METODI QUANTITATIVI PER LA FINANZA D'IMPRESA
The course aims at providing general and issue-specific knowledge of basic financial calculus and pricing models for bonds . The emphasis is on finite time models without uncertainty. Firstly, necessary mathematical tools for financial calculus are introduced. Then, bonds pricing, the term structure of interest rates and its computation are studied. Finally, Portfolio immunization theory is presented.
Expected learning outcomes
Knowledge and understanding: the student should be able to understand the themes and problems related to the theory of financial calculus and the term structure.
Applying knowledge and understanding: the student should be able to apply the acquired knowledge to concrete problems in specific models. To this purpose, the teacher will illustrate some different examples and specific cases during the lessons; for non-attending students, assistance time will be provided.
Making judgements: the student should be able to use the acquired knowledge also in an autonomous way, by also applying them to specific issues and problems that are more general or different with respect to those illustrated by the teacher.
Communication: the student should be able to answer in a clear and detailed way to the questions of the written examination and to those of the oral examination.
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.
Some basic knowledge of mathematics, previously acquired by the students in basic courses of their undergraduate program: Linear algebra, calculus, elements of integration.
Module I: Financial calculus: Simple interest, compound interest. Present and future value of cash flow streams. Internal rate of return. 24 hours
Module II: The term structure of interest rates: linear pricing, implied forward rates, yield curve and term structure.24 hours.
Module III:Immunization. Duration and convexity, Fisher-Weil theorem, Redington theorem. 12 hours
Module IV: Interest rate cash flows, par yield, Bootstrapping, interest rate swaps. 12 hours
During the lessons the issues mentioned in the study program will be discussed and presented together with applications and examples. Additional teaching and support material is made available through the e-learning online platform Moodle, where notes of the course as well as additional exercises solved and explained in detail.
1) Notes of the teacher.
2) Castellani, De Felice, Moriconi. "Manuale di Finanza, vol 1". Il Mulino
3) D. Luenberger, Investment Science, Oxford University Press.
The assessment is based on a written and an oral examination. The written examination consists in the resolution of 3/4 problems/exercises in 1 hour and 30 minutes. The questions are composed in order to evaluate the actual achievement of the objectives on part the students, but, at the same time, the reasoning ability and the capability to apply the theoretical lessons received. The oral examination has the purpose to evaluate the depth in understanding general theoretical knowledge. In their answers the students should be able to clearly show and illustrate the fundamental concepts acquired during their studies.
The oral and written examinations have identical weights in the final mark.