Teaching code

4S00393

Academic staff

Cecilia Mancini, Cosimo Munari

Coordinator

Cecilia Mancini

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 25, 2023 al Jan 19, 2024.

Courses Single

Authorized

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

General Mathematics (strongly recommended)

Program

1. Non random cash flows
1.1. The main financial regimes.
1.2. General theory of financial laws.
1.3. Interest rates and inflation.
1.4. Annuities, mortgages, and other compound financial transactions.
1.5. Criteria for the evaluation of certain financial cash flows.
2. Models for the Bond Market
2.1. Perfect markets. The no-arbitrage principle.
2.2. Term structure of interest rates
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 the Stock Market
3.1. Random financial assets. Return and risk.
3.2. Investment in two risky stocks.
3.3. Models for portfolio selection.
3.4. Stock valuation models.

Bibliography

Didactic methods

Lectures and exercises in the classroom. 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 terminology and concepts suitable for understanding and using the tools of financial mathematics. 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. At the same time, the course develops the main quantitative methodologies useful as a basis for participation in advanced finance courses.

Learning assessment procedures

Written test and possible oral test. The oral test is: - optional if the mark in the written test is greater than or equal to 20/30, - compulsory if the mark in the written test is between 15/30 and 19/30. The assessment is considered failed if the mark obtained in the written test is less than 15/30. During the test, the use of the course form and a calculator is permitted. It is not possible to consult other material or use computer equipment (pc, tablet, smartphone, smartwatch), otherwise the exam will be cancelled. An intermediate test is foreseen, carried out in the week fixed by the academic calendar (in which lessons are interrupted) with the same modalities as the written test of the exam. The intermediate test focuses on the topics covered up to the week preceding the test. The intermediate test is evaluated with a mark out of thirty. Its performance, if sufficient, gives the right to take a (reduced) written test to complete the exam, which fully replaces the written test.

Evaluation criteria

The ability to solve the exercises, the knowledge of the basic definitions, the awareness of the relationships between basic concepts and financial interpretation will be considered fundamental.

Criteria for the composition of the final grade

Overall evaluation of the written and oral exam

Exam language

italiana