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

Course not running

Course code
4S01518
Credits
5
Coordinator
Andrea Berardi
Teaching is organised as follows:
Unit Credits Academic sector Period Academic staff
Lezione 4 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 2° sem lez Andrea Berardi
Esercitazione 1 SECS-S/06-MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES 2° sem lez Andrea Berardi

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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