Finanza quantitativa - ENG

Quantitative Finance

Prof. Gianluca Fusai
Prof. Giovanni Longo

Course Code: EC0022
Subject code: SECS-S/06
8 ECTS – 64 hours
Location: Novara / Casale [selezionare]


Educational aims

The aim of this module is to develop a solid background for evaluating, managing and researching financial risk. To this end the students will learn to analyse and quantify risk according to current best practice in the markets, as implemented in the RiskMetrics and CreditMetrics methodologies. In addition, the students will be introduced to derivative contracts, how to use them for pricing and hedging financial risk according to the market practice.


Content of the course

This course is divided in two parts.

Part 1 – Interest rate curves and derivatives (Prof. G. Longo) - 4 CFU

Forward contracts. Main characteristics, replicating portfolio, underlying asset paying a dividend or with costs.

Options. Main features. Pricing with trees and dynamic hedging. Black and Scholes model. Black model for interest rate derivative, cap and floor.

Introduction to Monte Carlo simulation

Part 2 – Asset Allocation and Risk Management (Prof. G. Fusai) - 4 CFU

The mean-variance model, CAPM and APT. The risk premium estimation.
Financial risk managementi: value at risk (VaR) and expected shortfall (ES). Quantitative models for measuring VaR and ES.
The Black-Litterman model.

Measuring credit and counterparty risk.



Prerequisites

It is suggested to have already passed the Quantitative Methods exam.


Course Texts

P. Christoffersen, Elements of Financial Risk Management Academic Press. The book is available in the library

J. Hull, Opzioni, futures ed altri derivati, Pearson Prentice-Hall International, ultima edizione, 2009. The book is available in the library

Compreso il manuale con le soluzioni degli esercizi. The book is available in the library

R. Jarrow e Turnbull, Derivative Securities, South Western, 1994. 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

Lectures and laboratory with discussion of case studies.


Examination

Written exam and courseworks.