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79041 - Models of Financial and Insurance Risk Management

Academic Year 2020/2021

                
                        Docente:
                        Paolo Foschi
                    
                        Credits:
                        6
                    
                        SSD:
                        SECS-S/06
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Rimini
                        
                            Corso:
                            Second cycle degree programme (LM) in
                            Statistical, Financial and Actuarial Sciences (cod. 8877)

                            Teaching resources on Virtuale

Learning outcomes

At the end of this unit the student knows the basics tools for modeling and managing financial and actuarial risks. More precisely, the sutdent knows how to use and define risk measures, how to define and estimate models for risk management and is able to use the financial instruments to manage and hedge financial risk.

Course contents

- Review of probability and stochastic processes (martingale, diffusions and Itô calculus)

- Classification of financial and actuarial risks.

- Financial product and hedging strategies.

- Risk-neutral pricing theory. The fundamental theorems of asset pricing.

- Forward and future contracts.

- Financial derivatives: european options, american, asian and esotic options.

- Hedging and speculation with options. The greeks.

- Term structure of interest rates. Zero coupon bonds (ZCB), coupon bonds, swap bonds. Spot and forward rates (yields). Libor rates. Forwards on ZCB and forward rate agreements (FRA). European options on ZCB. Caplets and Floorlets. Interest rate swaps (IRS) and swap rates. Forwards on IRS and Swaptions.

Readings/Bibliography

Appunti forniti dal docente.
A. Pascucci and W. Runggaldier, "Finanza matematica. Teoria e problemi per modelli multiperiodali", Springer Unitext.
A. J. McNeil, R. Frey & P. Embrechts, "Quantitative Risk Management: Concepts, Techniques and Tools". Princeton University Press, 2015 (i primi 3 capitoli). Ebook disponibile.
J.C. Hull, "Risk management e istituzioni finanziarie", Luiss University Press, 2013.

Approfondimenti:

P. Christoffersen, "Elements of Financial Risk Management", Academic Press, 2011
R. Cesari, "Introduzione alla finanza matematica. Derivati, prezzi e coperture", Springer 2009.
Musiela Rutkowski. "Martingal Methods in financial mdoelling". Springer. 2005.
D. Lando, Credit Risk Modeling, Theory and Applications. Princeton University Press. 2004.

Teaching methods

Blackboard lessons and exercises. Lab sessions to numerically test pricing models performances.

Assessment methods

- Oral exam with exercises and question regarding all the course topics

Teaching tools

- PC Lab.

- Statistical/mathematical software: R and R-studio.

- Financial databases.

Office hours

See the website of Paolo Foschi