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

To take the exam, you must have previously registered according to the rules and deadlines specified in the ALMAESAMI procedure (https://almaesami.unibo.it/).

Final score grid:

• <=17: insufficient preparation
• 18-23: sufficient preparation and ability to analyze but relating to a limited number of topics covered in the course, use of an overall correct language;
• 24-27: technically adequate preparation but with some limits with respect to the topics covered, good operational skills, even if not particularly articulated, expressed in correct language;
• 28-30: very good knowledge of a large number of topics covered in the course, good operational and critical skills, high-level usage of specific terminology;
• 30L: excellent and very in-depth and exhaustive knowledge of the topics covered in the course, critical analysis and connection skills, very high-level usage of specific terminology.

Teaching tools

exercises

Office hours

See the website of Riccardo Cesari