- Docente: Silvia Romagnoli
- Credits: 9
- SSD: SECS-S/06
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Business and Economics (cod. 8407)
Learning outcomes
At the end of the course the student knows the mathematics of modern business and finance understanding the main topics, namely interest, discount, annuities, bond valuation in a no arbitrage setting. Moreover the concept and the mesurement of risk will be analyzed and Markowitz portfolio optimization and the Capital Asset Pricing Model will be derived. The analysis is placed on the issue of the implemetation all financial calculus and risk management models with MatLab code.
Course contents
- Simple and Compound interest and discount
- Annuities certain
- Sinking funds and amortization
- Constitution of a capital
- Valuation of bonds in a no-arbitrage setting
- Term structure of interest rates
- Valuation of index-linked bonds: floater, reverse floater and swap
- The concept of risk: basic principles of immunization
- Portfolio management: Markowitz portfolio optimization and
CAPM
Readings/Bibliography
- C.H.Richardson and I.L.Miller, Financial mathematics, Van Nostrand Company NY
- M.Capinski and T.Zastawniak, Mathematics for Finance,
Springer
Assessment methods
Obligatory written exam: exercices and theoretical questions.
Optional oral exam.
Office hours
See the website of Silvia Romagnoli