- Docente: Riccardo Cesari
- Credits: 6
- SSD: STAT-04/A
- Language: Italian
- Teaching Mode: In-person learning (entirely or partially)
- Campus: Forli
- Corso: First cycle degree programme (L) in Economics and business (cod. 6612)
Learning outcomes
The integrated course aims to provide students with a comprehensive understanding of the logic and tools of financial analysis, combining the fundamentals of financial calculation with the fundamentals of the functioning of the financial system. Upon completion of the course, students will be able to apply financial valuation methods under conditions of certainty and uncertainty, understand the role of instruments, markets, and intermediaries in the financial system, and use spreadsheets to implement analytical solutions related to credit and securities transactions, and financial hedging and optimization decisions.
Course contents
1) Basic concepts and capitalization rules
2) The bond market and rates of returns. Classification of financial assets. Current return and return to maturity
3) The term structure of interest rates. Zero-coupon spot, forward, swap rates
4) Risk measures. Duration and convexity. Asset-liability management
5) The theory of choice under uncertainty. Preferences, expected utility, risk aversion, risk premia
6) Financial portfolio and returns. Holding period returns. Time-weighted and money-weighted returns
7) Indexes and benchmarks. Definitions and typologies. Meanings and properties
8) Risk, variability, volatility. Downside risk. Standard deviation
9) Portfolio selection. Correlations. A two-asset portfolio. Markowitz approach and the efficient frontier. Risk aversion and stock investment
10) The Sharpe model. Capital market line. CAPM, beta and systematic risk
11) Active and passive management of portfolios. Fundamental analysis and technical analysis. Top-down and bottom-up approaches
12) The valuation of asset managers. Returns and costs. Risk adjusted performance measures. Market timing, asset picking, portfolio styling
Readings/Bibliography
R. Cesari, Introduzione alla Finanza Matematica: concetti di base, tassi e obbligazioni, McGraw-Hill, II ed., 2012.
R. Cesari, Introduzione alla Finanza Matematica: mercati azionari, rischi e portafogli, McGraw-Hill, II ed., 2012.
Teaching methods
frontal lessons
Assessment methods
written exam with mark 0 - 30 e lode
Teaching tools
classroom exercises
Office hours
See the website of Riccardo Cesari