| First cycle degree courses | Second cycle degree courses | Single cycle degree courses |
| School of Economics and Political Science | ||
| ECONOMICS AND FINANCE | ||
Course unit
MATHEMATICS FOR FINANCIAL RISK AND DERIVATIVES
EPP6077357, A.A. 2017/18
Information concerning the students who enrolled in A.Y. 2017/18
MATHEMATICS FOR FINANCIAL RISK AND DERIVATIVES
EPP6077357, A.A. 2017/18
Information concerning the students who enrolled in A.Y. 2017/18
Information on the course unit
| Degree course |
Second cycle degree in ECONOMICS AND FINANCE EP2422, Degree course structure A.Y. 2017/18, A.Y. 2017/18 |
 bring this page with you |
|---|---|---|
| Degree course track | BANKING AND FINANCE [001PD] | |
| Number of ECTS credits allocated | 9.0 | |
| Type of assessment | Mark | |
| Course unit English denomination | MATHEMATICS FOR FINANCIAL RISK AND DERIVATIVES | |
| Department of reference | Department of Economics and Management | |
| Mandatory attendance | No | |
| Language of instruction | English | |
| Branch | PADOVA | |
| Single Course unit | The Course unit CANNOT be attended under the option Single Course unit attendance | |
| Optional Course unit | The Course unit can be chosen as Optional Course unit |
Lecturers
No lecturer assigned to this course unit
Mutuated
| Course unit code | Course unit name | Teacher in charge | Degree course code |
|---|---|---|---|
| EPP6077357 | MATHEMATICS FOR FINANCIAL RISK AND DERIVATIVES | -- | EP2423 |
ECTS: details
| Type | Scientific-Disciplinary Sector | Credits allocated | |
|---|---|---|---|
| Core courses | MAT/06 | Probability and Mathematical Statistics | 9.0 |
Mode of delivery (when and how)
| Period | First semester |
|---|---|
| Year | 1st Year |
| Teaching method | frontal |
Organisation of didactics
| Type of hours | Credits | Hours of teaching |
Hours of Individual study |
Shifts |
|---|---|---|---|---|
| Lecture | 9.0 | 63 | 162.0 | No turn |
| Prerequisites: | Mathematics, Probability, Statistics. |
| Target skills and knowledge: | This course is ideal for students who want a rigorous introduction to finance. The course covers the following fundamental topics in finance: the time value of money, portfolio theory, capital market theory, security price modeling, and financial derivatives. |
| Examination methods: | Written exam. |
| Course unit contents: | The Time Value of Money
– Compound interest with fractional compounding – NPV, IRR, and Descartes’s Rule of Signs – Annuity and amortization theory Portfolio Theory – Markowitz portfolio model – Two-security portfolio – N-security portfolio – Investor utility Capital Market Theory and Portfolio Risk Measures – The Capital Market Line – The CAPM Theorem – The Security Market Line – The Sharpe ratio – The Sortino ratio – VaR Modeling the Future Value of Risky Securities – Binomial trees – Continuous-time limit of the CRR tree – Stochastic process: Brownian motion and geometric Brownian motion – Itô’s formula Forwards, Futures, and Options – No arbitrage and the Law of One Price – Forwards – Futures – Option type, style, and payoff – Put-Call Parity for European options – Put-Call Parity bounds for American options The Black-Scholes-Merton Model – Black-Scholes-Merton (BSM) formula – P.D.E. approach to the BSM formula – Continuous-time, risk-neutral approach to the BSM formula – Binomial-tree approach to the BSM formula – Delta hedging – Implied volatility |
| Textbooks (and optional supplementary readings) |
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