QUANTITATIVE METHODS FOR MANAGEMENT
- Overview
- Assessment methods
- Learning objectives
- Contents
- Bibliography
- Delivery method
- Teaching methods
Basic notions of financial calculus.
Assessment:
Written test with theoretical questions and numerical exercises to verify the knowledges of theoretical models and valuation techniques, dealt with in the course. The test is divided into three parts, each with a total of 10/30 score for a total of 30/30.
The course aims at providing the methodological knowledge and technical skills necessary to evaluate financial asset in a both deterministic and stochastic framework. Using fundamental notion of the Theory of Probability, it will be treated and studied the Fundamental Theorem of evaluation of financial assets in absence of arbitrage opportunity and the pricing models for the main kinds of financial instruments in a risk neutral context. At the end of the course, students are required to be able to apply theoretical model to the valuation of financial assets and to compute payoff and returns of investment strategies.
1. Financial securities: bond, equity and derivative securities
a. Definition and main carachteristics
b. Investment objectives and risk factors
2. Pricing of Financial assets:
a. Bond pricing in a deterministic framework
b. Fundamental Theorem of valutation under uncertainty
c. Black & Scholes formula
d. Forward, Futures, Option and Interest Rates swap pricing
3. Derivative securities: Hedging strategies with derivative securities
4. Fair Value valuation under IAS/IFRS accounting rules: from IAS 39 to IFRS 9
1. Slides provided by the Teacher
2. A textbook of Financial Mathematics for the following topics: discounting laws, spot & forward rates, Net Asset Value.
3. For the definition and carachteristics of financial securities, consider one of the following textbooks
BANFI(a cura di), I mercati e gli strumenti finanziari, Isedi, Torino, 2004
CAPARRELLI F., Economia del mercato mobiliare, McGraw(Hill (Publishing Group Italia), Milano, 2004
FABRIZI P.L., L’economia del mercato mobiliare, Egea, Milano, 2003
4. With respect to the definition, description and pricing of derivative securities, refer to:
Hull - Options, Futures and other derivative securities
Frontal theoretical lessons and exercises. Discussion of case studies.
Borrowed from
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