Enrollment year
2018/2019
Academic discipline
SECS-S/06 (MATHEMATICS FOR ECONOMICS, ACTUARIAL STUDIES AND FINANCE)
Department
DEPARTMENT OF ECONOMICS AND MANAGEMENT
Course
BUSINESS ADMINISTRATION AND LAW
Curriculum
PERCORSO COMUNE
Period
1st semester (24/09/2018 - 21/12/2018)
Lesson hours
44 lesson hours
Activity type
WRITTEN TEST
Learning outcomes
The course aims to illustrate the characteristics of the main financial instruments (bonds, equities, forward, futures and options) and the related evaluation process (price formation).
Particular attention is also given to the actuarial field; forecasting the probability of death and survival, providing the necessary tools to price an insurance policy (life and death insurance) and calculation of the mathematical reserve for an insurance company.
Course contents
1) Business valuation tools
Discounting and capitalization schemes
Use of information extracted from accounting documents
2) Valuation of financial projects
Net Present Value, Internal Rate of Return and Pay-back Period
Profitability indicators: - related ROE, ROA and ROC
- absolute EVA (Economic Value Added)
3) Bond securities
Valuation of fixed coupon and variable coupon securities
Duration and convexity
Financial immunization theorems
4) Models for the evaluation of a company's equity:
Dividend Discounting Model
Free Cash Flow approach in the absence of dividends
5) Derivatives: employment in risk management and evaluation
Forward and future contracts
European options and American options
Black & Scholes model for evaluating options
Options strategies in risk management
6) Elements of actuarial mathematics
Tables of mortality and expected life span
Calculation of premiums and reserves in insurance contracts
Pension plans and pension fund characteristics.
Teaching methods
Formal and interactive lectures. During the course exercises are planned and exel is used to solve specific cases of portfolio immunization (Asset liability management), option pricing and assessment of life insurance policies.
Reccomended or required readings
Stefani, Torriero and Zambruno (2011), Elementi di Matematica Finanziaria e cenni di Programmazione Lineare, G. Giappicchelli, Quarta Edizione
John Hull (2012) Options, Futures and Other Derivatives, Prentice Hall, 8th Edition
Bodie, Z., Kane, A. and Marcus, A.J., 2012. Essentials of Investments 9th Edition. McGraw-Hill.
Olivieri and Pitacco (2015) Introduction to Insurance Mathematics, Springer, 2nd Edition
Assessment methods
The exam is written containing both theory questions and exercises.
Sustainable development goals - Agenda 2030
Università di Pavia - Offerta formativa