# Università degli Studi di Napoli "Parthenope"

## Teaching schedule

2019/2020
Partition:
Cognomi A-L
Belonging course:
Course of Bachelor's Degree Programme on ECONOMICS AND BUSINESS
Disciplinary sector:
MATHEMATICAL METHODS OF ECONOMY, FINANCE AND ACTUARIAL SCIENCES (SECS-S/06)
Credits:
6
Year of study:
2
Teachers:
Dott.ssa DONNINI Chiara
Cycle:
Second semester

Italian

### Course description

The aim of the course is to provide students with the basics of financial mathematics for the evaluation of financial contracts.
Knowledge and understanding: students should know the techniques and mathematical tools used for the evaluation of financial contracts.
Applying knowledge and understanding: students should be able to apply the acquired knowledge to evaluate contracts.
Making judgements: students should be able to use the acquired knowledge autonomously, by also applying them to other financial problems.
Communication skills: students should clearly describe the methodologies adopted for solving the exercises in the written exam, and answer in a clear and reasoned way to the questions of the oral exam.
Learning skills: students should be able to show a good learning ability, by widening, for example, their knowledge with use of relevant bibliographic references.

### Prerequisites

Contents of Calculus.

### Syllabus

The basic theory of interest: principal and interest. Present value. Present and future values of streams. Simple interest. Compound interest. Exponential law.
Fixed-income securities. Rating. Value formulas. Yield.
Basic sources of risk. Interest rate risk. Credit risk. Inflation risk. Foreign exchange risk.
Annuities. Loan amortization.
Internal rate of return.
No-arbitrage pricing. Coupon and zero-coupon bonds. Spot and forward rates.
The term structure of interest rates. The yield curve. Par yield. Bootstrapping.
Duration. Convexity.

### Teaching Methods

The course is organized in classroom lectures and laboratory; laboratory sessions discuss the use of the spreadsheet for financial applications.

### Textbooks

E. Castagnoli, M. Cigola, L. Peccati. Financial calculus with applications. Egea, 2013.

### Learning assessment

During the exam, the student must demonstrate that he has acquired theoretical knowledge, passing a multiple choice test consisting of 15 multiple choice questions, and theoretical-practical skills, supporting the performance of exercises with the theoretical motivations regarding the chosen resolution methods. During the test it is not allowed to use books and the use of the calculator.
Both the test and the colloquium evaluation contribute to the final mark.
Due to Covid-19, the exam will be held in the presence or on line depending on the indications of the University.