Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2017/2018
Belonging course: 
Disciplinary sector: 
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Language: 
Italian
Credits: 
6
Year of study: 
2
Teachers: 
Dott.ssa DONNINI Chiara
Cycle: 
Second semester
Hours of front activity: 
48

Language

Italian

Course description

The aim of the course is to provide knowledge of financial mathematics and the most suitable techniques for portfolio choice and evaluation of prices.

Knowledge and understanding: The student should be able to demonstrate knowledge of mathematical tools for evaluating the asset price in the absence and in the presence of arbitrage, for the construction of efficient portfolios.

Applying knowledge and understanding: The student has to be able to choose and apply mathematical tools to solve problems in financial mathematics.

Making judgments: The student has to develop a critical ability to evaluate the usefulness of the acquired knowledge and the application to the solution of economic and financial problems.

Communication: The student has to be able to answer the oral test questions, showing his ability to express and formalize mathematical-financial concepts. He\She has to be able to explain the techniques learned to solve the questions of the written exam.

Lifelong learning skills: The student has to be able to use mathematical concepts, procedures and tools to describe, explain and predict economic and financial phenomena.

Prerequisites

The course includes frontal lessons, during which the themes of the program are discussed, and exercises in attendance.

Syllabus

Asset returns, random returns, Portfolio mean and variance, the feasible set, the Markowitz Model, The Two-Fund Theorem, inclusion of a risk-free asset, The One-Fund Theorem, Market equilibrium, The Capital Market Line, The Pricing Model, The Security Market Line, CAPM as a pricing formula, Arbitrage Pricing Theory, APT and CAPM.

Mean-Variance Portfolio Theory, The Markowitz Model, The Capital Asset Pricing Model, The Arbitrage Pricing Theory.

I Block:
Asset returns, random returns, Portfolio mean and variance, the feasible set (12 hours)

II Block:
The Markowitz Model, The Two-Fund Theorem, inclusion of a risk-free asset, The One-Fund Theorem. (12 hours)

III Block:
Market equilibrium, The Capital Market Line, The Pricing Model, The Security Market Line, CAPM as a pricing formula. (12 hours)

IV Block:
Arbitrage Pricing Theory, APT and CAPM. (12 hours)

Teaching Methods

The course includes frontal lessons, during which the themes of the program are discussed, and exercises in attendance.

Textbooks

DAVID G. LUENBERGER, Investment Science, Oxford University Press

Learning assessment

The assessment is based on written examination and an oral interview. The written test is composed of exercises in order to assess the achievement by the student of the learning objectives. The oral exam focuses on the theoretical topics dealt with during the course and it is designed to evaluate the student's ability to express and formalize financial concepts. The vote of the examination is expressed in scale from 0 to 30, and it is results of written and oral examination.

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