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Financial Spreadsheeting University of Melbourne Simon Benninga

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Financial spreadsheeting
University of Melbourne
Simon Benninga (
benninga@gmail.com )

General

The financial spreadsheeting course for 2009 will cover two topics:  portfolio optimization (including the Black-Litterman model) and advanced computational techniques for options (including Monte Carlo methods).  

Course grade:

  • Homeworks:  50%.  May be done in groups of up to 3 students.  There will be a homework for each class.
  • Final exam:  This will be administered by the course teaching assistant Rasmus Christensen , in a manner that remains to be determined.

Textbook

The textbook for this course is Financial Modeling, 3rd edition by Simon Benninga (MIT Press, 2008).  You may purchase this book at Amazon or at the local bookstore.  In the class schedule below this book is referred to as FM3.

Course website

I have a website at http://www.tau.ac.il/~benninga/melbourne.html on which I will post possible additional readings and materials.  The website is password protected.  The website contains copyrighted material for use of students in this class; you may not to give access to the site to others.


Detailed plan of the course
(changes are possible)

28 July

Review of portfolio optimization with 2 assets

Excel background

  • Data tables
  • Matrices
  • Array functions
  • VBA for beginners (especially GetFormula)

Homework:  

  • Basic portfolio computations
  • Homework data

FM3:  Chapters 8, 30, 34, 36

Powerpoints:

Chapter 8

Chapter 30

Chapter 34

30 July

Optimizing portfolios:  The classical theory

Homework:  Portfolio optimization

FM3:  Chapters 9, 10

Powerpoints:

Chapter 9

Chapter 10

4 Aug

Black-Litterman model

Homework:  Black-Litterman exercise

FM3:  Chapter 13

Powerpoint

6 Aug

Review of options, basic arbitrage propositions, binomial model, Black-Scholes

Homework:  

FM3:  Chapters 16, 17, 19

Powerpoints:

Chapter 16

Chapter 17

Chapter 19

11 Aug

Introduction to Monte Carlo methods

Homework:  Literature survey

FM3:  Chapter 22

Powerpoints:

Chapter 22

13 Aug

Monte Carlo applied to exotic options

Homework:  Exotic option implementation with Monte Carlo

FM3:  Chapter 23

...

...

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