Teaching code

4S008402

Teacher

Bruno Giacomello

Coordinator

Bruno Giacomello

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 international finance. 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 and international 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

There are no compulsory pre-requisites, however it is recommended to have already taken the mathematics and statistics exams.

Program

1. Financial assets under conditions of 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. Contracts indexed to interest rates
3. Models for International Markets
3.1. Introduction to financial transactions on international markets, forward structures of domestic and foreign interest rates, spot and forward rates, non-arbitrage conditions.
3.2. IRS - Interest rate swaps, introduction, types, valuation.
3.3. Exchange rates, parity conditions, forward contracts.
3.4. Currency derivative contracts, currency swaps.

Bibliography

Didactic methods

The course includes lectures and classroom exercises with analysis of operational cases.

Learning assessment procedures

Learning assessment procedures consist of a written test and an oral test.
The oral exam is:
- optional if the mark in the written exam is greater than or equal to 20/30,
- compulsory if the mark in the written test is between 16/30 and 19/30
The written assessment is deemed not to have been passed if the grade obtained is less than 16/30.
A partial intermediate written test is foreseen, whose possible positive result (with a score higher than 15/30) allows the passing of a part of the exam, to be completed with a second written test to be taken in one of the two tests of the session exam immediately following the course. It is not allowed to complete the mid-term exam in an exam session following the first one. In case of insufficient overall result, it is not possible to complete the intermediate test a second time. The student who decides not to use the positive result of the partial written test is invited to communicate it to the teacher before registering for the exam.

Evaluation criteria

The evaluation will be carried out on the basis of the results of the tests taken, taking into account the demonstrated preparation and skills acquired.

Criteria for the composition of the final grade

The final mark will be given by the average of the marks obtained in the tests taken.

Exam language

Italiano