Università degli Studi di Napoli "Parthenope"

  1. Teaching
  2. ECONOMIA AZIENDALE
  3. MATHEMATICAL MODELS FOR FINANCIAL MARKETS

Stampa

MATHEMATICAL MODELS FOR FINANCIAL MARKETS

Teaching schedule

Academic year: 
2015/2016
Belonging course: 
Course of Bachelor's Degree Programme on ECONOMIA AZIENDALE
Location: 
Napoli
Disciplinary sector: 
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Credits: 
6
Year of study: 
2
Teachers: 
Dott.ssa CORSARO Stefania
Cycle: 
First Semester
Hours of front activity: 
48

Language

Italian

Course description

Knowledge and understanding: students should know the techniques and mathematical tools used for the evaluation of financial contracts.
Applying knowledge and understanding: students should be able to apply the acquired knowledge to evaluate contracts.
Making judgements: students should be able to use the acquired knowledge autonomously, by also applying them to other financial problems.
Communication skills: students should clearly describe the methodologies adopted for solving the exercises in the written exam, and answer in a clear and reasoned way to the questions of the oral exam.
Learning skills: students should be able to show a good learning ability, by widening, for example, their knowledge with use of relevant bibliographic references.

Prerequisites

Contents of Calculus.

Syllabus

The course content can be approximatively split into the following three blocks:
I block (24 hours):
The basic theory of interest: principal and interest. Present value. Present and future values of streams. Simple interest. Continuous compounding.
Fixed-income securities. Rating. Value formulas. Yield.
Basic sources of risk. Interest rate risk. Credit risk. Inflation risk. Foreign exchange risk.
II block (24 hours):
Internal rate of return.
No-arbitrage pricing. Coupon and zero-coupon bonds. Spot and forward rates.
The term structure of interest rates. The yield curve. Par yield. Bootstrapping.
Duration. Immunization. Convexity.

Basics of financial mathematics for the evaluation of financial contracts.

Teaching Methods

The course is organized in classroom lectures and laboratory; laboratory sessions discuss the use of the spreadsheet for financial applications.

Textbooks

Learning assessment

The final exam consists of written part and an an oral part. Students attending the course could take two midterm written exams that could exempt them from the final written part. If the written part (the midterm exams) mark is sufficient, the student will hold the oral part. The mark depends on both the marks of the written part and the oral part.

More information

Mutuazioni