Quantitative Analysis of Finance I (ECON90033)
Graduate courseworkPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 1 Semester 2 |
|---|---|
| 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: 8 November 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: 8 November 2024
Assessment
| Description | Timing | Percentage |
|---|---|---|
Lecture and tutorial attendance | From Week 1 to Week 12 | 10% |
Written Assignment
| Week 6 | 15% |
Written Assignment
| Week 10 | 25% |
End-of-semester examination
| During the examination period | 50% |
Last updated: 8 November 2024
Dates & times
- Semester 1
Principal coordinator Tomasz Wozniak Mode of delivery On Campus (Parkville) Contact hours 1 x 2 hour recorded lecture, 1 hour live online tutorial. Total time commitment 170 hours Teaching period 26 February 2024 to 26 May 2024 Last self-enrol date 8 March 2024 Census date 3 April 2024 Last date to withdraw without fail 3 May 2024 Assessment period ends 21 June 2024 Semester 1 contact information
- Semester 2
Principal coordinator Laszlo Konya Mode of delivery On Campus (Parkville) Contact hours Three hours per week of lectures and tutorials Total time commitment 170 hours Teaching period 22 July 2024 to 20 October 2024 Last self-enrol date 2 August 2024 Census date 2 September 2024 Last date to withdraw without fail 20 September 2024 Assessment period ends 15 November 2024 Semester 2 contact information
Laszlo Konya: l.konya@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 8 November 2024
Further information
- Texts
- Subject notes
- 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.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
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
Last updated: 8 November 2024