Quantitative Analysis of Finance I

Subject ECON90033 (2014)

Note: This is an archived Handbook entry from 2014.

Credit Points: 12.50
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2014:

Semester 1, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable

Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: Three hours per week of lectures and tutorials
Total Time Commitment:

Estimated total time commitment of 120 hours per semester


ECON20003 Quantitative Methods 2 or equivalent. This subject is only available to those students who would satisfy the entry requirements for the Graduate Diploma in Finance or the Master of Finance.

Study Period Commencement:
Credit Points:
Summer Term, Semester 1, Semester 2


Recommended Background Knowledge:


Non Allowed Subjects:


Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/


Mr Barry Rafferty


Melbourne Business School @ Berkeley Street
Level 4, 198 Berkeley Street
Telephone: +61 3 8344 1670
Email: mbs-enquiries@unimelb.edu.au
Web: http://mbs.unimelb.edu.au/

Subject Overview:

This course is concerned with the application of quantitative tools to model, estimate and forecast financial variables. Topics considered include: the analysis of the properties of financial data (such as non-normality and non-stationarity); the application of estimation methods (such as unit roots and cointegration) to test the rational valuation model of share prices; the application of the GARCH class of models to estimate volatility and to test the capital asset pricing model.

Learning Outcomes:

On successful completion of this subject students should be able to:

  • Apply quantitative tools to model, estimate and forecast financial variables;
  • Analyse the statistical properties of financial prices and returns;
  • Evaluate models of risk based on the Capital Asset Pricing Model and variants assuming non-normal return processes;
  • Analyse recent advances in unit root and cointegration methods in modeling the term structure of interest rates and asset price bubbles;
  • Describe the strengths and limitations of alternative quantitative methods by reproducing existing results using computer skills and mathematical modeling techniques, in conjunction with a range of financial data sets;
  • Perform sensitivity analyses on proposed models, which should include the application of alternative distributional specifications to model risk.
  • 3000 word assignment, due mid-semester (30%)
  • A 3-hour written end-of-semester examination (70%)
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Breadth Options:

This subject is not available as a breadth subject.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:

On successful completion of this subject, students should have improved the following generic skills:

  • Evaluation of ideas, views and evidence
  • Synthesis of ideas, views and evidence
  • Strategic thinking
  • Critical thinking
  • Application of theory to economic policy and business decision making
  • Accessing economic and other information
  • Summary and interpretation of information
  • Application of windows software
  • Using computer programs
  • Statistical reasoning
  • Problem solving skills
  • Collaborative learning and teamwork
  • Negotiation and bargaining
  • Written communication
  • Oral communication

This subject is only available to students in the Postgraduate Diploma in Finance or the first year of the Master of Finance.

Related Course(s): Graduate Diploma in Finance
Master of Finance

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