Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2015/2016
Belonging course: 
Course of Bachelor's Degree Programme on ECONOMICS AND BUSINESS
Location: 
Napoli
Disciplinary sector: 
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Credits: 
9
Year of study: 
3
Teachers: 
Cycle: 
Second semester
Hours of front activity: 
72

Language

Italian

Course description

Learning objectives: the aim of the course is to provide students with a base of knowledge of the formalization and pricing of financial contracts and risk management; to introduce students to the valuation models of price and risk of contracts and portfolios; to provide criteria for choosing between different value-risk positions.

Knowledge and understanding: the student should know and understand the main issues related to the evaluation of financial contracts, in particular bonds and loans, the definition of contracts value in capital market, the construction of the term structure of interest rates, the applications of financial instruments in business valuation.

Applying knowledge and understanding: the student should be able to apply the results of financial mathematics to the evaluation of contracts, to design the mathematical algorithms implementing financial models, to apply the acquired knowledge to evaluation schemes of banks, insurances and industries.

Making judgments: the student should be able to use autonomously the acquired knowledge to solve economic and financial problems.

Communication: the student is expected to give clear and in-depth answers to the questions of the written exam and to the ones of the oral exam. The student should be able to communicate using financial and mathematical language and instruments.

Lifelong learning skills: the student should be able to show a good learning ability, by widening, for example, his/her knowledge with use of relevant bibliographic references. The student will have the opportunity to apply the knowledge gained in previous courses integrating them with the additional professional skills that characterize the course.

Prerequisites

General knowledge of Calculus acquired in previous courses, in particular functions, limits, continuity and differentiability of real-valued functions of a single variable, derivatives, graphing, functions of several variables: partial derivatives, linear algebra problems, solution of non-linear equations, integrals: analytical and computational techniques.

Syllabus

(The references in brackets concerning the book of G. Castellani, M. De
Felice, F. Moriconi)
Part I Money, time and risk
- Temporal structure of money exchange, capital and interest (chap. 1)
- Contracts, prices, trading (chap. 2)
- Financial risks(chap. 3, except par. 3.3 and 3.5)
Part II Valuation under certainty
- Compound interest and its generalization to the exponential growth model (chap. 4, par. 4.1-4.3)
- Loans amortization (chap. 5, par. 5.1, 5.2.1, 5.5.1, 5.5.2)
- Internal rate of return (chap. 6, except par. 6.3 and 6.4)
- Rules of financial equivalence (chap. 7, par. 7.1, 7.2, 7.4.1, 7.5, 7.6 except 7.61. and 7.6.2)
Part III Market evaluation of contracts
- Value function and market price (chap. 8)
- Term structure of interest rates (chap. 9, except par. 9.5)
- Measures of timing and sensitivity (chap. 10, except par. 10.1.8 and 10.2.6)
- Valuation methods of the term structure of interest rates (chap. 11, par. 11.2.1, 11.2.2, 11.4)
- No-arbitrage valuation of index contracts (chap. 12, except par. 12.5)

• Part I Money, time and risk (16 hours)
- Temporal structure of money exchange, capital and interest
- Contracts, prices, trading
- Financial risks
• Part II Valuation under certainty (16 hours)
- Compound interest and its generalization to the exponential growth model
- Loans amortization
- Internal rate of return
- Rules of financial equivalence
• Part III Market evaluation of contracts (40 hours)
- Value function and market price
- Term structure of interest rates
- Measures of timing and sensitivity
- Valuation methods of the term structure of interest rates
- No-arbitrage valuation of index contracts
Full program
(The references in brackets concerning the book of G. Castellani, M. De
Felice, F. Moriconi)
Part I Money, time and risk
- Temporal structure of money exchange, capital and interest (chap. 1)
- Contracts, prices, trading (chap. 2)
- Financial risks(chap. 3, except par. 3.3 and 3.5)
Part II Valuation under certainty
- Compound interest and its generalization to the exponential growth model (chap. 4, par. 4.1-4.3)
- Loans amortization (chap. 5, par. 5.1, 5.2.1, 5.5.1, 5.5.2)
- Internal rate of return (chap. 6, except par. 6.3 and 6.4)
- Rules of financial equivalence (chap. 7, par. 7.1, 7.2, 7.4.1, 7.5, 7.6 except 7.61. and 7.6.2)
Part III Market evaluation of contracts
- Value function and market price (chap. 8)
- Term structure of interest rates (chap. 9, except par. 9.5)
- Measures of timing and sensitivity (chap. 10, except par. 10.1.8 and 10.2.6)
- Valuation methods of the term structure of interest rates (chap. 11, par. 11.2.1, 11.2.2, 11.4)
- No-arbitrage valuation of index contracts (chap. 12, except par. 12.5)

Teaching Methods

Frontal lections. Lab activities to develop Excel-based software procedures to solve financial problems. Students can practice and consolidate their language skills on the dedicated section on the Moodle E-learning of the University “Parthenope”.

Textbooks

G. Castellani, M. De Felice, F. Moriconi – Manuale di finanza I. Tassi d’interesse. Mutui e obbligazioni – il Mulino editore.
J.C. Hull - Options, futures and other derivatives.

Learning assessment

The students must take a written examination, of about 90 minutes, on the resolution of problems related to the evaluation of financial contracts and
the construction of term structures, and an oral examination to verify the acquired knowledge and understanding and the ability of the student to apply the knowledge.

More information

The course is loaded between the courses of "Economics and Commerce" on the E-learning platform at the Parthenope University and the relative academic year is specified.