Metodi quantitativi - I modulo - eng

QUANTITATIVE METHODS
MODULE II
Prof. Francesca Centrone
Prof. Gianluca Fusai

Language
Italian.
Contents
Two main topics will be studied: financial valuation and hedging with interest rate derivatives,and asset allocation models.
References

G. Castellani, M. De Felice, F. Moriconi,
Manuale di Finanza II, Teoria del portafoglio e Mercato Azionario. Il Mulino. 2005.

C. Huang, R. H. Litzenberger.
Foundations for Financial Economics. Prentice Hall. 1988.

The above references are available in the library.

Further teaching material prepared by the professor will be published on D.I.R. (https://eco.dir.unipmn.it/)

Educational aims

The course provides to the student the quantitative tools for understanding and solving problems in management and finance in a context of uncertainty.
Prerequisites
Contents of the following courses: Mathematical Methods I and II and Statistics.
Teaching methods
Lectures including both theory and exercises.

Further informations
Additional information will be made available during the course on D.I.R. (https://eco.dir.unipmn.it/)

Examination

Compulsory written examination plus optional oral examination.
Extended program
1.    Advanced Financial Calculus (Prof. Fusai 4 CFU)
− Review of basic financial calculus
− The bootstrapping of the discount curve
− How to choose between fixed and floating rate mortgages
− How to hedge the interest rate risk with derivatives (FRA, Swaps, etc.)
− Case Studies
2. Decisions under uncertainty (Prof.ssa Centrone 2 CFU)
− Introduction to random variables and optimization
− The Von Neumann Morgenstern expected utility framework
− How to build a risky portfolio
− The Markowitz mean-variance model
− How to measure the risk premium: the CAPM
− Case Studies