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.
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.
scheda docente materiale didattico
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options
Hull, J. (2018) Options, futures and other derivatives, Pearson
Mutuazione: 21210096-2 FINANCIAL AND ACTUARIAL SCIENCES in Finanza e impresa LM-16 GHENO ANDREA
Programma
FINANCIAL SCIENCESWiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options
Testi Adottati
FINANCIAL SCIENCESHull, J. (2018) Options, futures and other derivatives, Pearson
Modalità Erogazione
Lezioni ed esercitazioni N.B. Nel periodo dell'emergenza sanitaria da COVID-19 saranno recepite tutte le disposizioni che regolano le modalità di svolgimento delle attività didattiche (e della valutazione degli studenti). In particolare, in caso di necessità di didattica a distanza, si utilizzerà la piattaforma Teams.Modalità Valutazione
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. Il giudizio finale è sulla base di un esame scritto. N.B. Nel caso di un prolungamento dell'emergenza sanitaria da COVID-19 saranno recepite tutte le disposizioni che regolano le modalità della valutazione degli studenti. In particolare, in caso di necessità di esami a distanza, si utilizzerà la piattaforma Microsoft Teams e la modalità orale di esame.