General Remarks

This is an advanced, Master-level course. We expect participants to be familiar with (i) regression analysis and other basic statistical tools; (ii) the fundamentals of finance; (iii) Excel as well as R including basic programming skills.

If you lack experience in of these areas, you can try to make them up during the class but it is your responsibility. Ideally, you should attend the course after having attended our Financial Modeling class as well as one ore more advanced courses in finance.

Note that the course is not eligible for Bachelor students.

Requirements

Please bring your own laptops. Only around 10 university laptops are available.

Know the basics of Excel. To get an intro to Excel, watch our video for Excel beginners (or the video in German). R can be downloaded from a here. An manual is available on R's manual page. There you find also an introduction to R.

Downloads are password protected. The username is „student“ and the password will be given in the lecture. You can use your ANA (Authentifizierter Netzzugangs-Account) from kiz and the webVPN to bypass the protection.

Dates and Downloads

Excel-Sheet
R-Sheet
VBA session from Financial Modeling for your own refreshment
sample questions from previous exams

Characterizing the course

A typical session will look like this:

• The instructor introduces the problem (10 minutes)
• Students solve the problem on the PC; 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)

Language of instruction is most probably English; individual questions can be discussed in German.

Course Contents

• Option Pricing Techniques
• Value-at-Risk
• Time Series Analysis
• Regressions in Finance
• Measuring Performance
• Implementing CPPI
• Forecast Evaluation
• Out-of-Sample Evaluation