FINANCIAL MATHEMATICS
- Overview
- Assessment methods
- Learning objectives
- Contents
- Full programme
- Delivery method
- Teaching methods
- Contacts/Info
Basic notions of financial mathematics are desirable. There are no pre-requisites.
At the end of the course, the teacher will assign students 3 case studies, relating to the main topics covered in the frontal lessons.
The exam is oral: the student will have to discuss the conduct of the case studies, illustrating the analyses and calculations carried out.
The evaluation wil be based on: the ability to contextualize the models and methodologies learned; the quality of the exposure, including the ownership of the specialist language; depth of analysis and critical reasoning.
The mark is cast in thirtieth. The exam will be considered to be passed by a minimum vote of 18/30. The committee reserves the right to award honour in case of exhaustive responses that demonstrate high analytical skills and critical sense.
The oral interview will last about 1 hour.
TRAINING GOALS
The goals of teaching are:
- to obtain methodological knowledge and quantitative tools for assessing financial assets in uncertain conditions. Using some basic notions of probabilistic calculus, we will describe the fundamental valuation Theorem and analyze the pricing models of the main types of financial instruments.
- to provide the student with quantitative tools for portfolio management, valuation of financial investment performance and risk control (both ex-ante and ex-post).
EXPECTED LEARNING RESULTS
At the end of the course, students will be able to
- apply pricing models to evaluate financial assets
- solve portfolio allocation problems
- calculate performance and (ex.post and ex-ante) risk indicators and risk-adjusted performance indicators of asset portfolios
- make the performance attribution.
1. Financial securities: bond, equity and financial derivative securities:
a. Definition and main features.
b. Investment objectives and risk factors.
2. The pricing of financial assets:
a. Fundamental theorem of valuation
b. Markovian stochastic processes and Ito’s Lemma
c. Pricing of financial derivative securities
3. Portfolio management:
a. Asset allocation models: objectives and constraints
b. Risk indicators (ex post and ex-ante): Volatility, VaR, VTE, beta coefficient
c. Indicatori di Risk adjusted performance (Indice di Sharpe, Indice di Sortino, Tracking Error e Tracking Error Volatility, ecc.)
d. Capital Asset Pricing Model and Jensen-alfa
e. Performance attribution (one-period model)
Documentation provided by the teacher and available on the e-learning page of the Course.
Teaching is divided into:
1. Frontal lessons to explain theory and correlated numerical examples. The frontal lessons allow direct interaction with the students, thus allowing to verify the understanding of the topics covered and clarify any doubts that have arisen during the explanations of the teacher.
2. Practical applications / case studies. At the end of the theoretical presentation of each topic, business cases will be described in which the theoretical models apply. The aim is to explain to students how to set up and solve concrete problems, using theory. Case studies will be carried out with the support of teacher-preset excel files, in which students will learn how to organize data and information, set calculations in a parametric manner, and perform sensitivity analysis.
The teacher meets the students at the reception time available on the University's website or on line via Teams