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.
Curriculum
Canali
teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended/advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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. teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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.Canali
teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended/advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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. teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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.Canali
teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended/advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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. teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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.Canali
teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended/advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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. teacher profile teaching materials
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.
Investment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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. LuenbergerInvestment Science
Oxford University Press (any edition)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
Reference Bibliography
Gordon J. Alexander, William F. Sharpe, Jeffery V. Bailey Fundamentals of Investments Pearson, 2000 James C. Van Horne Financial Market Rates and Flows Prentice Hall, 2000 John C. Hull Options, Futures and other Derivatives Pearson (any edition) Hans U. Gerber Life Insurance Mathematics Springer, 1997Type 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.Attendance
Class attendance is not mandatory but still recommended / advisable due to the complexity of the subject.Type of evaluation
90-minutes written exam consisting of 4 exercises and a short open-ended theoretical question. 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.