## 21201494 - FINANCIAL MATHEMATICS

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.

Canali

teacher profile | teaching materials

Mutuazione: 21201494 MATEMATICA FINANZIARIA in Economia e gestione aziendale L-18 A - D MOTTURA CARLO DOMENICO

Programme

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS EVALUATION
2.1 EVALUATION IN CERTAINTY CONDITIONS Financial laws in certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return on a financial transaction. Theory of financial equivalence laws.
2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuations of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

Core Documentation

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

Type of delivery of the course

The course is structured on (1) lectures and (2) classes: 1. Lectures introduce the quantitative-financial model and logical and mathematical properties that characterize it. 2. Classes guide the student in the application of the principles illustrated by carrying out summary exercises. ----------------------------------------------------------------------------- N.B. In the event of an extension of the health emergency from COVID-19, all the provisions governing the methods of carrying out educational activities will be implemented. In particular, in case of need to provide distance learning, the Microsoft Teams platform will be used. Please, view the institutional University information channels so to be informed of the emergency measures in force.

Attendance

Class attendance is not mandatory but still recommended/advisable due to the complexity of the subject.

Type of evaluation

Written exam and subsequent oral exam aimed at verifying the level of effective understanding of the concepts. The overall assessment is determined by the final oral exam, to be held if the written exam is passed. ----------------------------------------------------------------------------- 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. Please, view the institutional University information channels so to be informed of the emergency measures in force.

teacher profile | teaching materials

Mutuazione: 21201494 MATEMATICA FINANZIARIA in Economia e gestione aziendale L-18 E - O CARLEO ALESSANDRA

Programme

1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks.

2. FOUNDATIONS OF FINANCIAL CONTRACTS VALUATION
2.1 VALUATION IN CERTAINTY CONDITIONS Financial laws under certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return of a financial transaction. Theory of financial laws.
2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuation of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts.

Core Documentation

David G. Luenberger
Investment Science
Oxford University Press (any edition)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

Type of delivery of the course

The course is structured on (1) lectures and (2) classes: 1. Lectures introduce the quantitative-financial model and logical and mathematical properties that characterize it. 2. Classes guide the student in the application of the principles illustrated by carrying out summary exercises. ----------------------------------------------------------------------------- N.B. In the event of an extension of the health emergency from COVID-19, all the provisions governing the methods of carrying out educational activities will be implemented. In particular, in case of need to provide distance learning, the Microsoft Teams platform will be used. Please, view the institutional University information channels so to be informed of the emergency measures in force.

Attendance

Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject.

Type of evaluation

Written exam and subsequent oral exam aimed at verifying the level of effective understanding of the concepts. The overall assessment is determined by the final oral exam, to be held if the written exam is passed. ----------------------------------------------------------------------------- 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. Please, view the institutional University information channels so to be informed of the emergency measures in force.

Mutuazione: 21201494 MATEMATICA FINANZIARIA in Economia e gestione aziendale L-18 (docente da definire)