MODELLI DECISIONALI PER LA FINANZA

Single discipline educational activity

Course Sheet

Course code:

MODEF17

Academic Year of enrolment:

2018

Year of supply:

2018/2019

Type of Course:

Characterising

Degree:

Course of 2nd Cycle Degree in MANAGEMENT AND ECONOMICS

Disciplinary Sector:

MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Location:

PESCARA

Credits:

Programme Year:

Professor and Collaborators:

DE SANCTIS Angela Anna

Cycle:

Third four months

Hours of classroom activity:

Individual study hours:

171

Prerequisites:

A basic knowledge of Mathematics, Statistics, Microeconomics and Macroeconomics, at an undergraduate level, can be considered a prerequisite for this course

Objectives

With respect to the general objectives that the Study Program aims to achieve and the indicated prerequisites, the course wants to give:

skills and knowledge:

distinguishes financial markets and the main financial instruments
mathematically formalizes the theory of financial assets
knows the main indices for measuring financial risk
skills and knowledge (applied):
models the main financial phenomena
values the financial assets
hedges financial risk
AUTONOMY OF JUDGMENT:
expresses basic critical opinions about financial choices and the management of financial risk
COMMUNICATION SKILLS:
uses the quantitative language, specific to the discipline, and develops multidisciplinary communication skills.

Contents

It is a basic course on financial markets, organized as follows:
-bonds and assets
- arbitrage and financial decision making
- valuing bonds and assets
-financial return
- loans and mortgages
- the structure of interest rates and interest rate risk

Extended Syllabus

Spots. Zero coupon bonds

Coupon bonds

Assets. Financial portfolio

Forward assets

The ideal bond market. Arbitrages

The spot price structure. The spot valuation

Forward evaluation

Financial return: linear law, exponential law, equivalent rates

Instantaneous interest rate intensity

The internal rate of return

Loans. Loan valuation: the case in constant payments

Mortgage of the loan: French mortgage, Italian mortgage, pre- mortgage, deferral

The structure of interest rates

The forward rate structure

The yield to maturity

Time evolution of the interest rate structure

A measure for interest rate risk: duration

The management of interest rate risk: financial immunization

Derivatives

Recommended Bibliography

M. D’Amico, L. Peccati, E. Luciano “Calcolo finanziario: temi di base e temi moderni”, Egea 2011

C. Mari "Matematica per il management: gli strumenti finanziari", Libreria dell'Università editrice

Methods of Provision

Conventional

Teaching Methods

The teaching includes 54 hours of lessons divided into 3 weekly lessons of 3 hours. The course will be carried out through frontal lectures and exercises.
Attendance is strongly recommended.

Evaluation methods

Verification of learning:

The exam consists of a 90-minute written test and an oral exam. The written test consists of exercises regarding the main parts of the program. To access the oral exam it is necessary to reach a score of at least 15/30. The final evaluation, expressed in thirtieths, will take into account both proofs (70% of the written test and 30% of the oral exam).
The proofs start from the reference books, without differences between attending and not attending students.

Contacts/More Information

All the information and didactical material will be put on e-learning page.
Erasmus students are invited to contact the Professor to have information about the program.

Università degli Studi
"G. d'Annunzio"

Chieti - Pescara

Aree