MINISTRY OF EDUCATION AND TRAINING SOCIALIST REPUBLIC OF VIETNAM

UNIVERSITY OF ECONOMICS HCMC Independence – Liberty – Happiness

____________________________ _____________________________________

HIGHER EDUCATIONAL PROGRAM

(Bachelor degree)

MAJOR: BANKING – FINANCE

MINOR: FINANCE

SYLLABUS

1. Course name: Quantitative Finance

2. Course code:
3. Teaching Department: Corporate Finance Department
4. Level of competency: (apply for students at the 3rd or 4th academic year) Senior Students
5. Credit number: 03
6. Time allocation:
+ In class study: 45 hours (~ 45 teaching hours, one in-class teaching hour is of 45
minutes)
+ Group study: 45 hours
+ Self-study: 120 hours
7. Prequisite courses:
Basic Corporate Finance; Advanced Corporate Finance; Financial Analysis; Financial
Investment; Capital Budgeting; Financial risk management
8. Course brief description:
This course refers to various financial models that bring the knowledge learned from
textbooks to real life when financial decisions are made reliably. The basics of
information technology and statistics are combined with financial theories to develop
quantiative models for decision making in the field of corporate financial management,
investment and portfolio management, and assest pricing. With the support of
computer software, the ability to calculate and process data in financial models is
implemented quickly and efficiently. Therefore, the subject is very practical as its
apllication in reality has a great potential in industries. The subject of financial
modeling focuses on the application of Excel, VBA and MatLab to develop: (1)
Corporate finance models (2) Portfolio management models and Monte Carlo
Simulation. 3) Option pricing models and Monte Carlo Simulation. 4) Models for
Bond valuation, immunization strategies and term structure of interest rates

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9. Course Learning Outcomes - CLOs:
Students who complete the Quantitative Finance Course will achieve the following learning
outcomes:
9.1 Knowledge
- CLO1.1: Be able to demonstrate Solver tool in Excel to give solutions for optimization
problems.
- CLO1.2: Be able to demonstrate Monte Carlo simulation to assess investment project
risk & simulate the price and return of stocks and portfolios.
- CLO1.3: Capability to use Excel for long-term financial planning, pro-forma financial
statements and various funding scenarios.
- CLO1.4: Understand VBA programming language to support quantitative models in
financial investment.
- CLO1.5: Be able to apply corporate finance knowledge in order to calculate Weighted
Average Cost of Capital (WACC) and Enterprise Evaluation (EV).
- CLO1.6: Proficiently demonstrate efficient portfolios in case of short sales or no short
sales.
- CLO1.7: Be able to compute market risk factor (Beta), plot Capital Market Line
(CML), Security Market Lines (SML), and optimize portfolios according to the Black-
Litterman method.
- CLO1.8: Fundamentally know how to use VBA and Matlab in building a Black-
Scholes model to price derivatives.
9.2 Skills
- CLO2.1: Capable to apply financial models to different situations in practice.
- CLO2.2: Be able to employ VBA and Matlab programming languages to build
financial models.
- CLO2.3: Be able to self-study, collect more knowledge from other learning resources
in Vietnamese and English to flexibly solve different models in practice.

9.3. Autonomy and Resposibility

- CLO3.1: Have the ability to think and perceive the actual context, thereby making
proposals to build a financial model suitable for each situation in corporate finance
and financial investment.
- CLO3.2: Have the ability to be autonomous and self-coordinate in planning and
deploying financial models; have the competency to find and expand their knowledge
of the quantitative models and the learning of the VBA programming language to
match their professional goals and develop themselves.

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Course Learning Outcomes matrix
Chuẩn đầu ra của Chuẩn đầu ra chương trình đào tạo (PLOs) (CĐR cấp 2)
học phần (CLOs) PLO1.1 PLO1.2 PLO1.3 PLO1.4 PLO1.5 PLO1.6 PLO1.7 PLO2.1 PLO2.2 PLO2.3 PLO2.4 PLO2.5 PLO2.6 PLO3.1 PLO3.2
(CĐR cấp 3)
CLO1.1 Be able to
demonstrate Solver
tool in Excel to give S H S P H S H H S
solutions for
optimization problems
CLO1.2 Be able to
demonstrate Monte
Carlo simulation to
assess investment H H S P H S H H S P
project risk & simulate
the price and return of
stocks and portfolios
CLO1.3. Capability to
use Excel for long-
term financial
planning, pro-forma H S H P H P S P S
financial statements
and various funding
scenarios
CLO1.4 Understand
VBA programming
language to support S H S P H
quantitative models in
financial investment.
CLO1.5 Be able to H S H H P S P S
apply corporate

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finance knowledge in
order to calculate
Weighted Average
Cost of Capital
(WACC) and
Enterprise Evaluation
(EV).
CLO1.6 Proficiently
demonstrate efficient
portfolios in case of H P P S P H S S P
short sales or no short
sales.
CLO1.7 Be able to
compute market risk
factor (Beta), plot
Capital Market Line
(CML), Security
S H P S S P S S S P
Market Lines (SML),
and optimize
portfolios according to
the Black-Litterman
method.
CLO1.8
Fundamentally know
how to use VBA and
S P S S S H P P S P
Matlab in building a
Black-Scholes model
to price derivatives.
CLO2.1 Capability to S H S P H P S P P
apply financial models

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to different situations
in practice.
CLO2.2 Be able to
employ VBA and
Matlab programming P S P H S H S S H
languages to build
financial models.
CLO2.3 Be able to
self-study, collect
more knowledge from
other learning
resources in S H S P H S S P P
Vietnamese and
English to flexibly
solve different models
in practice.
CLO3.1 Have skills to
think and perceive the
actual context, thereby
making proposals to
build a financial model P S S P H
suitable for each
situation in corporate
finance and financial
investment.
CLO3.2 Have the P H P H S
ability to be
autonomous and self-
coordinate in planning
and deploying

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financial models; have
the compentency to
find and expand their
knowledge of the
quantitative models
and the learning of the
VBA programming
language to match
their professional
goals and develop
themselves.

Where:
P: Partial supported
S: Supported
H: Highly supported

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10. Learning materials:
10.1 Text books:
Textbook 1: Financial Modeling, 4th edition, Benninga
Textbook 2: Excel VBA in easy steps
Textbook 3: A Guide to MATLAB for Beginners and Experienced Users
10.2 References:
Document 1: Financial Analysis and Modeling Using Excel and VBA
Document 2: Excel Power Programming with VBA
Document 3: Pricing Derivatives Securities Using MATLAB
Document 4: Financial Modeling, Tran Ngoc Tho & Vu Viet Quang

Other materials from the instructor

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11. Course teaching plan:
Day Delivered content Teaching Learning materials) Student works in detail Corresponding
(hour no.) (chapter, section) method applied (chapter, section) (exercise, case study, CLO
presentation, etc.)
Session 1 Lecturing Chapter 1, 2 of Students preview the syllabus, an CLO1.1
Introducing the syllabus
(5 hours) Discuss and Financial modeling overview about content of the CLO3.1
Organizing student group
practice case (Tran Ngoc Tho & Vu course, and the teaching method
Instruction of software installment of the instructor
Offering learning materials study Viet Quang)
Financial modeling Students preview chapter 1, 2 of
Linear optimization model Financial Modeling.
Session 2 Linear and Non-linear Lecturing Chapter 2, 3 of Students preview chapter 2, 3 of CLO1.3
(5 hours) Optimization Discuss and Financial modeling Financial Modeling. CLO2.1
practice case (Tran Ngoc Tho & Vu Groups make video presentations
Viet Quang) about linear optimization models
study
and demonstrate situations in
which financial managers apply
a linear or non-linear
optimization model.
Submit to instructors on LMS.
Session 3 Introducing VBA Lecturing Chapter 36 of Financial Students preview chapter 36 of CLO1.2
(4 hours) The basisc of VBA programming Practice Modeling (Benninga) Financial Modeling and other CLO2.4
User-defined function and After the learning materials provided by CLO3.2
instructor presents instructors. Students self-read
Subroutine in VBA Chapter 2,3,5,6,7 of
the basics of and self-study chapters 2,3,5,6,7
Excel VBA in easy of Excel VBA in easy steps
VBA, students
steps textbook
discuss and learn
through further
readings in the
textbooks

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Session 4 VBA advanced techniques Lecturing Chapter 8,9,11 of Students self-read and self-study CLO1.2
(4 hours on Working with variables and arrays Practice Excel VBA in easy chapter 37 in financial modeling, CLO2.4
LMS) in VBA steps and chapters 8,9,11 Excel VBA CLO3.2
in easy steps. After the instructor
presents advanced knowledge of
Chapter 37 of Financial VBA, students continue to
Modeling (Benninga) discuss and learn through further
readings in reference books
Session 5 Monte Carlo Simulation Model - Student Chapter 4 of Financial Students preview chapter 4 of CLO2.2
(4 hours) Some applications in capital presentations modeling (Tran Ngoc Financial Modeling and other CLO3.1
budgeting and portfolio risk & Lecturing Tho & Vu Viet Quang) learning materials provided by
return the instructor.
Discussion
The group make video
Chapter 26, 27 of presentations about the Monte
Financial Modeling Carlo simulation in the context
(Benninga) of capital budget and portfolios.
Submit to the instructor on LMS.
Self-reading Calculating the Weighted Average Self – study Chapter 2,3 of Financial Groups make video presentations CLO2.3
learning Cost of Capital and Corporate Modeling (Benninga) about pro forma statement & CLO2.5
materials and Valuation (self-study) financial planning, corporate CLO3.2
self-study
Pro Forma Financial Statement Chapter 5,7 of Financial valuation, and financial analysis
and Leasing Modeling (self-study) Modeling (Benninga) of leasing.
Submit to the instructor on LMS.
Session 6 Introduction of Porfolio Models Lecturing Chapter 8, 9 of Students preview chapter 8, 9 of CLO2.5
(5 hours) and Calculating Efficient Practice Financial Modeling Financial Modeling and other CLO3.1
Portfolios (Benninga) learning materials provided by
the instructor.
Groups make video presentations
about the efficient portfolio in
practice.
Submit to the instructor on LMS.
Session 7 Calculating the Variance- Lecturing Chapter 10, 11 of Students preview chapter 10, 11 CLO2.6
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(5 hours – Covariance Matrix & Estimating Practice Financial Modeling of Financial Modeling.
học LMS) Betas and Security Market Line (Benninga) Groups make video presentations CLO3.1
on calculating beta parameters of
companies listed on the
Portfolio Optimization Using
Vietnamese stock exchange,
Matlab building CML and SML lines.
Submit to the instructor on LMS.
Session 8 Student Chapter 12, 13 of Students preview chapter 12, 13 CLO2.5
(5 hours) The Black-Litterman Approach to presentation Financial Modeling of Financial Modeling. CLO2.6
Portfolio Optimization using Lecturing (Benninga) Groups make video presentations CLO3.1
Matlab Practice about efficient frontier with short CLO3.2
sales and without short sales as
well as the Black-Litterman
approach to portfolio
optimization.
Submit to the instructor on LMS.
Session 9 Valuation of Option by the Lecturing Chapter 16, 17 of Students preview chapter 16, 17 CLO1.2
(5 hours) Binomial & Black-Scholes Models Practice Financial Modeling of Financial Modeling. CLO2.4
(Benninga) CLO2.8
Groups make video presentations
about how to employ VBA &
Matlab to value options using the
decision tree model and the
Black-Scholes model.

Submit to the instructor on LMS.

Total:45
hours

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12. Student workload:
Attend, discuss and examine in accordance with the current regulations of the school.
Student are expected to
 Attend all sessions required for the unit.
 Well prepare before class.
 Get all of the homework assignments done, including online quizzes.
 Do the term project and presentation and submit it before the due date. (details are
provided in the next section)
 Class participation is much encouraged and strongly recommended (bonus points
might ber awarded and counted for assessment).
 Submit the final project (details are provided below).

13. Student assessment system:

- Attendance: 5%
- Discussion: 10%
- Video or in-class presentation: 35%
 Students in groups work together. The result is video or in-class presentations on the
practical contents of each session. Students must submit these videos to the instructor
on LMS for grading.
 Groups and individuals are encouraged to ask questions for discussion (asking
questions and answering questions is all plus points).

- End-of-term examination (term project): 50%

 Submit individual project, in which students perform financial modeling 1to solve a
real-life (or simulated) situation. The instructor will give points based on the
complexity and capability to apply the knowledge to solve the practical problems
 Warning: if the final project assessment is less than or equal to 3, the mid-term
assessment will be split in half.

Scoring guide and Rubrics

Rubric 1. Assessment of course attendance (an example)

Criteria Weight Excellent Good Satisfactory Unsatisfactory

(%) (100%) (75%) (50%) (0%)
student student student barely student fails
actively participates participates to participate
Positive attitude 50
participates in- in-class in-class in-class
class activities activities) activities activities
Sufficient 50 student has not student has student has student has
attendance time missed any missed 20% missed 40% missed more

1
Students are encouraged to apply VBA and Matlab in their projects to achieve the higher recognition from
instructors

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 or less of or less of than 40% of
overall overall overall
teaching hour
teaching teaching teaching
hours hours hours

Rubric 2. Assessment of group discussion (an example)

Criteria Weight Excellent Good Satisfactory Unsatisfactory
(%) (100%) (75%) (50%) (0%)
student student student barely student fails
initiates and actively participates in to participate
Attitude 20
leads participates in discussions in discussions
discussions discussions
student shows student shows student shows student shows
excellent good a mix of good poor
analytical and analytical and and bad analytical and
Discussion skills 40 evaluation evaluation analytical evaluation
skills skills and skills
evaluation
skills
student student student student
produces produces produces a produces
creative and adequate mix of inadequate
Input quality 40
adequate inputs adequate and inputs
inputs inadequate
inputs

Rubric 3. Assessment of group presentation (an example)

Criteria Weight Excellent Good Satisfactory Unsatisfactory
(%) (100%) (75%) (50%) (0%)
contents contents meet contents are contents lack
exceed requirements relatively many
requirements on variety adequate, but important
10
on variety lack of some aspects
important
aspect
contents are contents are contents are contents lack
Contents
accurate and relatively fairly accuracy and
well supported accurate and accurate and supportive
with studies supported supported studies, while
20
with studies, with studies, containing
but contain but contain many major
some minor some major mistakes
mistakes mistake

12
 structures of structures of structures of structures of
the contents the contents the contents the contents
10 and the slides and the slides and the slides and the slides
are very are fairly are relatively are illogical
Structure and
logical logical logical
visual aids
visual aids are visual aids are visual aids are visual aids
very intuitive fairly relatively lack intuition
10
and aesthetic intuitive and intuitive and and
aesthetic aesthetic aestheticity
presenter leads presentation presentation presentation is
the is coherent lack ambiguous,
presentation but coherency, preventing the
well and uncapturing, but important audience from
Presentation skills 10
produces while aspects are understanding
capturing and inferences are understandabl important
persuasive fairly e aspects
inferences persuasive
presenter presenter presenter presenter does
interacts well interacts interacts with not interact
with eyes and fairly well eyes and with eyes and
Interaction and gestures with eyes and gestures, but gestures
10
gestures gestures the
interactions
are
inadequate)
presentation presentation presentation presentation
time is is completed is completed takes more
excellently within within time than
managed, with allocated allocated allocated
Time management 10 flexibility time, while time, but
shown as some lacking
necessary flexibility is necessary
shown as flexibility
necessary)
Question 10 all acceptable most majority of group fails to
responding questions are acceptable questions are produce
sufficiently, questions are accurately answers for
clearly and accurately answered, but the majority of
adequately answered, the group acceptable
answered while proper fails to questions
orientation is provide
provided for proper
unanswered orientation

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 questions for
unanswered
questions
group shows group shows group shows group fails to
good teamwork, collaboration little collaborate as a
truly in reporting collaboration team
collaborating and answering in reporting
Teamwork 10 and supporting questions, but and answering
one another in sometimes questions
reporting and lack
answering coordination
questions

14. Student support:

At the student’s request, appointment or discussion can be done in-person, on LMS, or via
email.

TP.HCM, day month year

Dean Elaborator
(signature and full name) (signature and full name)

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