### Teachings

Select Academic Year:     2017/2018 2018/2019 2019/2020 2020/2021 2021/2022 2022/2023
Professor
MARCO MICOCCI (Tit.)
Period
First Semester
Teaching style
Blend/modalità mista, Convenzionale
Lingua Insegnamento

Informazioni aggiuntive

Course Curriculum CFU Length(h)
[11/75]  BUSINESS AND ECONOMICS [75/15 - Ord. 2017]  AMMINISTRAZIONE E CONTROLLO 6 36
[11/75]  BUSINESS AND ECONOMICS [75/35 - Ord. 2017]  MARKETING E ORGANIZZAZIONE 6 36

### Objectives

The aim of the course is to give to the students the essential tools of Financial Mathematics. At the end of the course the students will be able to perform financial valuations for annuities, mortgages, options and derivatives, deterministic hedging and interest rate risk.
We use the following Dublin descriptors:
1) Knowledge and understanding. Students will be able to understand the basic Financial Calculus notions, with the aim to solve financial problems.
2) Applying Knowledge and understanding. Students will be able to apply the main Financial Calculus tools to real problems.
3) Making judgements. Students will be able to determine the correct procedures in order to solve specific problems and to interpret the results.
4) Communication skills. Students will be able to use correctly the financial mathematical language and the specific symbology.
5) Learning skills. Students will be able to learn autonomously the required notions in order to apply them for the solving of practical problems.

### Prerequisites

Foundamentals of Calculus, Statistics and Economic Analysis

### Contents

Financial Calculus
Simple and compound interest. the force of interest. Annuities and mortgages. 12 hours.

Valuation principles
The term structuire of interest rates. IRR and NPV criteria. Duration and Convexity. The interest rate risk and the deterministic hedging. 16 hours.

Basics of Stochastic Valuation
The binomial model for option pricing. The Fair Value calculation of Interest Rate Swap." 8 hours.

### Verification of learning

Written exam at the end of the course. The exam score is out of thirty.
The final exam consists of a practical test (exercises) and theoretical questions. An additional oral exam is also scheduled whenever the score is beneath a specific target.
The following criteria will be examined:
1) knowledge of the theoretical content;
2) the ability to use these concepts for solving practical problems;
3) the ability to identify the correct solution strategies and to interpret the results obtained;
4) the clarity and the correct use of mathematical symbols;
5) the ability to make correct reasoning of an interdisciplinary nature.
The score ranges between:
- 18/30 (minimum score) for a basic level of knowledge (ability to solve simple optimization problems and presentation skills just enough);
- 30/30 (maximum score): all the objectives have been achieved comprehensively.

### Texts

Applications: Coppini, Micocci, Spandonaro, Masala Esercitazioni di Matematica finanziaria, Roma, CISU, 2006