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  3. Quantitative Analysis of Finance I

Quantitative Analysis of Finance I (ECON90033)

Graduate courseworkPoints: 12.5On Campus (Parkville)

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Overview

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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