- Docente: Rossella Agliardi
- Credits: 8
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Rimini
- Corso: First cycle degree programme (L) in Business Economics (cod. 8848)
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from Sep 16, 2024 to Dec 03, 2024
Learning outcomes
The aim of the course is to provide the fundamentals of Mathematical Finance. In particular, students will be able to understand and evaluate some financial contracts that are usually faced in business management. Some simple stategies for risk control and diversification will be presented
Course contents
Basic principles of financial mathematics: simple/commercial convention versus compound/instantaneous ones. Annuities. Perpetuities. Debt amortization. Evaluation of a generic financial transaction: NPV, IRR.
Fixed income market:term structure of interest rate, spot rates, forward rates, yield-to-maturity, duration. Complete and incomplete markets.
Valuation of risky investments. Expected utility. Stochastic dominance. Mean-variance. Risk and volatility. Value-at-Risk. Markowitz model for portfolio allocation. Capital Asset Pricing Model (CAPM).
Readings/Bibliography
F. Cacciafesta, Lezioni di matematica finanziaria classica e moderna, Ed. Giappichelli Torino
Other suggested textbook:
L. Barzanti, A. Pezzi. Matematiica finanziaria. Manuale operativo con applicazioni in Excel. Esculapio Ed.
Teaching methods
Lectures and exercises. Each topic is presented along with several examples and exercises. Some additional exercises will be discussed during the tutorial classes which are strongly recommended.
Assessment methods
Written exam (duration 90 minutes) consisting of short exercises and one or two more complex problems. Please note that the relevant topics will be always proposed in the written exam.
The first call will consist of two separate written exams, each counting for 50% of the final assessment.
The use of textbooks, personal notes and other printed notes is allowed; tablets and cell-phones are not allowed. Do not forget to bring a calculating machine.
Further information on the exam will be provided during the first lecture of each module.
Teaching tools
Slides. A list of exercises and some Excel speadsheets will be made available.
Office hours
See the website of Rossella Agliardi
SDGs
This teaching activity contributes to the achievement of the Sustainable Development Goals of the UN 2030 Agenda.