- Docente: Paolo Foschi
- Credits: 8
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Rimini
- Corso: First cycle degree programme (L) in Finance, Insurance and Business (cod. 8872)
Learning outcomes
At the end of this course, the student can manage the basics on financial capitalization and actualization regimes. More specifically, the student will be able to handle contracts involving money transactions and to manage different cash flow strategies.
Course contents
Theory of Interest. Simple, Compound and Continuous Interest Rates. Present and Future Values of cash flow streams.
Rendite e ammortamenti. Present and Future values of Annuities. Perpetuities (or consols). Continuous cash flows. Loan calculations,Running amortization, annual worth.
Yields. Coupon bond. Yield to maturity. Internal Rate of Return (Net and Gross). Duration and Modified Duration.
Bonds and Term structure of interest rates. Spot and forward rates. Term structure. Yield to maturity. Duration. Forward contracts. IRS and swap rates. Bootstrapping the forward curve.
Uncertainty, risk and choices. Uncertainty and risk. Preferences. The Von-Neuman and Morgenstein setup, Expected utility, Risk-aversion. Worst-case and Minimal Regret preferences. Mean variance criterion. Volatility, Value at Risk and other risk-measures.
Portfolio Theory. Markowitz mean-variance portfolio theory. The two-fund theorem. Capital Asset Pricing Model (CAPM).
Readings/Bibliography
D. Luenberger. Investment Science. Oxford University Press, 1998.
Assessment methods
Written test with exercises.
Teaching tools
Lessons using Blackboard and slides. Exercises. Computer experiments and examples using market quotations.
Office hours
See the website of Paolo Foschi