Studying at the University of Verona
Here you can find information on the organisational aspects of the Programme, lecture timetables, learning activities and useful contact details for your time at the University, from enrolment to graduation.
Study Plan
The Study Plan includes all modules, teaching and learning activities that each student will need to undertake during their time at the University.
Please select your Study Plan based on your enrollment year.
1° Year
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2° Year activated in the A.Y. 2019/2020
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Legend | Type of training activity (TTA)
TAF (Type of Educational Activity) All courses and activities are classified into different types of educational activities, indicated by a letter.
Quantitative models for business management (2018/2019)
Teaching code
4S003751
Teacher
Coordinator
Credits
9
Language
English
Scientific Disciplinary Sector (SSD)
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Period
primo semestre lauree magistrali dal Oct 1, 2018 al Dec 21, 2018.
Learning outcomes
The aim of the lecture is to analyze the most important financial instruments typically employed for the management of interest rate and foreign exchange (FX) risk. Such risks influence the profitability of firms who are active on international markets. With this objective in mind, the first part of the lecture will introduce the necessary mathematical and statistica tools allowing the analysis of investment decisions in a context of uncertainty.
The second part will focus on financial instruments and related implementation aspects on the computer.
Program
1) Mathematical preliminaires: probability theory, stochastic calculus and arbitrage free valuation.
2) Interest rate risk: financial instruments (zero-coupon bonds, forward rate agreements, interest rate swaps, caps, swaptions), interest rate curve bootstrapping, some aspects of term structure models.
3) Foreign exchange risk: introduction to FX markets, FX forwards, FX swaps, cross Currency swaps. FX options and their arbitrage free valuation. Long-dated FX products: hybrid FX-interest rate models.
Prerequisites:
1) A good working knowledge of mathematical analysis (limits/derivatives/integration). The ability to solve standard first and second order equations/inequations.
2) A good working knowledge of basic statistics (probability distributions, conditional probabilities, random variables, central limit theorem, law of large numbers, statistical tests, conditional/unconditional expected values/moments).
Author | Title | Publishing house | Year | ISBN | Notes |
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T. Bjork | Arbitrage theory in continuous time (Edizione 3) | Oxford University Press | 2009 | 978-0-199-57474-2 | |
Clark, I. J. | Foreign Exchange Option Pricing: A Practitioner's Guide (Edizione 1) | Wiley | 2011 | 978-0-470-68368-2 | |
Filipovic, D. | Term Structure Models: A Graduate Course (Edizione 1) | Springer | 2009 | 978-3-540-68015-4 |
Examination Methods
The exam consists of a 2-hour written test on all the topics in the program. The exam contains both theoretical and practical exercises. The ability to prove mathematical statements linked to the course material is expected.