78355 - QUANTITATIVE FINANCE

Anno Accademico 2021/2022

  • Docente: Fabrizio Lillo
  • Crediti formativi: 6
  • SSD: SECS-S/06
  • Lingua di insegnamento: Inglese
  • Moduli: Fabrizio Lillo (Modulo 1)
  • Modalità didattica: Convenzionale - Lezioni in presenza (Modulo 1)
  • Campus: Rimini
  • Corso: Laurea in Economia del turismo (cod. 8847)

Conoscenze e abilità da conseguire

The purpose of this course is to provide some prerequisites to financial economics. Basics topics such as the term structure of interest rates, bond pricing and stock market functioning will be presented. The basics of securities trading (including trading platforms, market participants and the life-cycle of an order) will be analyzed with quantitative techniques to show whether security markets can be sufficiently good and fast at aggregating many bits of information and using them to price assets. Lab classes will complement the lectures, so that students will be able to work with financial data at the end of the course.

Contenuti

The basic theory of interest: Compounding and discounting: future value and present value, interest and discount factor. Simple interest and compound interes. Nominal and effective annual interest rates.

Annuities: Ordinary annuity and annuity due. The present value and the future value of an annuity. Perpetuities. Discounting of continuous cash flows. Amortization with constant instalments and with constant principal payments. Outstanding principal. Amortization plan. Adjustable-rate loans.

Financial project evaluation under certainty. Discounted Cash Flow (DCF) and Internal Rate of Return (IRR). Annual Percentage Rate.

Bond valuation and yield curve. Term structure of interest rates. Spot rates and forward rates. Yield to maturity. Duration.

Valuation of risky investments. Choice under uncertainty. Mean-variance criterion. Risk and volatility.

Portfolio Theory. Portfolio Selection: Markowitz Model. Two-fund theorem. One-fund theorem and tangency portfolio.

Testi/Bibliografia

D.G. Luenberger, Investment Science, Oxford University Press, 1998.

S.A. Broverman, Mathematics of Investment and Credit (5th edition ), Actex Publications, 2010.

Metodi didattici

Lezioni frontali con lavagna e uso di slides. Inoltre le lezioni sono strutturate in parti teoriche, esempi ed esercitazioni

Modalità di verifica e valutazione dell'apprendimento

Esame scritto con esercizi e domande in cui gli studenti dovranno mostrare di conoscere i metodi quantitativi discussi durante le lezioni e le limitazioni dei modelli usati. 

Strumenti a supporto della didattica

Slides, articoli e altro materiale didattico saranno resi disponibili.

Orario di ricevimento

Consulta il sito web di Fabrizio Lillo

SDGs

Istruzione di qualità Lavoro dignitoso e crescita economica

L'insegnamento contribuisce al perseguimento degli Obiettivi di Sviluppo Sostenibile dell'Agenda 2030 dell'ONU.