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Quantitative Analysis of Finance II (ECON90010)
Graduate courseworkPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Semester 1
Prof Vance Martin Email: vance@unimelb.edu.au
Semester 2
Mr Tomasz Wozniak Email: tomasz.wozniak@unimelb.edu.au
Semester 2
Semester 1
Prof Vance Martin Email: vance@unimelb.edu.au
Semester 2
Mr Tomasz Wozniak Email: tomasz.wozniak@unimelb.edu.au
Overview
Availability | Semester 1 Semester 2 |
---|---|
Fees | Look up fees |
The subject will focus on estimating and testing nonlinear models in finance including volatility models, artificial neural networks, factor models of contagion and discrete models of financial behaviour. Special attention will be given to applications in option markets (implied volatility and smiles), bond markets (level effects) and credit markets (default risk). Estimation and testing methods are based on maximum likelihood and generalised method of moments. The computer software used throughout the course is E-Views.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Identify and apply recent advances in quantitative methods to solve a range of problems in finance;
- Describe how quantitative procedures can be applied in financial decision making;
- Demonstrate a sophisticated understanding of quantitative methods by reproducing existing results. This will involve using both mathematical and computer skills. The computer programs used are EViews, Matlab and Excel;
- Develop alternative frameworks for exploring new ideas in building alternative financial models;
- Evaluate the strengths and importance of research in applied finance and the implications of research for solving financial problems.
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence;
- Synthesis of ideas, views and evidence;
- Strategic thinking;
- Critical thinking;
- Application of theory to economic policy and business decision making;
- Summary and interpretation of information;
- Statistical reasoning;
- Problem solving skills;
- Written communication; and
- Oral communication.
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
ECON90033 Quantitative Analysis of Finance I or ECOM90011 Financial Econometrics or equivalent
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECON90033 | Quantitative Analysis of Finance I |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
ECOM90011 | Financial Econometrics | Semester 2 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
None
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Additional details
- 2000 word group assignment, due in second half of semester (20%);
- One 90 minute mid-semester test in Weeks 5 (10%); and
- A 2-hour final examination, during the examination period (70%).
Note: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
- Semester 1
Principal coordinator Vance Martin Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures and tutorials Total time commitment 170 hours Teaching period 27 February 2017 to 28 May 2017 Last self-enrol date 10 March 2017 Census date 31 March 2017 Last date to withdraw without fail 5 May 2017 Assessment period ends 23 June 2017 Semester 1 contact information
Semester 1
Prof Vance Martin Email: vance@unimelb.edu.au
Semester 2
Mr Tomasz Wozniak Email: tomasz.wozniak@unimelb.edu.au
- Semester 2
Principal coordinator Tomasz Wozniak Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures and tutorials Total time commitment 170 hours Teaching period 24 July 2017 to 22 October 2017 Last self-enrol date 4 August 2017 Census date 31 August 2017 Last date to withdraw without fail 22 September 2017 Assessment period ends 17 November 2017 Semester 2 contact information
Semester 1
Prof Vance Martin Email: vance@unimelb.edu.au
Semester 2
Mr Tomasz Wozniak Email: tomasz.wozniak@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Subject notes
This subject is only available to students enrolled in the second year of the Master of Finance.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Finance - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 3 November 2022