QUANTITATIVE METHODS FOR BUSINESS MANAGEMENT
Theory and applications of 1)Financial calculus, 2) Term structure of interest rates, 3) Portfolio immunization, 4) Par yield and swaps.
Linear algebra, calculus, elements of integration.
1) Financial calculus: Simple interest, compound interest. Present and future value of cash flow streams. Internal rate of return. 2) The term structure of interest rates: linear pricing, implied forward rates, yield curve and term structure. 3) Immunization. Duration and convexity, Fisher-Weil theorem, Redington theorem. 4) Interest rate cash flows, par yield, Bootstrapping, interest rate swaps.
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.