QUANTITATIVE METHODS FOR MANAGEMENT
- 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.
Written test consisting of theoretical questions and numerical exercises to verify the learning of the models and evaluation techniques covered in the course.
The written test consists of three exercises, each divided as follows:
A question of theory with an open answer. The evaluation is based on: the correctness and completeness of the response, the depth of the analysis, the quality of the exposure and the expertise in the use of the specialist language.
Two numerical questions. In addition to the correctness of the results, the evaluation takes into consideration the explanations of the logical and numerical steps carried out and the comment on the results obtained.
The written test lasts 90 minutes.
Each exercise is valued at up to 10/30 for a maximum of 30/30. The answer to the question of theory is evaluated up to a maximum of 3 points. The resolution of numerical questions up to a maximum of 3.5 each.
The exam is considered passed if the overall assessment of the exercises is greater than or equal to 18/30. Depending on the completeness and depth of the answers, honour can be awarded.
It is possible, at the request of the student, to support an additional oral with a maximum rating of 2 points.
TRAINING GOALS
The goal of teaching is to obtain methodological knowledge and quantitative tools for assessing financial assets in uncertain conditions. Using some basics of financial mathematics and probability calculus, we will describe the pricing models of the main types of financial instruments (bonds, equities, derivative financial instruments).
EXPECTED LEARNING RESULTS
At the end of the course students will be able to:
1. apply theoretical models to assess the main types of financial securities.
2. evaluate pay offs and returns on investment strategies
Financial securities: bonds, equities and derivative securities:
1. Definition and properties
2. Investment objectives and risk factors.
Pricing of financial assets:
1. Pricing of bonds in a deterministic environment
2. Fundamental valuation theorem in uncertain conditions
3. Black – Scholes Formula
4. Pricing of Forward, Futures, Options and Interest Rate Swap
Hedging strategies with derivative securities (Forward, Futures, Options and Interest Rate Swap)
Accounting rules: Valuation of financial assets according to the accounting principle IFRS 9.
BIBLIOGRAPHY:
Documentation provided by the teacher and available on the e-learning page of the Course.
A Text of Financial Mathematics - at the choice of the student - for the part related to capitalization factors, spot and forward rates, calculation of the present value.
For the definitions and characteristics of financial instruments, refer to one of the following texts:
1. BANFI(edited by), Markets and Financial Instruments, Isedi, Turin, 2004
2. CAPARRELLI F., Securities Economy, McGraw (Publishing Group Italy), Milan, 2004
3. FABRIZI P.L., The Economy of the Securities Market, Aegean, Milan, 2003
For the part of the course on derivative securities and hedging strategies:
Hull - Options, Futures and other derivatives
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 are applied. 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 receives the students at the reception time available on the University's website or on line via Teams.