BUSINESS ADMINISTRATION | LABORATORIO DI APPLICAZIONI FINANZIARIE

cod. 0212100021

LABORATORIO DI APPLICAZIONI FINANZIARIE

	0212100021
	DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
	EQF6
	BUSINESS ADMINISTRATION
	2016/2017

PERCORSO COMUNE Cohort 2014/2015

	YEAR OF COURSE 3
	YEAR OF DIDACTIC SYSTEM 2014
	PRIMO SEMESTRE

TEACHING UNITS

	SSD	CFU	HOURS	ACTIVITY	TYPE OF ACTIVITY
	SECS-S/06	5	30	LESSONS	COMPULSORY SUBJECTS, CHARACTERISTIC OF THE CLASS

	Objectives
	1)KNOWLEDGE AND UNDERSTANDING STUDENTS WILL HAVE MATHEMATICAL TOOLS FOR A QUANTITY APPROPRIATE APPROACH TO ECONOMIC AND FINANCIAL ISSUES TO BE ADDRESSED DURING THE DEGREE 2) APPLYING KNOWLEDGE AND UNDERSTANDING STUDENTS WILL BE ABLE TO USE THE QUANTITATIVE TOOLS LEARNED TO UNDERSTAND AND TO RESOLVE ADVANCED PROBLEMS IN ECONOMICS AND IN FINANCIAL CHOICES. 3) MAKING JUDGEMENTS. THE STUDENTS WILL BE ABLE TO GET A FULL ABILITY FOR PRATICAL APPLICATIONS AND CRITICAL KNOWLEDGE OF QUANTITATIVE MODELS FOR THE FINANCIAL TRANSACTIONS AND ECONOMIC ISSUES. 4) COMMUNICATION SKILLS. THE STUDENTS WILL BE ABLE TO EFFECTIVELY COMMUNICATE TO SPECIALISED INTERLOCUTORS ON FINANCIAL AND MATHEMATIC ISSUES; TO ARGUE AND TO COMMUNICATE ITS VIEW CLEARLY AND EFFECTIVELY ON QUANTITATIVE AND ECONOMIC ISSUES. 5) LEARNING SKILLS ON THE BASIS OF THE LEARNT TECHNIQUES, THE STUDENTS WILL BE ABLE TO FACE WITH PROBLEMS OF ECONOMIC-FINANCIAL NATURE AND TO DEEPEN THEIR COMPETENCES BY SCIENTIFIC PUBLICATIONS ON THE TOPIC AND ONLINE DATABASE.

1)KNOWLEDGE AND UNDERSTANDING
STUDENTS WILL HAVE MATHEMATICAL TOOLS FOR A QUANTITY APPROPRIATE APPROACH TO ECONOMIC AND FINANCIAL ISSUES TO BE ADDRESSED DURING THE DEGREE
2) APPLYING KNOWLEDGE AND UNDERSTANDING
STUDENTS WILL BE ABLE TO USE THE QUANTITATIVE TOOLS LEARNED TO UNDERSTAND AND TO RESOLVE ADVANCED PROBLEMS IN ECONOMICS AND IN FINANCIAL CHOICES.
3) MAKING JUDGEMENTS.
THE STUDENTS WILL BE ABLE TO GET A FULL ABILITY FOR PRATICAL APPLICATIONS AND CRITICAL KNOWLEDGE OF QUANTITATIVE MODELS FOR THE FINANCIAL TRANSACTIONS AND ECONOMIC ISSUES.
4) COMMUNICATION SKILLS.
THE STUDENTS WILL BE ABLE TO EFFECTIVELY COMMUNICATE TO SPECIALISED INTERLOCUTORS ON FINANCIAL AND MATHEMATIC ISSUES; TO ARGUE AND TO COMMUNICATE ITS VIEW CLEARLY AND EFFECTIVELY ON QUANTITATIVE AND ECONOMIC ISSUES.
5) LEARNING SKILLS
ON THE BASIS OF THE LEARNT TECHNIQUES, THE STUDENTS WILL BE ABLE TO FACE WITH PROBLEMS OF ECONOMIC-FINANCIAL NATURE AND TO DEEPEN THEIR COMPETENCES BY SCIENTIFIC PUBLICATIONS ON THE TOPIC AND ONLINE DATABASE.

	Prerequisites
	NOTIONS OF MATHEMATICS APPLIED TO ECONOMICS

	Contents
	INTRODUCTION TO SOFWARE R. STOCHASTIC VARIABLES GENERATION. MONTE CARLO SIMULATIONS. GEOMETRIC BROWNIAN MOTION. MEAN REVERTING PROCESSES:ORNSTEIN – UHLENBECK. TERM STRUCTURE OF INTEREST RATES: PARAMETER ESTIMATION AND VASICEK SIMULATION, COX INGERSOLL AND ROSS MODEL. FINANCIAL MARKETS: RISK AND RETURN. FINANCIAL OPTIONS: BLACK AND SCHOLES MODEL; GREEKS AND VOLATILITY SMILES. CREDIT DERIVATIVES:CDS, CVA, BCVA, DVA. SURVIVAL ANALYSIS: LEE CARTER PROJECTIONS AND EXTENSIONS.

Contents

INTRODUCTION TO SOFWARE R.
STOCHASTIC VARIABLES GENERATION. MONTE CARLO SIMULATIONS. GEOMETRIC BROWNIAN MOTION. MEAN REVERTING PROCESSES:ORNSTEIN – UHLENBECK. TERM STRUCTURE OF INTEREST RATES: PARAMETER ESTIMATION AND VASICEK SIMULATION, COX INGERSOLL AND ROSS MODEL.
FINANCIAL MARKETS: RISK AND RETURN. FINANCIAL OPTIONS: BLACK AND SCHOLES MODEL; GREEKS AND VOLATILITY SMILES.
CREDIT DERIVATIVES:CDS, CVA, BCVA, DVA.
SURVIVAL ANALYSIS: LEE CARTER PROJECTIONS AND EXTENSIONS.

	Teaching Methods
	- LECTURES IN CLASSROM; - EMPIRICAL APPLICATIONS; - LECTURES IN LABORATORY.

	Verification of learning
	WRITTEN AND ORAL TESTS

	Texts
	CASTELLANI, DE FELICE, MORICONI, MANUALE DI FINANZA II, IL MULINO CESARI R., INTRODUZIONE ALLA FINANZA MATEMATICA -MERCATI AZIONARI, RISCHI E PORTAFOGLI, SECONDA EDIZIONE, MC GRAW HILL CESARI R., INTRODUZIONE ALLA FINANZA MATEMATICA - DERIVATI, PREZZI E COPERTURE, SPRINGER HULL J., BARONE E., OPZIONI, FUTURES E ALTRI DERIVATI. EDIZ. MYLAB. CON E-BOOK. CON AGGIORNAMENTO ONLINE GREGORY J., COUNTERPARTY CREDIT RISK AND CREDIT VALUE ADJUSTMENT: A CONTINUING CHALLENGE FOR GLOBAL FINANCIAL MARKETS, 2ND EDITION

Texts

CASTELLANI, DE FELICE, MORICONI, MANUALE DI FINANZA II, IL MULINO

CESARI R., INTRODUZIONE ALLA FINANZA MATEMATICA -MERCATI AZIONARI, RISCHI E PORTAFOGLI, SECONDA EDIZIONE, MC GRAW HILL

CESARI R., INTRODUZIONE ALLA FINANZA MATEMATICA - DERIVATI, PREZZI E COPERTURE, SPRINGER

HULL J., BARONE E., OPZIONI, FUTURES E ALTRI DERIVATI. EDIZ. MYLAB. CON E-BOOK. CON AGGIORNAMENTO ONLINE

GREGORY J., COUNTERPARTY CREDIT RISK AND CREDIT VALUE ADJUSTMENT: A CONTINUING CHALLENGE FOR GLOBAL FINANCIAL MARKETS, 2ND EDITION