# Università degli Studi di Napoli "Parthenope"  ## Teaching schedule

2019/2020
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 GIOIA Federica
Cycle:
Second semester
Hours of front activity:
48

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 mathematicalfinancial
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 basic knowledge of mathematics and the most suitable calculation techniques to address the application of mathematics to economics, finance and statistics.

### 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.