Laboratorio di finanza I+II - ENG

QUANTITATIVE RESEARCH FOR FINANCE

Prof. Aldo Goia
Prof. Giovanni Longo
Prof. Caterina May

Course Code: E0377
Subject code: SECS-S/03 and SECS-S/06
8 ECTS – 64 hours
Location: Novara


Educational aims

The goal of the course is to introduce the students into financial modeling using MS Excel and other softwares. The course develops some mathematical and statistical techniques needed to implement some relevant financial concepts.


Content of the course

This course is semestral and divided in two modules.

Module 1 – Financial Mathematics with Excel (Prof. G. Longo) - 4 ECTS

1 – Linear algebra with Excel.
2 – Riemann integral with Excel.
3 – Use of Excel Solver for optimization problems. Numerical problems.
4 – Solving classical financial problems in Excel: debt amortizing, net present value and internal rate of return, financial choices, leasing, duration, portfolio management.
5 – Interest rate curves construction.

Module 2 – Statistics for the financial markets (Prof. C. May and Prof. A. Goia) - 4 ECTS

Part 1 - Analysis of financial data
1 – Prices and returns. Stock market index.
2 – Empirical characteristics of financial series.
3 – Technical analysis: trend and trendline; chart patterns; support and resistance; moving average and exponential smoothing; kernel regression.
Part 2 - Credit Risk Modelling
1 – Ratio Analysis and default prediction.
2 – Discriminant analysis and the Z-score model; logistic regression.
3 – Variable selection.
4 –.Diagnostic and ROC curve.


Prerequisites

Basic competences in mathematics and statistics.


Course Texts

Module 1

S. Benninga. Financial Modeling. 3rd Edition. MIT Press. The book is available in the library

Module 2

Part 1
Brooks. Introductory econometrics for finance. Cambridge Press. 2002. The book is available in the library
M. Costa. Mercati finanziari. Dati, metodi e modelli. CLUEB. 1999.  The book is available in the library
Part 2
L. Gai. Il rating delle PMI. Franco Angeli. Milano. The book is available in the library

Further informations can be found in the web page of the course at the URL:

https://eco.dir.unipmn.it/


Teaching methods

Lessons on PC.


Examination

Attending students: oral examination consisting in a discussion of the home-works.
Non attending students: oral examination on the textbooks and an assessment of the knowledge on the software.