- Docente: Umberto Cherubini
- Credits: 8
- SSD: SECS-S/06
- Language: English
- Teaching Mode: Traditional lectures
- Campus: Bologna
- Corso: First cycle degree programme (L) in Economics and Finance (cod. 8835)
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from Sep 20, 2023 to Dec 14, 2023
Learning outcomes
The aim of the course is to provide the mathematics of the fundamental laws governing financial contracts. In particular, the course covers the different types of interest to compute present and accumulated values for different streams of cash flows. Applications include annuities, debt retirement methods, mortgages, bond and stock pricing, capital budgeting and the valuation of contingent claims.
Course contents
- Description of financial products: cash-flows, coupons, amortizing schedules.
- Compounding and discount operations. Returns and interest rates.
- Annuities and amortizing schedules
- Forward rates and floating rate notes
- Swap contracts and swap rates
- Bond and swap markets: term structure analysis
- Duration and convexity
- Investing and funding at floating and fixed rates
- Immunization theorems
- Spreads (Z-spread and Asset Swap Spread)
- Default intensity and CDS
- Introduction to options
- Option pricing: the binomial model
- Option pricing: the risk-neutral measure price
- Introduction to the continuous time model
- The Black and Scholes model
- Implied volatility and VIX
- Introduction to APT (arbitrage pricing theory)
- Introduction to portfolio theory: mean-variance analysis
- Fund separation theorems and management
Readings/Bibliography
Lecture notes and selected readings.
Teaching methods
Lectures
Assessment methods
The assessment will consist of a written exam with:
1. A set of questions with multiple answers covering all the material in the course.
2. A specific problem to be discussed or solved.
Oral examination can be requested by, in which case the grade could be raised or decreased depending on the performance. The object of the oral examination will not be limited to the topic addressed in the written exam, but will extend to all the material covered during the course.
The maximum possible score is 30 cum laude.
The grades are described as follows
< 18 failed
18-23 sufficient
24-27 good
28-30 very good
30 cum laude Excellent
Teaching tools
Exercises in Excel VBA and (very introductory) Python
Office hours
See the website of Umberto Cherubini