Financial choices (with computer application)

Objective: The aim of this course is to apply Excel to the resolution of key problems of finance. After a reminder of the main functions of Excel, we will develop applications in actuarial calculation, valuation of options and portfolio management.

Outline:

1. Reminders

• Application of a scale for the calculation of tax

2. Actuarial calculation

• Construction of debt amortization schedules
• Bond calculation (price, sensitivity, duration)
• Construction of the zero-coupon and forward rate curve forward.

3. Option pricing

• Modeling the course of an action by a stochastic process
• Introduction to the Monte Carlo method for evaluating options

4. Portfolio Management and Optimization

• Building the efficient frontier
• Calculation of statistics on stock market data

Grading: Final exam at the end of the semester.

Bibliography:

• Winston Wayne L., Excel pour le business et la finance, Microsoft Press, 2004.