# 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:
3
Teachers:
Dott.ssa MARINO ZELDA
Cycle:
First Semester
Hours of front activity:
48

Italian

### Course description

the aim of the course is to provide students with a base of knowledge of the formalization and pricing of financial contracts
and risk management; to introduce students to the valuation models of price and risk of contracts and portfolios; to provide criteria for choosing between different value-risk positions.

Expected learning outcomes
Knowledge and understanding: the student should know and understand the main issues related to the evaluation of financial contracts, in particular bonds and loans, the definition of contracts value in capital market, the construction of the term structure of interest rates, the applications of financial instruments in business valuation.
Applying knowledge and understanding: the student should be able to apply the results of financial mathematics to the evaluation of contracts, to design the mathematical algorithms implementing financial models, to apply the acquired knowledge to evaluation schemes of banks, insurances and industries.
Making judgements: the student should be able to use autonomously the acquired knowledge to solve economic and financial problems.
Communication: the student is expected to give clear and in-depth answers to the questions of the written exam and to the ones of the oral exam. The student should be able to communicate using financial and mathematical language and instruments.
Lifelong 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. The student will have the opportunity to apply the knowledge gained in previous courses integrating them with the additional professional skills that characterize the course.

### Prerequisites

General knowledge of Calculus acquired in previous courses, in particular functions, limits, continuity and differentiability of real-valued functions of a single variable, derivatives, graphing, functions of several variables: partial derivatives, linear algebra problems, solution of non-linear equations, integrals: analytical and computational techniques

### Syllabus

Part I Money, time and risk
 Temporal structure of money exchange, capital and interest (chap. 1)
 Contracts, prices, trading (chap. 2)
 Financial risks (chap. 3, except par. 3.3 and 3.5)
Part II Valuation under certainty
 Compound interest and its generalization to the exponential growth model (chap. 4, par. 4.1-4.3)
 Loans amortization (chap. 5, par. 5.1, 5.2.1, 5.5.1, 5.5.2)
 Internal rate of return (chap. 6, except par. 6.3 and 6.4)
 Rules of financial equivalence (chap. 7, par. 7.1, 7.2, 7.4.1, 7.5, 7.6 except 7.61. and 7.6.2)
Part III Market evaluation of contracts
Value function and market price (chap. 8)
Term structure of interest rates (chap. 9, except par. 9.5)
Measures of timing and sensitivity (chap. 10, except par. 10.1.8 and 10.2.6)
Valuation methods of the term structure of interest rates (chap. 11, par. 11.2.1, 11.2.2, 11.4)

Part I Money, time and risk
 Temporal structure of money exchange, capital and interest (chap. 1)
 Contracts, prices, trading (chap. 2)
 Financial risks (chap. 3, except par. 3.3 and 3.5)
Part II Valuation under certainty
 Compound interest and its generalization to the exponential growth model (chap. 4, par. 4.1-4.3)
 Loans amortization (chap. 5, par. 5.1, 5.2.1, 5.5.1, 5.5.2)
 Internal rate of return (chap. 6, except par. 6.3 and 6.4)
 Rules of financial equivalence (chap. 7, par. 7.1, 7.2, 7.4.1, 7.5, 7.6 except 7.61. and 7.6.2)
Part III Market evaluation of contracts
Value function and market price (chap. 8)
Term structure of interest rates (chap. 9, except par. 9.5)
Measures of timing and sensitivity (chap. 10, except par. 10.1.8 and 10.2.6)
Valuation methods of the term structure of interest rates (chap. 11, par. 11.2.1, 11.2.2, 11.4)

### Teaching Methods

Frontal lections. Lab activities to develop Excel-based software procedures to solve financial problems. Students can practice and consolidate their language skills on the dedicated section on the Moodle E-learning of the University “Parthenope”.

### Textbooks

G. Castellani, M. De Felice, F. Moriconi – Manuale di finanza I. Tassi d’interesse. Mutui e obbligazioni – il Mulino editore

### Learning assessment

The test is based on a written test and an oral test structured in order to evaluate the achievement by the student of the educational objectives.
The written test consists of ten questions, nine multiple choice and one open answer, and two exercises. Each multiple question is assigned a score of 1 in the case of a correct answer and a score of 0 in the case of an incorrect or no answer. The open question is assigned a maximum score of 5. The two exercises are assigned an overall maximum score of 16.
The duration of the written examination is 1 hour and 15 minutes. The use of notes or texts relevant to the preparation, or computer media (such as smartphones, tablets, PCs, etc.) is not allowed during the test.
The written test is considered to have been passed with a minimum score of 18. The grade assigned to the oral interview is expressed out of thirty and averages with that of the written test (with equal weighting) for the purposes of the final grade.
The teacher can propose a mid-term and a final written examination during the course. The tests will be held one halfway through the semester and one at the end. The exams will be structured in a similar way to the written exam. The final grade will be determined as the average of the votes of the two tests.