Mathematical modeling in MS Excel

general courses

This course is dedicated to people who want to learn or to systematize knowledge of financial models used in business, as well as people who work a lot in Excel and want to know the use of financial tools in Excel.

Detailed list of topics:

• financial mathematics;

• deposits;

• credits;

• evaluation of investment projects;

• investment portfolio management (Markowitz model, model Sharpe);

• investment portfolio management (Value at Risk model CAPM, measures – Jensen’s Alpha, Sharpe, Treynor);

• options pricing models (binomial models Cox-Ross-Rubinstein, Jarrow-Rudd, Black-Scholes model, Monte-Carlo method);

• other financial functions.

Note 1: classes are held in the form of e-learning on the platform: https://moodle.wne.uw.edu.pl (no live classes).

Note 2: The software version in the course is Microsoft Office 2019 or 365 (language version: English, operating system: Windows). Using an earlier version is possible, but it may cause some difficulties. The Polish language version is not a major problem, but the course a different operating system is (e.g. MacOS) due to the limitations of the Office suite (possible lack of necessary software components). The University of Warsaw does not provide participants with the necessary computer hardware or software.

• Materiały własne;

• Walkenbach J, 2014, Excel 2013 PL. Formuły, Helion, Warszawa;

• Walkenbach J, 2014, Excel 2013. 101 porad i sztuczek które oszczędzą Twój czas, Helion, Warszawa;

• Brand S., 2002, Analiza danych, Wydawnictwo Naukowe PWN, Warszawa;

• Masłowski K., 2004, Excel 2003 PL - 161 praktycznych porad, Helion, Gliwice;

• Jackson M., Staunton M., 2004, Zaawansowane modele finansowe z wykorzystaniem Excela i VBA, Helion, Gliwice;

• Jajuga K., Jajuga T., 2000, Inwestycje. Instrumenty finansowe, ryzyko finansowe, inżynieria finansowa, Wydawnictwo Naukowe PWN, Warszawa;

• red. Szapiro T., 2000, Decyzje menedżerskie z Excelem, Polskie Wydawnictwo Ekonomiczne, Warszawa;

• Podgórska M., Klimkowska J., 2005, Matematyka finansowa, Wydawnictwo Naukowe PWN, Warszawa.

After completing the course the student obtains the ability to financial modeling in Excel, including: financial mathematics, deposits, credits, evaluation of investment projects, investment portfolio management (Markowitz model, model Sharpe), investment portfolio management (Value at Risk model CAPM, measures – Jensen’s Alpha, Sharpe, Treynor), options pricing models (binomial models Cox-Ross-Rubinstein, Jarrow-Rudd, Black-Scholes model, Monte-Carlo method), other financial functions.

The final evaluation consists of:

• Homework (60 pts.): two cumulative homework each scored 30 points.

• Questions and answers on the Discussion Forums: maximum 3 points for each post.

Scoring:

Points Mark

(0-30) 2

(30-36) 3

(36-42) 3,5

(42-48) 4

(48-54) 4,5

(54-60) 5

60+ 5!