Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2014/2015
Belonging course: 
Course of Bachelor's Degree Programme on STATISTICS AND INFORMATION TECHNOLOGY FOR BUSINESS MANAGEMENT
Location: 
Napoli
Disciplinary sector: 
MATHEMATICAL ANALYSIS (MAT/05)
Credits: 
9
Year of study: 
3
Teachers: 
Cycle: 
First Semester
Hours of front activity: 
72

Language

Course description

Theory and applications of 1)Financial calculus, 2) Term structure of interest rates, 3) Portfolio immunization, 4) Par yield and swaps.

Prerequisites

Linear algebra, calculus, elements of integration.

Syllabus

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.

Teaching Methods

Textbooks

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.

Learning assessment

More information