Computational Finance

obowiązkowe

The course focuses on practical aspects of using MS Excel and VBA in computational finance. Participants will learn how to write simple macros and user-defined functions that improve efficiency of calculations.

1. Introduction to VBA in Excel:

Advanced Excel functions and procedures, data tables, access to Data Analysis and Solver, matrix algebra.

VBA editor in Excel, simple macros, using Excel functions and VBA functions in code, communications between macros and spreadsheet.

Writing VBA user-defined functions, manipulating arrays, pros and cons of developing VBA functions.

2. Equities models:

Portfolio optimization: risk-return representation of portfolios, generating the efficient frontier, combining risk-free and risky assets.

Asset pricing: the single-index model, estimating beta coefficient, the CAPM model.

3. Options on equities

Intro to options on equities: the Black-Scholes formula, hedge portfolios, risk-neutral valuation, simple one-step binomial tree, call-put parity, dividends.

4. Monte Carlo simulations:

Geometric Brownian Motion, simulation with antithetic variables.

5. Value at Risk.

Different methods of calculating VaR.

6. Other:

Distance-to-Default, GARCH(1,1) estimation, Vasicek model, volatility models.

John Walkenbach, Excel 2013 Power Programming with VBA, 1st Edition, Wiley, ISBN-13: 978-1118490396

Mary Jackson, Mike Staunton, Advanced modelling in finance using Excel and VBA, Wiley, ISBN-13: 978-0471499220

After finishing this course student should:

- know how to use selected advanced Excel functions;

- be able to write simple macros, and user-defined functions;

- be able to perform simple Monte Carlo simulations;

KW01, KW02, KU01, KU02

Final grade is based on VBA homeworks (~50%) and final exam.