QUANTITATIVE METHODS FOR FINANCE

Single discipline educational activity

Course Sheet

Course code:

MEFI19

Academic Year of enrolment:

2021

Year of supply:

2021/2022

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 Mathematics, Statistics, Microeconomics and Macroeconomics, at an undergraduate level, 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:
- distinguishes financial markets and the main financial instruments
- mathematically formalizes the theory of financial assets
- knows the main indices for measuring financial risk

skills and knowledge (applied):
- models the main financial phenomena
- values the financial assets
- hedges financial risk

AUTONOMY OF JUDGMENT:
expresses basic critical opinions about financial choices and the measure of financial risk
COMMUNICATION SKILLS:
uses the quantitative language, specific to the discipline, and develops 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
- 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
- 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

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 total exam consists of a 90-minute written test and a subsequent 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).
The proofs start from 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