Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2021/2022
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)
Credits: 
6
Year of study: 
1
Teachers: 
Dott.ssa MARINO ZELDA
Cycle: 
Second semester
Hours of front activity: 
48

Language

Italian

Course description

Objectives of the course:
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.

Expected learning outcomes
Knowledge and understanding: The student must demonstrate knowledge of the techniques and mathematical tools used for the evaluation of financial contracts.
Applying 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.
Making 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: the student should be able to answer in a clear and thorough way to the questions of the oral examination.
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.

Prerequisites

Contents of calculus and Finance. For students lacking 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. (8 hours)
Numerical methods for finance
• Part II: Portfolio selection: mean-variance analysis. The capital asset pricing model. The capital market line. (24 hours)
• Part III: Derivatives: options. Call and put. Binomial trees. (16 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 structured oral examination to evaluate the student's achievement of the learning objectives. During the oral examination the student will have to discuss the elements of software developed during the course. Students should be able to show and illustrate the fundamental concepts acquired during their studies. The oral interview will cover all topics of the program. The vote of the oral examination is expressed in thirty. 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.

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