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Quantitative Analysis of Finance I (ECON90033)
Graduate courseworkPoints: 12.5Dual-Delivery (Parkville)
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About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Overview
Availability | Semester 1 - Dual-Delivery Semester 2 - Dual-Delivery |
---|---|
Fees | Look up fees |
This course is concerned with the application of quantitative tools to model, estimate and forecast financial variables. Topics considered include: the analysis of the properties of financial data (such as non-normality and non-stationarity); the application of estimation methods (such as unit roots and cointegration) to test the rational valuation model of share prices; the application of the GARCH class of models to estimate volatility and to test the capital asset pricing model.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Apply quantitative tools to model, estimate and forecast financial variables;
- Analyse the statistical properties of financial prices and returns;
- Evaluate models of risk based on the Capital Asset Pricing Model and variants assuming non-normal return processes;
- Analyse recent advances in unit root and cointegration methods in modeling the term structure of interest rates and asset price bubbles;
- Describe the strengths and limitations of alternative quantitative methods by reproducing existing results using computer skills and mathematical modeling techniques, in conjunction with a range of financial data sets;
- Perform sensitivity analyses on proposed models, which should include the application of alternative distributional specifications to model risk.
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
- Accessing economic and other information
- Summary and interpretation of information
- Application of windows software
- Using computer programs
- Statistical reasoning
- Problem solving skills
- Collaborative learning and teamwork
- Negotiation and bargaining
- Written communication
- Oral communication
Last updated: 31 January 2024
Eligibility and requirements
Prerequisites
Admission into one of the following:
- MC-FINANCE Master of Finance
- MC-FINENH Master of Finance (Enhanced)
- MC-AEMTRCS Master of Applied Econometrics
- MC-AECOENH Master of Applied Econometrics (Enhanced)
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: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Written Assignment
| Week 6 | 15% |
Written Assignment
| Week 10 | 25% |
End-of-semester examination
| During the examination period | 60% |
Last updated: 31 January 2024
Dates & times
- Semester 1
Principal coordinator Tomasz Wozniak Mode of delivery Dual-Delivery (Parkville) Contact hours 1 x 2 hour recorded lecture, 1 hour live online tutorial. Total time commitment 170 hours Teaching period 28 February 2022 to 29 May 2022 Last self-enrol date 11 March 2022 Census date 31 March 2022 Last date to withdraw without fail 6 May 2022 Assessment period ends 24 June 2022 - Semester 2
Principal coordinator Vance Martin Mode of delivery Dual-Delivery (Parkville) Contact hours Three hours per week of lectures and tutorials Total time commitment 170 hours Teaching period 25 July 2022 to 23 October 2022 Last self-enrol date 5 August 2022 Census date 31 August 2022 Last date to withdraw without fail 23 September 2022 Assessment period ends 18 November 2022
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Subject notes
This subject is only available to students in the Postgraduate Diploma in Finance or the first 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: 31 January 2024