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82779 - Financial Mathematics

Academic Year 2021/2022

                
                        Docente:
                        Rossella Agliardi
                    
                        Credits:
                        8
                    
                        SSD:
                        SECS-S/06
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Rimini
                        
                            Corso:
                            First cycle degree programme (L) in
                            Business Economics (cod. 8848)

                            Teaching resources on Virtuale

Learning outcomes

The aim of the course is to provide the fundamentals of Mathematical Finance. In particular, students will be able to understand and evaluate some financial contracts that are usually faced in business management. Some simple stategies for risk control and diversification will be presented

Course contents

Basic principles of financial mathematics: simple/commercial convention versus compound/instantaneous ones. Annuities. Perpetuities. Debt amortization. Evaluation of a generic financial transaction: NPV, IRR.

Fixed income market:term structure of interest rate, spot rates, forward rates, yield-to-maturity, duration. Complete and incomplete markets.

Valuation of risky investments. Expected utility. Stochastic dominance. Mean-variance. Risk and volatility. Value-at-Risk. Markowitz model for portfolio allocation. Capital Asset Pricing Model (CAPM).

Readings/Bibliography

F. Cacciafesta, Lezioni di matematica finanziaria classica e moderna, Ed. Giappichelli Torino

Other suggested textbooks:

Riccardo Cesari. Introduzione alla Finanza Matematica - Concetti di base, tassi, obbligazioni (2 Ed.), McGraw-Hill, 2012;

Riccardo Cesari. Introduzione alla Finanza Matematica – Mercati Azionari, Rischi e Portafogli (2 Ed.), McGraw-Hill, 2012

Teaching methods

Lectures and exercises. Each topic is presented along with several examples and exercises. Some additional exercises will be discussed during the tutorial classes which are strongly recommended.

Assessment methods

Written exam (duration 2 hours) consisting of short exercises and one or two more complex problems. Please note that the relevant topics will be always proposed in the written exam.

The first call will consist of two separate written exams, each counting for 50% of the final assessment.

The use of textbooks, notes, tablets, cell-phones, etc. is not allowed. Do not forget to bring a calculating machine.

Further information on the exam will be provided during the first lecture of each module.

Teaching tools

Slides. A list of exercises and some Excel speadsheets will be made available.

Office hours

See the website of Rossella Agliardi