FINANCIAL MARKETS ANALYSIS

ECONOMICS FINANCIAL MARKETS ANALYSIS

0222200045
DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
EQF7
ECONOMICS
2019/2020

OBBLIGATORIO
YEAR OF COURSE 2
YEAR OF DIDACTIC SYSTEM 2018
PRIMO SEMESTRE
CFUHOURSACTIVITY
1ANALISI DEI MERCATI FINANZIARI MOD 1
530LESSONS
2ANALISI DEI MERCATI FINANZIARI MOD 2
530LESSONS
Objectives
KNOWLEDGE AND UNDERSTANDING
THE COURSE AIMS AT PROVIDING THE STUDENTS WITH THE BASIC METHODOLOGICAL TOOLS FOR UNDERSTANDING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND THEIR RISK STRUCTURE. THE STUDENTS ARE EXPECTED TO BE ABLE TO CRITICALLY CHOOSE THE MOST APPROPRIATE MODEL FOR A GIVEN CASE STUDY OF INTEREST

APPLYING KNOWLEDGE AND UNDERSTANDING
THE COURSE AIMS AT HELPING THE STUDENTS TO DEVELOP THE ABILITY OF USING ADVANCED QUANTITATIVE MODELS FOR THE ANALYSIS OF FINANCIAL MARKETS AND DEAL WITH THE APPLICATION OF THESE MODELS TO SIMPLE FINANCIAL INSTRUMENTS AND DERIVATIVES
Prerequisites
IT IS EXPECTED THAT STUDENTS ATTENDING THE COURSE HAVE A BASIC KNOWLEDGE OF PROBABILITY AND STATISTICAL INFERENCE.
Contents
MODULE A
UNIVARIATE ANALYSIS: EFFICIENT MARKETS. MEASURING RETURNS. MEASURING VOLATILITY: DESCRIPTIVE TECHNIQUES BASED ON MOVING AVERAGES, REALIZED VOLATILITY, OTHER VOLATILITY MEASURES. STOCHASTIC MODELS FOR THE LEVELS OF RETURNS. STOCHASTIC MODELS FOR THE VOLATILITY OF RETURNS. THE LEVERAGE EFFECT. UNIVARIATE RISK MEASURES: VAR AND L’EXPECTED SHORTFALL. BACKTESTING.

MODULE B
MODERN PORTFOLIO THEORY: INDIFFERENCE CURVES, EQUIVALENT AND OPTIMAL PORTFOLIOS, MARKOVITZ MODEL, CAPM MODEL, ARBITRAGE PRICING THEORY, FUTURES: THE MARKET, MARKET PARTICIPANTS, THE EQUILIBRIUM PRICE, THE HEDGE RATIO. FINANCIAL OPTIONS: MAIN DEFINITIONS: AMERCAN AND EUROPEAN CALL AND PUT OPTIONS, PRICING MODELS: CRR AND B&S, PORTFOLIO INSURANCE, MAIN STRATEGIES BUYING AND SELLING FINANCIAL OPTIONS
Teaching Methods
LECTURES, LABORATORY
Verification of learning
ORAL EXAM FOLLOWING A WRITTEN TEST. THE EXAM AIMS AT EVALUATING THE ABILITY TO CORRECTLY APPLY THE TAUGHT METHODS, THE RIGOUR AND CLARITY OF EXPRESSION.
IN PARTICULARY, FOR EACH OF THE MODULE, THE EXAMINATION CONSISTS OF TWO COMPULSORY PARTS, A WRITTEN TEST AND AN ORAL INTERVIEW. EACH PART IS ASSIGNED A MARK AND THE AVERAGE OF THESE MARKS IS CONVERTED INTO THIRTIETHS TO GIVE THE FINAL GRADE. AN EXAM IS DEEMED TO BE PASSED SUCCESSFULLY IF THE FINAL GRADE IS EQUAL TO OR HIGHER THAN 18/30. IN THE EVENT OF A FULL GRADE (30/30), THE EXAMINATION BOARD MAY GRANT HONOURS (LODE). THE ORAL INTERVIEW CAN ONLY BE TAKEN ONCE THE STUDENT HAS PASSED THE WRITTEN EXAM WITH A MINIMUM MARK OF 18/30.

THE WRITTEN TEST TAKES ABOUT 60 MINUTES AND AIMS AT ASSESSING THE ABILITY TO APPLY THE ACQUIRED KNOWLEDGE AND THE ANALYTICAL INSTRUMENTS. THE ORAL INTERVIEW TAKES ABOUT 20 MINUTES WITH A DISCUSSION ON THE THEORETICAL AND METHODOLOGICAL TOPICS PRESENTED DURING THE COURSE.

Texts
FOR MODULES A AND B1
STORTI G., VITALE C. (2011) ANALISI STATISTICA DEI MERCATI MONETARI E FINANZIARI, ESI.
TSAY, R. (2005) ANALYSIS OF FINANCIAL TIME SERIES (2ND EDITION), WILEY SERIES IN PROBABILITY AND STATISTICS (CHAPTERS 1-3-5-7-10).
FOR MODULE B2
D. G. LUENBERGER – FINANZA E INVESTIMENTI. FONDAMENTI MATEMATICI – ED APOGEO - 2011
CASTELLANI, DE FELICE, MORICONI, MANUALE DI FINANZA II, IL MULINO
HULL J., BARONE E., OPZIONI, FUTURES E ALTRI DERIVATI. EDIZ. MYLAB. CON E-BOOK. CON AGGIORNAMENTO ONLINE
J. GREGORY- COUNTERPARTY CREDIT RISK AND CREDIT VALUE ADJUSTMENT: A CONTINUING CHALLENGE FOR GLOBAL FINANCIAL MARKETS, 2ND EDITION
More Information
FURTHER MATERIAL (DATA, SOFTWARE, LECTURE NOTES) WILL BE PUBLISHED ON THE INSTRUCTOR'S WEBSITE.
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