Academic Year 2018/2019
- Docente: Patrizia Agati
- Credits: 14
- SSD: SECS-S/01
- Language: Italian
- Moduli: Patrizia Agati (Modulo 1) Silvia Romagnoli (Modulo 2) Francesco Bergamaschi (Modulo 3) Francesco Bergamaschi (Modulo 4)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2) Traditional lectures (Modulo 3) Traditional lectures (Modulo 4)
- Campus: Bologna
- Corso: First cycle degree programme (L) in Management and Marketing (cod. 8406)
Learning outcomes
By the end of the course the student should be able to use basic
statistical techniques and tools for data collection, measure and
qualitative/quantitative analysis of business phenomena. Besides,
the student learns basic financial tools to perform all assessments
related to sinking funds, loan amortization, bond trade.
Course contents
Module 1 – Statistics
Descriptive statistics
Introduction. Statistical data. Classification of statistical
units. Classification of characters.
One dimensional variables. From raw data to the univariate
frequency distrbution. Absolute frequencies, relative frequencies,
cumulative frequencies. Summary measures: location measures
(mode, median, quantiles, arithmetic mean); variability measures
(range, interquartile range, variance, standard deviation,
variability coefficient, Gini's ratio). Statistical ratios and
index numbers.
Two dimensional variables. Bivariate frequency distributions: joint
distributions, marginal distributions, conditional distributions.
Relationships between two variables: dependence, linear regression,
linear correlation
Probability calculus
Random experiment, event space, event, operations between events.
Probability and measuring criteria. Kolmogorov axioms and
fundamental theorems of probability calculus. Conditional
probability and stochastic independence. Bayes-Laplace
theorem.
Random variables. Discrete models: binomial and Poisson random
variables. Continuous models: the gaussian random variable. The
central limit theorem.
Inferential statistics
Population, simple random sample and sample space. Sampling random
variables and their distributions.
Introduction to parametric estimation. Estimators. The maximum
likelihood method (a brief outline). Confidence intervals.
Introduction to hypothesis testing. Statistical tests.
Test-statistics for means, frequences, variances.
Module 2 – Financial Mathematics
Financial conventions, financial transaction and definition of
different financial functions, annuities, fairness conditions for
financial transactions, time indices, sinking funds, loan
amortization, bond market, term-structure of interest rates,
zero-coupon and coupon-bonds, indexed products: floaters and
reverse floaters, swaps, principles of financial immunization,
credit risk and derivatives.
Module 3 – Laboratory
Simulation and implementation of the statistical-mathematical
techniques for the solution of real problems.
Readings/Bibliography
- G. Cicchitelli, Statistica: principi e metodi, seconda edizione, Pearson Education Italia, 2012
- A. Montanari et al., Statistica con esercizi commentati e risolti. Casa Editrice Ambrosiana, Milano, 1998
- L. Stracqualursi, Test di Statistica a risposta multipla, 2a edizione, self publishing Amazon, settembre 2018
- Romagnoli S., Mathematical Finance-Theory, 2016, Esculapio.
- Romagnoli S., Mathematical Finance-Practice, 2016, Esculapio.
Teaching methods
Lectures. Tutorial applications in class and in laboratory.
Assessment methods
First module – Statistics
Written exam (compulsory), consisting of exercises and multiple choice tests covering
the total program of the module (2 hours). Oral exam on
demand.
Second module – Financial Mathematics
Written exam (compulsory), consisting of three exercises covering
the total program of the module (2 hours). Oral exam on
demand.
Third module – Laboratory
Students are requested to develop a group project based on an
assignment of the person in charge of the lab-module.
The overall evaluation is expressed in marks out of 30 and is based
on the outcomes of the three parts of the exam.
Teaching tools
Blackboard; PC; videoprojector; computer laboratory
Office hours
See the website of Patrizia Agati
See the website of Silvia Romagnoli
See the website of Francesco Bergamaschi
See the website of Francesco Bergamaschi