Financial Modeling WS 2007/08
|Instructors:||Prof. Dr. Gunter Löffler with|
|Prof. Dr. Frank Richter and|
|Dipl.-WiWi. Dipl.-Inf. Jürgen Bohrmann and|
|Dipl.-Mat. oec. Alina Maurer and|
|Dipl.-WiWi. Thomas Verchow and|
|Dipl.-WiWi. Björn Reitzenstein and|
|Lecture:||Monday, 14:15 - 15:45, He 20|
|Monday, 14:30 - 16:00, He 120|
Master of Finance students earn 3 credits for this course.
Downloads are password protected. The username is „student“ and the password will be given in the lecture and is available on the withboard in front of our rooms. You can use your ANA (Authentifizierter Netzzugangs-Account) from kiz and the webVPN to bypass the protection.
Because of the run on this course, it will be run parallel in two rooms with a time shift of 15 min. If possible bring your own laptops. University laptops are only available in room He 20.
- Room E020, with laptops of university, 14.15 pm
- Room E120, with your own laptops, 14.30 pm
Familiarity with basic concepts from financial economics (discounting, risk and return, option pricing). The course is structured such that you can acquire such a knowledge by parallel attendance of the lecture „Finanzierung“.
Know the basics of Excel. If you're an Excel novice watch the Video Excel for Beginners (avi, 71 MB) or the German version of it (Excel für Excel Anfänger (avi, 51 MB)) before classes start. Videos are available on our Webomaut. A flash version of the video (swf, 3.9 MB) is available too.
Dates & Downloads:
|22.10.2007||Verchow||Introduction to Excel and VBA (pdf, 10k) - see also Introduction to Excel's VBA on our webomaut, Solution (xls, 39k)|
|29.10.2007||Löffler||Fixed Income (pdf, 24k), Solution (xls, 77k)|
|05.11.2007||Verchow||Yield curves, spot rates, bond stripping (pdf, 26k), problem set with data (xls, 162k), just data (csv, 52k), Solution (xls, 360k)|
|12.11.2007||Maurer||Working with Multi-stage Dividend Discount Model (pdf, 21k), Solution (xls, 156k)|
|19.11.2007||Löffler||Technical trading (pdf, 25k), problem set with data (xls, 904k), just data (csv, 349k), Solution (xls, 6mb)|
|26.11.2007||Löffler||Implementing momentum strategies (pdf, 22k), problem set with data (xls, 127k), just data (csv, 47k), Solution (xls, 1.6mb)|
|03.12.2007||Bohrman||Portfolio analysis (pdf, 26k), problem set with data (xls, 68k), just data (csv, 8k), Solution (xls, 107k)|
|10.12.2007||Bohrmann||Fund valuation (pdf, 38k), problem set with data (xls, 93k), just data (csv, 48k), Solution (xls, 507k)|
|17.12.2007||Verchow||The class will take place in the Trading Room (He 18, Room U01) starting at 13.00 p.m. (c.t.) and then hourly. Last class will be at 17.00 p.m. Please stick to the time you registered!|
problem set (pdf, 14k)
|07.01.2008||Reitzenstein||Private equity simulation (pdf, 183k) (I), Statement (xls, 31k), Solution (pdf, 324k), Solution (xls, 30k), Model (xls, 55k)|
|21.01.2008||Reitzenstein||Private equity simulation (II), see session 7th Jan|
|28.01.2008||Löffler||Return distribution of portfolios with options (pdf, 15k), problem set (xls, 25k), Solution (xls, 158k)|
|04.02.2008||Maurer||Binomial Option Pricing(xls, 65k), Solution(xls, 94k)|
|11.02.2008||Maurer||The Black-Scholes Formula and Implied Volatility (pdf, 130k), Solution (xls, 95k)|
|-||-||Sample Questions (pdf, 44k) for the exam.|
A typical session will look like this:
- The instructor introduces the problem (10 minutes)
- Students solve the problem on the PC with Excel; instructor is available to answer questions (70 minutes)
- Some results may be presented in the meantime
- Discussion of the modelling approaches and the final results (10 minutes)
A restricted number of laptops is available in the classroom. You can bring your own laptop.
Language of instruction is most probably English; individual questions can be discussed in German.
- Bond pricing and interest rate analysis
- Risk and return
- Investment strategies
- Financial statement modeling
- Option pricing
A detailed course program will be available in the first week of the term. An example problem set is available to download.
Students are able to solve practical financial problems with Excel, using spreadsheet functions as well as VBA programming. Students will also have an increased familiarity with methods and concepts from finance.
The late-sit exam is on Tuesday, 15th April 2008, 10-12 am, HeHo Room 220.
Results late-sit: You find your results online. Enter your chosen pseudonym and your student id and press SUBMIT to get your result online. (Pseudonym is case sensitiv! No spaces!)