The course aims to set the logical foundations of financial evaluation, to provide the basics for the markets’ formalization and for the measurement of the value and risk of financial contracts, to introduce the evaluation of traditional insurance contracts.Il corso ha l’obiettivo di impostare i fondamenti logici della valutazione finanziaria, di fornire le nozioni di base per la formalizzazione dei mercati e per la misurazione del valore e del rischio dei contratti finanziari, di introdurre alla valutazione dei contratti assicurativi tradizionali.
Curriculum
teacher profile teaching materials
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Mutuazione: 21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
Programme
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Core Documentation
John C. Hull, Options, Futures and other Derivatives, Ed. PearsonType of delivery of the course
LecturesAttendance
Recommended but not mandatoryType of evaluation
written and oral test teacher profile teaching materials
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Mutuazione: 21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
Programme
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Core Documentation
John C. Hull, Options, Futures and other Derivatives, Ed. PearsonType of delivery of the course
LecturesAttendance
Recommended but not mandatoryType of evaluation
written and oral test teacher profile teaching materials
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Mutuazione: 21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
Programme
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Core Documentation
John C. Hull, Options, Futures and other Derivatives, Ed. PearsonType of delivery of the course
LecturesAttendance
Recommended but not mandatoryType of evaluation
written and oral test teacher profile teaching materials
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Mutuazione: 21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
Programme
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-Volatility smiles
-Swaps contracts
Core Documentation
John C. Hull, Options, Futures and other Derivatives, Ed. PearsonType of delivery of the course
LecturesAttendance
Recommended but not mandatoryType of evaluation
written and oral test