84553 - FINANCIAL MATHEMATICS

Conoscenze e abilità da conseguire

The aim of the course is to provide the mathematics of the fundamental laws governing financial contracts. In particular, the course covers the different types of interest to compute present and accumulated values for different streams of cash flows. Applications include annuities, debt retirement methods, mortgages, bond and stock pricing, capital budgeting and the valuation of contingent claims.

Contenuti

Basic principles of financial math: simple/commercial convention versus compound/istantaneous ones. 

Loan repayment schedules: annuities and perpetuities.

Project appraisal and investment performance:NPV and IRR

Fixed income market:the valuation of securities, zero coupon bonds and fixed/indexed coupon bonds. 

Term structures of interest rates, Spot and forward rates, Duration and Immunization.

Testi/Bibliografia

S.J Garrett; An inntroduction to the Mathematics of Finance, A deterministic approach, B-H Elsevier 

 

Alternatively:

Romagnoli S., Mathematical Finance- Theory, 2019, Esculapio

Romagnoli S., Mathematical Finance-Practice, 2019, Esculapio

Metodi didattici

Theoretical lessons will be support by applied examples

Modalità di verifica e valutazione dell'apprendimento

The learning test consists in a written exam to solve in 1,5 hours.

The exam can be divided in two midterms. The final grade is a weight of the two marks.

The exam is mainly composed by many exercises.  

During the exam it is permitted to use the calculator

The students pass the exam with a score not lower than 18 points.

The students can ask also for an oral exam about all the programme of the course in order to improve the final mark.

Strumenti a supporto della didattica

Teaching tools will be blackboards then loaded on virtual space and exercises sessions by tutor.

 

Orario di ricevimento

Consulta il sito web di Natascia Angelini