Teaching code

4S00393

Teacher

Roberto Reno'

Coordinator

Roberto Reno'

Credits

9

Language

Italian

Scientific Disciplinary Sector (SSD)

SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Period

Primo semestre (lauree) dal Sep 19, 2022 al Jan 13, 2023.

Lessons timetable Moodle Seminars 0

Learning objectives

The objectives of the course are the introduction of the pillars of financial contracts and the quantitative method for their management, to be developed to the foundations of fixed income and portfolio management. The course will introduce the basic jargon in finance, as well as the main concepts underlying asset valuation and assessment of risk. At the same time, the course will develop quantitative methods, which will be useful for advanced courses in finance.
At the end of the course, the student is expected to be able to perform operations involving the financial instruments explained in class, and to understand the theoretical ideas illustrated in the course.
Basic knowledge of mathematics and statistics is strongly recommended.

Prerequisites and basic notions

Basic Mathematics (strongly recommended)

Program

1. Financial assets under certainty 1.1. The main financial regimes. 1.2. General theory of financial laws. 1.3. Interest rates and inflation. 1.4. Annuities, depreciation, and other compound financial transactions. 1.5. Criteria for the valuation of certain financial assets. 2. Models for the bond market 2.1. Perfect markets. The principle of absence of arbitrage. 2.2. Interest rate structure by maturity 2.3. Valuation of spot and forward bonds. 2.4. Interest rate risk: duration, financial immunization, ALM 2.5. Interest rate indexed contracts 3. Models for the stock market 3.1. Random financial assets. Return and risk. 3.2. Investing in two risky stocks. 3.3. Portfolio selection models. 3.4. Stock evaluation models.

Bibliography

Didactic methods

The course aims to introduce the main quantitative models for the analysis, evaluation and management of financial assets, and provides the fundamental elements for the quantitative study of the finance of bonds and shares. The student will have the opportunity to learn the appropriate terminology and concepts for the understanding and use of financial mathematics tools. The critical ability to describe and develop the basic models of finance will be stimulated with particular attention to the management of the risk-return profile of a financial asset. In parallel, the course develops the main quantitative methodologies useful as a basis for participation in advanced finance courses.

Learning assessment procedures

Learning assessment procedures consist of a written test and an oral test. The oral test is: - optional if the mark in the written test is higher than or equal to 20/30, - compulsory if the mark in the written test is between 15/30 and 19/30 The written examination is considered not passed if the mark achieved is less than 15/30. During the test the use of the course form and a calculator is allowed. It is not possible to consult other material or use computer material (PC, tablet, smartphone), under penalty of cancellation of the exam. An intermediate test is foreseen, carried out in the week fixed by the academic calendar (in which the lessons are interrupted) with the same modalities of the written test of the exam. The intermediate test focuses on the topics covered up to the week before the test. The teacher can exclude some topics, communicating it in advance to the students. The intermediate test is assessed with a mark out of thirty. Its performance gives the right to take a written test (reduced) of completion of the exam, which completely replaces the written test.

Evaluation criteria

Exercise solving, knowledge of basic definitions, relationships between basic concepts and financial interpretation.

Criteria for the composition of the final grade

Overall evaluation of the written and oral exam

Exam language

italiano