aims
This course aims to enable students to have skills in spreadsheet programming, to equip students with the capability of performing numerical computations in financial engineering, to provide students with the knowledge of different financial models and algorithms.
Course Intended Learning Outcomes (CILOs)
Upon successful completion of this course, students should be able to:
No. | CILOs | Weighting
(if applicable) |
1. | Grasp the skills in spreadsheet programming using EXCEL and VBA | |
2. | Understand the basic issues and framework of numerical computation in financial engineering | |
3. | Master the numerical techniques in financial engineering | |
4. | Apply the numerical techniques in option pricings and other financial models | |
Teaching and Learning Activities (TLAs)
(Indicative of likely activities and tasks designed to facilitate students’ achievement of the CILOs. Final details will be provided to students in their first week of attendance in this course)
CILO No. | TLAs | Hours/week
(if applicable) |
CILO 1 | Lectures and computer laboratories | 3 |
CILO 2 | Lectures and computer laboratories | 3 |
CILO 3 | Lectures and computer laboratories | 3 |
CILO 4 | Lectures and computer laboratories | 3 |
Assessment Tasks/Activities
(Indicative of likely activities and tasks designed to assess how well the students achieve the CILOs. Final details will be provided to students in their first week of attendance in this course)
CILO No. | Type of Assessment Tasks/Activities | Weighting
(if applicable) | Remarks |
CILO 1 | Assignments and laboratory work | | |
CILO 2 | Assignments and laboratory work | | |
CILO 3 | Assignments and laboratory work | | |
CILO 4 | Assignments and laboratory work | | |
Assessment Methods
| Coursework | Final Exam | Total |
CILO 1-4 | 100% | Nil | 100% |
Grading of Student Achievement:
Grading mode: Standard (A+, A, A-…F)
Part III
Keyword Syllabus
Numerical and Statistical Computations in EXCEL/VBA.
Implementation of the GARCH(1,1) Model in EXCEL/VBA.
Implementation of Yield Curve Construction in EXCEL/VBA.
Implementation of Portfolio Mean-Variance Optimization in EXCEL/VBA.
Implementation of Binomial Tree Pricing in EXCEL/VBA.
Implementation of the Black-Derman-Toy Model in EXCEL/VBA.
Implementation of Monte-Carlo Pricings for American Options and Interest Rate Derivatives in EXCEL/VBA.