- Docente: Silvia Romagnoli
- Crediti formativi: 8
- SSD: SECS-S/06
- Lingua di insegnamento: Inglese
- Moduli: Silvia Romagnoli (Modulo 1) Gian Luca Tassinari (Modulo 2)
- Modalità didattica: Convenzionale - Lezioni in presenza (Modulo 1) Convenzionale - Lezioni in presenza (Modulo 2)
- Campus: Bologna
- Corso: Laurea in Economics and finance /economia e finanza (cod. 8835)
Conoscenze e abilità da conseguire
The aim of the course is to provide the mathematics of the fundamental laws governing Financial contracts as for example loan's amortization and sinking fund prospects. Particular attention will be adressed to bond market and to the valuation of risks coming from a shift of the term structure of interest rates. Immunization arguments will be proposed such that at the end of the course students will be able to discuss the Financial impact of a parameter variation and to compare alternative hedging strategies. Among these they will score the advantagies provided by index liked products and credit derivatives in risk management process.
Contenuti
Testi/Bibliografia
Romagnoli S., Mathematical Finance- Theory, 2019, Esculapio
Romagnoli S., Mathematical Finance-Practice, 2019, Esculapio
Jansen J., Manca R., Volpe E., Mathematical Finance: Deterministic and Stochastic models, 2009, Wiley
Metodi didattici
Theoretical lessons will be support by applied examples of discussed models to incite students to find themselves the explicit solutions of the theoretical problems applying the correct mathematical instruments.
Modalità di verifica e valutazione dell'apprendimento
The learning test consists in a written exam to solve in 2 hours and concerning the different modules.
The exam is mainly composed by many exercises and applied theoretical questions. It is attributed on average 2/3 points both to each exercise and theoretical question.
During the exam it is permitted to use the calculator and to consult books. 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. The final grade will be the average of the oral and the witten exam's grade of the two modules.
The final grade is recorded only if approved by the student.
Strumenti a supporto della didattica
Teaching tools will be blackboard and slides.
Orario di ricevimento
Consulta il sito web di Silvia Romagnoli
Consulta il sito web di Gian Luca Tassinari
SDGs
L'insegnamento contribuisce al perseguimento degli Obiettivi di Sviluppo Sostenibile dell'Agenda 2030 dell'ONU.