21210096-2 - FINANCIAL AND ACTUARIAL SCIENCES

The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
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Mutuazione: 21210096-2 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 GHENO ANDREA

Programme

FINANCIAL SCIENCES
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options

Core Documentation

FINANCIAL SCIENCES
Hull, J. (2018) Options, futures and other derivatives, Pearson



Type of delivery of the course

Lectures and classes N.B. During the period of the health emergency from COVID-19, all the provisions governing the methods of carrying out teaching activities (and student evaluation) will be implemented. In particular, in case of need for distance learning, the Teams platform will be used.

Type of evaluation

The overall assessment is determined by means of a final written exam. N.B. In the event of an extension of the health emergency due to COVID-19, all the provisions governing the methods of student evaluation will be implemented. In particular, in case of need for remote exams, the exam will be taken in oral form by Microsoft Teams.