- Fall On Campus
- Spring On Campus
derivative pricing directly within excel.
After taking this course, students will be able to:
- Implement financial programs and models within the Excel/VBA environment.
- Create customized functions and procedures to facilitate computation.
- Write well-structured programs and understand VBA data structures and objects.
- Chapra C. Steven, Introduction to VBA for Excel, 2nd edition, Prentice Hall, 2010. (required).
- Simon Benninga, Financial Modeling (MIT Press), fourth edition. (recommended)
- Chandan Sengupta, Financial Modeling Using Excel and VBA, Wiley, 2nd Edition .
- Jackson Mary and Mike Staunton, Advanced modelling in finance using Excel and VBA, Wiley June 2001 .
- Lai Donny C. F., Humphrey K. K. Tung, Michael C. S. Wong and Stephen Ng, Professional Financial Computing using Excel and VBA, Wiley, June 2010 .
- Rouah Fabrice D. and Gregory Vainberg Option Pricing Models and Volatility using Excel-VBA, Wiley, April 2007 .
Assignments – 60% Final Projects – 40%
Getting Started with Excel
Review of Excel Built-In Functions
Chapter 33-35 (Textbook 2)Chapter 4 (Textbook 3)
|Week 2||Review of Excel Built-In functions and Analysis tools||
Chapter 33-35 (Textbook2)Chapter 4 (Textbook 3)
VBA Environment and Macro RecordingData Types, Constants and Variables- Variable scope
Chapters 1-3 (Textbook 1)
Chapter 8 (Textbook 1)
Modular ProgrammingSub procedures vs. Function procedures, passing by value vs. reference
Chapter 4 -5 (Textbook 1)
|Week 5||The VBA Object Browser and Library: Objects, Properties, Methods, and Collections. Working with ranges.||
Chapter 6 (Textbook 1)Chapter 15 (Textbook 3)
Structured Programming I: Decisions-Nesting and Compound logical expressions
|Chapter 11 (Textbook 1)||Assignment 2|
Structured Programming II: Loops: For/Next,Do/While/Exit
|Chapter 12 (Textbook 1)|
|Week 8||Working with data structures: Arrays, Passing Arrays to Procedures, Dynamic Arrays (vs. static) and the ReDim statement, Data Records||Chapter 13 (Textbook 1)||Assignment 3|
Creating and Accessing FilesVBA API for Bloomberg
Chapter 14 (Textbook 1)Lecture Notes.
|Week 10||Creating custom Input, message boxes, other GUI objects- User Forms||
Chapter 10 (Textbook 1)Chapter 15 (Textbook 1)
|Week 11||Financial Application using VBA||
The Binomial Option-Pricing Models.Option Greeks
|Week 12||Financial Application using VBA||
The Black-Scholes ModelsUsing Monte Carlo Methods for Option Pricing
|Project description due|
|Week 13||Thanksgiving break – No Classes|
|Week 14||Final Project Presentations|