23491 - Quantitative Methods

Learning outcomes

Basic concepts of asset allocation and financial investments. Ability to collect data, elaborate them, create optimal portfolios for individual investors. Knowledge of basic theories of asset markets and risk management 

Course contents

Part One (Cesari, 2012a)

Basic concepts (Ch. 1)

Coupon bonds (Ch. 2 except 2.4.4, 2.5.4, 2.6.3, 2.7.3, 2.7.4, 2.7.5, 2.9, 2.10)

Term structure of interest rates (Ch. 3 except 3.7.5, 3.8, 3.9.2, 3.9.3)

Measure and mamagement of interest rate risk (Ch. 4 except 4.4, 4.5, 4.6)

Part Two (Cesari, 2012b)

Choice under uncertainty (Cap. 1: par. 1.4.1, 1.4.2, 1.5, 1.6, 1.7, 1.8, 1.10)

Financial portfolios and returns (Cap. 2: par. 2.4)

Indices and benchmarks (Cap. 3: par. 3.1, 3.2, 3.3, 3.5, 3.6, 3.7, 3.8)

Risk, variability, volatility (Cap. 4: par. 4.2, 4.3, 4.4, 4.5, 4.6)

Strategic asset allocation (Cap. 5: par. 5.1, 5.2, 5.3, 5.4, 5.5)

Sharpe's model (Cap. 6: par. 6.1, 6.2, 6.3, 6.4, 6.8)

Appendix

Readings/Bibliography

Cesari, R. (2012 a), Introduzione alla Finanza Matematica: concetti di base, tassi e obbligazioni, McGraw-Hill

Cesari, R. (2012 b), Introduzione alla Finanza Matematica: mercati azionari, rischi e portafogli, McGraw-Hill

Teaching methods

classroom lessons

Assessment methods

written exam

Teaching tools

exercises

Office hours

See the website of Riccardo Cesari