Handbook home
Quantitative Analysis of Finance II (ECON90010)
Graduate courseworkPoints: 12.5Online
Please refer to the return to campus page for more information on these delivery modes and students who can enrol in each mode based on their location.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Overview
Availability | Semester 1 - Online |
---|---|
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;
- 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: 12 November 2022
Eligibility and requirements
Prerequisites
One of
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECON90033 | Quantitative Analysis of Finance I |
Semester 2 (Dual-Delivery - Parkville)
Semester 1 (Online)
|
12.5 |
ECOM90011 | Financial Econometrics | Semester 2 (Dual-Delivery - Parkville) |
12.5 |
OR
Equivalent
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: 12 November 2022
Assessment
Description | Timing | Percentage |
---|---|---|
Assignment
| Week 5 | 10% |
Assignment
| Week 7 | 10% |
Assignment
| Week 9 | 10% |
End-of-semester examination.
| During the examination period | 70% |
Last updated: 12 November 2022
Dates & times
- Semester 1 - Online
Principal coordinator David Moreton Mode of delivery Online Contact hours Three hours per week of lectures and tutorials. Total time commitment 170 hours Teaching period 1 March 2021 to 30 May 2021 Last self-enrol date 12 March 2021 Census date 31 March 2021 Last date to withdraw without fail 7 May 2021 Assessment period ends 25 June 2021 Semester 1 contact information
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 12 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.
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 12 November 2022