QUANTITATIVE METHODS FOR MANAGEMENT
No preliminary requirements are requested.
The course aims at providing the methodological knowledge and technical skills necessary to evaluate financial asset in a both deterministic and stochastic framework. Using fundamental notion of the Theory of Probability, it will be treated and studied the Fundamental Theorem of evaluation of financial assets in absence of arbitrage opportunity and the pricing models for the main kinds of financial instruments in a risk neutral context. Some case-studies will be analysed in order to apply the theoretical models in the resolution of concrete financial problems.
1. Financial securities: bonds and equity
a. Definition and main carachteristics
b. Pricing models in a deterministic framework
c. Spot and Forward interest rates
2. Fundamental Theorem of valutation under uncertainty
a. Discrete and continuous model
b. Ito's Lemma
c. Black & Scholes formula
3. Derivative securities
a. Forward and Futures contracts
b. Options
c. Valuation of derivative securities
d. Hedging strategies with derivative securities
4. Fair Value valuation under IAS/IFRS accounting rules
Mode of Delivery: frontal lessons.
1. Slides provided by the Teacher
2. A textbook of Financial Mathematics for the following topics: discounting laws, spot & forward rates, Net Asset Value.
3. For the definition and carachteristics of financial securities, consider one of the following textbooks
BANFI(a cura di), I mercati e gli strumenti finanziari, Isedi, Torino, 2004
CAPARRELLI F., Economia del mercato mobiliare, McGraw(Hill (Publishing Group Italia), Milano, 2004
FABRIZI P.L., L’economia del mercato mobiliare, Egea, Milano, 2003
4. With respect to the definition, description and pricing of derivative securities, refer to:
Hull - Options, Futures and other derivative securities
Assessment:
Written test with theoretical questions and numerical exercises to verify the knowledges of theoretical models and valuation techniques, dealt with in the course. The test is divided into three parts, each with a total of 10/30 score for a total of 30/30.
In alternative, a written work can be discussed on a topic assigned by the Teacher.