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METODI MATEMATICI PER LA FINANZA Single discipline educational activity
Course Sheet Academic Year of enrolment:
Disciplinary Sector:
MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Professor and Collaborators:
Hours of classroom activity:
Prerequisites:
A basic knowledge of Mathematics, Statistics, Microeconomics and Macroeconomics, at an undergraduate level, can be considered a prerequisite for this course
Objectives Contents It is a basic course on financial markets, organized as follows:
Extended Syllabus Spots. Zero coupon bonds
Coupon bonds
Assets. Financial portfolio
Forward assets
The ideal bond market. Arbitrages
The spot price structure. The spot valuation
Forward evaluation
Financial return: linear law, exponential law, equivalent rates
The internal rate of return
Loans. Loan valuation: the case in constant payments
Mortgage of the loan: French mortgage, Italian mortgage, pre- mortgage, deferral
The structure of interest rates
The forward rate structure
The yield to maturity
Time evolution of the interest rate structure
A measure for interest rate risk: duration
Recommended Bibliography M. D’Amico, L. Peccati, E. Luciano “Calcolo finanziario: temi di base e temi moderni”, Egea 2011
C. Mari "Matematica per il management: gli strumenti finanziari", Libreria dell'Università editrice
Methods of Provision Teaching Methods The teaching includes 48 hours of lessons divided into 2 weekly lessons of 2 hours. The course will be carried out through frontal lectures and exercises.
Evaluation methods Verification of learning:
The exam consists of a 90-minute written test and an oral exam. The written test consists of exercises regarding the main parts of the program. To access the oral exam it is necessary to reach a score of at least 15/30. The final evaluation, expressed in thirtieths, will take into account both proofs (70% of the written test and 30% of the oral exam).
Contacts/More Information All the information and didactical material will be put on e-learning page.
