Financial mathematics (2016/2017)

Course code
4S00393
Name of lecturer
Roberto Renò
Coordinator
Roberto Renò
Number of ECTS credits allocated
9
Academic sector
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Language of instruction
Italian
Period
primo semestre triennali dal Sep 19, 2016 al Jan 13, 2017.
Web page
https://matematicafinanziaria.wordpress.com/

Lesson timetable

primo semestre triennali
Day Time Type Place Note
Monday 5:20 PM - 6:50 PM lesson Lecture Hall B  
Tuesday 8:30 AM - 10:00 AM lesson Lecture Hall B  
Wednesday 3:40 PM - 5:10 PM lesson Lecture Hall B  
Thursday 8:30 AM - 10:00 AM lesson Lecture Hall B  

Learning outcomes

The objectives of the course are the introduction of the pillars of financial contracts and the quantitative method for their management, to be developed to the foundations of fixed income and portfolio management. The course will introduce the basic jargon in finance, as well as the main concepts underlying asset valuation and assessment of risk. At the same time, the course will develop quantitative methods which will be useful for advanced courses in finance.

Syllabus

1. Financial contracts under certainty

1.1. Basic concepts.
1.2. General theory of financial laws.
1.3. Interest rates and inflation.
1.4. Annuities, mortgages and other financial contracts.
1.5. Evaluation of financial cash flows.

2. Bond markets

2.1. Perfect Markets. Absence of Arbitrage.
2.2. The term structure of interest rates.
2.3. Fixed rate bonds. Spot and forward contracts.
2.4. Interest rate risk.
2.5. Floating rate bonds.

3. Stock markets

3.1. Risk and return.
3.2. Investment in two assets.
3.3. Portfolio allocation.
3.4. Stock valuation: Capital Allocation Line and Capital Market Line.

Suggested Book: (in italian)
G. Castellani, M. De Felice, F. Moriconi, Manuale di Finanza. I. Tassi d’interesse. Mutui e obbligazioni, Società editrice il Mulino, Bologna 2005.

Additional material will be available online.

Reference books
Author Title Publisher Year ISBN Note
Castellani, De Felice, Moriconi Manuale di Finanza I. (Edizione 1) Il Mulino 2005 978-88-15-10702-2

Assessment methods and criteria

The exam consists in a written exam, plus a mandatory oral exam if the result of the written exam is between 15 and 19. If the result of the written exam is greater or equal than 20, the oral exam is optional for the student. If the result of the written exam is less than 15, the exam is failed.

An intermediate exam will be taken in the middle of the course and graded. The intermediate exam is consideres successful with a grade equal or grater than 15. In this case, the student is entitled to pass only the second part of the exam in the first two sessions after the end of the course. It is not possible to take the second part in a different session. If the global result is not sufficient, it is not possible to re-take the second part. In the case in which the student does not want to use the intermediate exam after this is graded, he should communicate this to the Professor.

STUDENT MODULE EVALUATION - 2016/2017