ID:
510165
Duration (hours):
44
CFU:
6
SSD:
METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Year:
2025
Overview
Date/time interval
Secondo Semestre (16/02/2026 - 23/05/2026)
Syllabus
Course Objectives
The course illustrates the characteristics and the evaluation (price formation) of the main financial instruments: bonds, equities, forward, futures and options. The fundamental analysis for the evalutation of a business will be subject of the course too. Some elements of risk management will be provided. Moreover, in the actuarial field, with forecasting the probability of death and survival, evaluating an insurance policy (life and death) and calculatng the mathematical reserve for an insurance company.
Course Prerequisites
Elements of general mathematics and statistics: calculation of limits of elementary functions, calculation of derivatives of elementary functions, definition of derivative, geometric meaning of derivative, graphs of elementary functions, resolution of equations and linear systems, conditional probabilities, random variables, expected value of a discrete random variable, mean and variance of a continuous distribution, normal distribution. Adviced book: Giorgio Giorgi, Elena Molho (2015), Elementi di matematica, G. Giappichelli Editore-Torino, chapter 8: paragraphs 8.1, 9.7, 8.8, 8.15, 8.18, chapter 9: pag 307-339, chapter 10: pag 425-451.
Teaching Methods
Formal and interactive lectures. During the course exercises are planned. Tutoring activity is provided. It could be frontal or online, depending on the availability of the rooms.
Assessment Methods
The exam includes a written part containing both theory questions and exercises and an optional oral part. The rules are: 1. The grade of the final written exam must be greater than or equal to 18. 2. The intermediate tests last one hour each containing an exercise and a theory question. Each intermediate test, if passed, will give a bonus point. For those who pass the intermediate tests, the bonus point or bonus points will be added to the grade of the final written exam. 3. Both the bonus points and the written grade will be valid for the summer and autumn sessions (2025) and cannot be used in 2026. In case of refusal of the grade, this score will be lost. In case of non-delivery of the final written exam, the bonus points will remain. 4. The oral exam is optional.
Texts
Stefani, Torriero and Zambruno (2011), Elementi di Matematica Finanziaria e cenni di Programmazione Lineare, G. Giappicchelli, Quarta Edizione John Hull (2012) Options, Futures and Other Derivatives, Prentice Hall, 8th Edition Bodie, Z., Kane, A. and Marcus, A.J., 2012. Essentials of Investments 9th Edition. McGraw-Hill. Olivieri and Pitacco (2015) Introduction to Insurance Mathematics, Springer, 2nd Edition
Contents
1) Business valuation tools Discounting and capitalization schemes 2) Valuation of financial projects Net Present Value, Internal Rate of Return and Pay-back Period 3) Bond securities Valuation of fixed coupon and variable coupon securities Duration and convexity Financial immunization theorems 4) Models for the evaluation of a company's equity: Dividend Discounting Model Free Cash Flow approach in the absence of dividends 5) Derivatives: employment in risk management and evaluation Forward and future contracts European options and American options Black & Scholes model for evaluating options Options strategies in risk management 6) Elements of risk management 7) Elements of actuarial mathematics Tables of mortality and expected life span Calculation of premiums and reserves in insurance contracts Pension plans and pension fund characteristics.
Course Language
Italian
More information
During the first lesson, a self-assessment test will be distributed to the students containing questions regarding the prerequisites of mathematics and statistics necessary for the course. This test will not have a grade and has a dual goal: allow students to self-evaluate to fill any gaps and tclarify these prerequisites which, if requested during the exam, will be evaluated.
Degrees
Degrees
BUSINESS ADMINISTRATION AND LAW
Master’s Degree
2 years
No Results Found