Modelli per la gestione di portafoglio II - Lezione (2007/2008)

Course not running

Course code
4S01518
Name of lecturer
Andrea Berardi
Number of ECTS credits allocated
4
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Period
2° sem lez dal Feb 18, 2008 al May 24, 2008.

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Lesson timetable

Learning outcomes

The aim of the course is to provide the student with the key concepts and topics regarding (i) the modelling and the estimation of the term structure of interest rates, (ii) the pricing of bonds (both risk-free and default-risky), (iii) the risk management techniques for bond portfolios.

Syllabus

Lectures will be held in a computer room. About 30% of the time will be dedicated to the practical implementation of the models.

Assessment methods and criteria

Written exam.

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