Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2018/2019
Belonging course: 
Course of Master's Degree Programme on QUANTITATIVE METHODS FOR ECONOMIC AND FINANCIAL EVALUATIONS
Disciplinary sector: 
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Language: 
Italian
Credits: 
9
Year of study: 
1
Teachers: 
Dott.ssa MARINO Zelda
Cycle: 
Second semester
Hours of front activity: 
72

Language

Italian

Course description

The aim of the course is to provide students with the basic of data and algorithms currently used in finance and with the numerical methods realize financial models or systems.
Knowledge and understanding: The student must demonstrate knowledge of the techniques and mathematical tools used for the evaluation of financial contracts.
Ability to apply knowledge and understanding: The student should be able to apply the acquired knowledge to contracts evaluation problems and to be able to implement pricing models using the studied software tools.
Autonomy of judgements: the student should be able to use the acquired knowledge also in an autonomous way, by also applying them to other financial problems.
Communication skills: the student should be able to answer in a clear and thorough way to the questions of the oral examination.
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.

Prerequisites

Contents of calculus and Finance. For students lacking the these prerequisites, an integration including a relevant bibliographic references will be provided.

Syllabus

Software
• Part I: Programming with R: vectors, matrices and arrays, functions, flow control and loops, packages. (12 hours)
Numerical methods for finance
• Part II: The term structure of interest rates. The yield curve. The term structure. Forward Rates. Par yield. Parametric models. (20 hours)
• Part III: Portfolio selection: mean-variance analysis. The capital asset pricing model. The capital market line. (20 hours)
• Part IV: Derivatives: options. Call and put. Binomial trees. Black and Scholes model. Monte Carlo methods. (20 hours)

Teaching Methods

During the lessons the issues mentioned in the study program will be discussed and presented. Additional didactic and support material is made available through the e-learning online platform Moodle, where slides presentation used at lesson can be found, together with additional material for deepening a number of thematic issues.

Textbooks

• The main readings will be suggested at the beginning of the course.
• J.C. Hull, Option, futures and other derivatives – Pearson
• P. Bradimarte - Numerical Methods in Finance. A Matlab Based Introduction – John Wiley & Sons
• D. J. Higham, An Introduction to Financial Option Valuation, Cambridge University Press

Learning assessment

The assessment is based on a computer test and a structured oral examination to evaluate the student's achievement of the learning objectives. Computer test consists in developing a program for evaluating a financial contract using R software and the programs developed during the course. Students should be able to show and illustrate the fundamental concepts acquired during their studies. The time allocated for completion of the test is 1 hour and 30 minutes. During the test, the use of material provided by the teacher during the course and books is permitted. The computer test will be evaluated in thirty.
If the laboratory test has a valuation bigger than 18/30, the student will hold an oral interview to evaluate the preparation on all topics covered by the program. The vote of the oral examination is expressed in thirty and is averaged with the vote of the computer test (equally weighted) for the purposes of the final vote. The laude can be assigned is the student shows, that he or she is able, in the answers, to deepen the topics dealt with beyond what is stated in the reference texts and the materials presented in the lesson.

More information

The teaching material is accessible in e-learning mode at the link http://e-economiaegiurisprudenza.uniparthenope.it/moodle/

Student will be assisted on Tuesday, 10 am, room 430, palazzo Pacanowski.