QUANTITATIVE METHODS FOR FINANCE

Single discipline educational activity

Course Sheet

Course code:

MEFI19

Academic Year of enrolment:

2022

Year of supply:

2022/2023

Type of Course:

Characterising

Degree:

Course of 2nd Cycle Degree in MANAGEMENT AND ECONOMICS

Disciplinary Sector:

MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Language:

Italian

Location:

PESCARA

Credits:

Programme Year:

Professor and Collaborators:

DE SANCTIS Angela Anna

Cycle:

Third four months

Hours of classroom activity:

Individual study hours:

171

Prerequisites:

A basic knowledge of General Mathematics, Statistics, Microeconomics and Macroeconomics, at an undergraduate level in Economics and Business Administration, are considered as a prerequisite for this course.

Objectives

With respect to the general objectives that the Study Program aims to achieve and the indicated prerequisites, the course wants to give:

SKILLS AND KNOWLEDGE:
- to distinguish financial markets and the main financial instruments
- to mathematically formalize the theory of financial assets
- to define the main indices for measuring financial risk

APPLIED SKILLS AND KNOWLEDGE:
- to model the main financial phenomena
- to value the financial assets
- to hedge financial risk

The required AUTONOMY OF JUDGMENT is finalized:
to express basic critical opinions about financial choices and the measure of financial risk

The required COMMUNICATION SKILLS are finalized:
to use the quantitative language, specific to the discipline, and to develope multidisciplinary communication skills.

Contents

It is a basic course on financial markets, organized as follows:
- bonds and assets
- valuing bonds and assets
- financial return
- loans and mortgages
- the structure of interest rates and interest rate risk
- financial decision making.

Extended Syllabus

- Spots. Zero coupon bonds. Financial indices
- 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: the duration
-Financial Immunization
- Elements of probability calculus
- Unpredictable assets
- The preference relation
- The representation theorem
- The principle of expected utility
- Differential properties of the utility functions.

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

F. Moriconi "Matematica finanziaria", Il Mulino 1995

Aldo Ventre «Decisioni utili» Editori riuniti 2004

Methods of Provision

Conventional

Teaching Methods

The teaching includes 54 hours of lessons, divided into 3 weekly lessons of 3 hours. The course will be carried out through frontal lectures and exercises.
Attendance is strongly recommended.

Evaluation methods

Verification of learning:

The exam is an oral proof, based on the reference books, without differences between attending and not attending students.

Contacts/More Information

All the information and didactical material will be put on e-learning page.
Erasmus students are invited to contact the Professor to have information about the program.

Università degli Studi
"G. d'Annunzio"

Chieti - Pescara

Aree

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