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

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
N0
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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
Teacher in charge ENRICO EDOLI
Other lecturers MARCO GALLANA

Mutuated
Course unit code Course unit name Teacher in charge Degree course code
EPP6077357 MATHEMATICS FOR FINANCIAL RISK AND DERIVATIVES ENRICO EDOLI 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

Calendar
Start of activities 02/10/2017
End of activities 19/01/2018

Examination board
Board From To Members of the board
1 Commissione A.A. 2017/18 01/10/2017 30/09/2018 EDOLI ENRICO (Presidente)
BURATTO ALESSANDRA (Membro Effettivo)
GALLANA MARCO (Membro Effettivo)

Syllabus
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)
  • Bjork T, Arbitrage theory in continuous time. Oxford: Oxford University Press, 2001. Cerca nel catalogo