City University of Hong Kong
Department of Economics and Finance
VBA Applied Finance Project
19 Dec 2003 – 20 Jan 2004
Instructor: Keith Law
Description
As the finance industry is getting more quantitative, a lot of banks and investment houses require candidates to have solid VBA (Excel programming) background applied to finance setting. We are considering an intensive course as Career Enhancement for our final year students.
The class is intended for around 40 students who have strong desire to excel in the quantitative finance world. The project has 2 main objectives: Getting students known what quantitative models that are on the street (the investment banking sector, this is usual wordings); Getting students ready to hands on programming skills that are tremendous assets in jobs hunting.
The intensive course is considered technical and participants are required to complete 4 quantitative model programs. Keith will set high standards and you will learn something “real and cutting-edge”. The projects are real problems from Keith’s banking experience. Here is his short bio:
Keith Law got his Bachelor of Integrated BBA (First Honor) in year 2000 from the Chinese University of Hong Kong. During his studies at CUHK, he had worked at the Commercial Press (HK) Ltd. as a Project Executive in Direct Marketing; an intern at the Pegasus Fund Managers Ltd. performing quantitative analysis; an intern at the Global Village (2000) Iacocca Institute, Lehigh University (Pennsylvania) working on a Venture Capital Project raising funds for a new start-up company. After his graduation from CUHK, he worked as an Executive trainee at the Securities and Futures Commission of Hong Kong.
After his exposure to various aspects of the Finance industry, he decided to further his studies at the University of California at Berkeley: Master of Financial Engineering and got the MFE degree at 2002. During his studies at the United States, he successfully completed an Applied Finance Project at the Wachovia Securities (Wachovia is currently the 4th largest bank in the United States) where he worked at the trading floor, performing quantitative analysis for Convertible bonds trading.
Target students: Year 3 students, who have strong desire to work in investment banking, funds house and financial research firms.
Class Size: 20 students (criteria will be based on the Intention Statement, required for application)
Project Duration: 4 classes, each 3 hours
Weekly team assignment
Schedule (3 hours for each meeting)
Meeting 1: Equity models: Automating optimal investment, programming efficient frontier of any assets size N.
Meeting 2: Fixed Income models: Automate procedures for bonds pricing, bootstrapping, and calibrating basic interest rate models.
Meeting 3: Options pricing models: Finding implied volatility, interpolating volatility surface, simple Monte Carlo simulations.
Meeting 4: Risk management: Value-at-Risk models (VaR), Marginal VaR, Component VaR, incremental VaR
Certificate: On completion of the project, a certificate of completion will be given to those who attended al least three meetings.