2018/2019

2019/2020

DM270

SECS-S/06 (MATHEMATICS FOR ECONOMICS, ACTUARIAL STUDIES AND FINANCE)

DEPARTMENT OF ECONOMICS AND MANAGEMENT

BUSINESS MANAGEMENT

PERCORSO COMUNE

2°

(23/09/2019 - 21/12/2019)

9

66 lesson hours

Italian

WRITTEN TEST

DE GIULI MARIA ELENA - 9 ECTS

The contents of the course of Mathematics is an essential prerequisite for managing the basic theoretical concepts we will analyse in the Mathematical Finance course. Consequently the successful completion of the exam of Mathematics is required.
Moreover, familiarity with the basic concepts of Statistics could be helpful.

The course represents an introduction to finance, with the goal of building a common basis for future specialised courses which second-year students will attend in the following semesters. The course aims at introducing the analytical tools to formalise, evaluate and manage economic and financial problems. Its principal purpose is to provide the main instruments and methods to assess financial transactions, as well as to measure their risk.

Acquired knowledge and understanding
At the end of the course, students will be confident with quantitative methods for financial analyses to support managerial decision processes.

Ability to employ acquired knowledge and understanding
At the end of the course, students will be able to perform and develop financial analyses, evaluate the accuracy of the results related to common financial contracts economically and/or in business settings.

The 6-ECT program includes

Sequences and series: definition and basic examples
Spot and forward financial transactions
The theory of interest: simple convention, compound convention, commercial convention and instantaneous convention
Annuities: classification and evaluation using different financial conventions
Unshared loan amortization
Shared loan amortization
Evaluation criteria
Bonds' market: the structure of the market. From prices to rates/yields. The term structure of spot (forward) interest rates
Immunization: basic principles

The 9-ECT program also includes

The asset allocation drivers for the portfolio construction
Equity price determinants: fundamental analysis and fair value
Bond and yield curve: financial and economic drivers

Calculating the Weighted Average Cost of Capital (WACC). The Gordon model
Valuation based on the Consolidated Statement of Cash Flows. Using the Free Cash Flow to value the firm and its equity. The Valuation of a company in the framework of its accounting and financial parameters

Lectures. Practical lessons. Tutoring activity

M.E. De Giuli, M.A. Maggi, F.M. Paris , (2014), Lezioni di Matematica Finanziaria (II ed.), Giappichelli

Additional Bibliography

S. Benninga, (2010), Modelli finanziari. La finanza con Excel. Con aggiornamento online, McGraw-Hill Education
D.G. Luenberger, (2015), Introduzione alla matematica finanziaria, Apogeo Education – Maggioli Editore
S. Romagnoli, (2019), Mathematical Finance-Theory, Esculapio
S. Romagnoli, (2019), Mathematical Finance-Practice, Esculapio

Esame scritto

Additional material and information are available on the e-learning platform