First cycle
degree courses
Second cycle
degree courses
Single cycle
degree courses
School of Economics and Political Science
ECONOMICS AND FINANCE
Course unit
TOPICS IN QUANTITATIVE FINANCE AND ANALYSIS OF INVESTMENT PROJECTS
ECN1031398, A.A. 2016/17

Information concerning the students who enrolled in A.Y. 2016/17

Information on the course unit
Degree course Second cycle degree in
ECONOMICS AND FINANCE
EC1935, Degree course structure A.Y. 2014/15, A.Y. 2016/17
N0
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Degree course track Common track
Number of ECTS credits allocated 10.0
Type of assessment Mark
Course unit English denomination TOPICS IN QUANTITATIVE FINANCE AND ANALYSIS OF INVESTMENT PROJECTS
Department of reference Department of Economics and Management
E-Learning website https://elearning.unipd.it/economia/course/view.php?idnumber=2016-EC1935-000ZZ-2016-ECN1031398-N0
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 MICHELE MORETTO SECS-P/01
Other lecturers BRUNO VISCOLANI SECS-S/06

ECTS: details
Type Scientific-Disciplinary Sector Credits allocated
Core courses SECS-P/01 Political Economy 5.0
Core courses SECS-S/06 Mathematics for Economics, Actuarial Studies and Finance 5.0

Course unit organization
Period Second semester
Year 1st Year
Teaching method frontal

Type of hours Credits Teaching
hours
Hours of
Individual study
Shifts
Lecture 10.0 70 180.0 No turn

Calendar
Start of activities 27/02/2017
End of activities 09/06/2017
Show course schedule 2017/18 Reg.2014 course timetable

Examination board
Board From To Members of the board
3 Commissione AA 2016/17 01/10/2016 30/09/2017 MORETTO MICHELE (Presidente)
GRASSELLI MARTINO (Membro Effettivo)
VISCOLANI BRUNO (Membro Effettivo)

Syllabus
Prerequisites: Elements of Economics and Mathematics of Financial Markets.
Target skills and knowledge: This course is divided in two parts.
The first part is designed to bridge the gap between theory and practice concerning investment decisions. This part review current techniques of capital budgeting and details an approach based on the pricing of Real Options that provides a means of quantifying the elements of managerial flexibility in the face of unexpected changes in the markets. Also it will be discussed the strategic value of new technology, the interdependence of projects, and competitive interactions both for private and public investments in a game theoretical framework.

The second part is devoted to portfolio selection in both static and dynamics settings. In the beginning we will focus on the (static) mean-variance efficient frontier coming from the Markowitz model as well as the Capital Asset Pricing Theory. Then we consider the continuous time optimal investment problem solved by Merton (1971) through a Partial Differential Equation approach
Examination methods: Written exam.
Course unit contents: The Real Option Theory
Options Framework for Capital Budgeting
Quantifying Flexibility in Private and Public Investments
Interactions among Multiple Real Options
Competition and Investment Strategy

Introduction to i.i.d. variables and market invariants
Multivariate Gaussian distribution, MLE
Efficient frontier for a mean-variance criterion and the role of correlation
CAPM and Black&Litterman models
PDE approach for continuous time optimal portfolio problem
Additional notes about suggested reading: Slides of the lectures and a reading list are available online
Textbooks (and optional supplementary readings)
  • Trigeorgis, Real Options. --: MIT Press, 1996. Cerca nel catalogo
  • Dixit and Pindyck, Investment under Uncertainty. --: Princeton University Press, 1994. Cerca nel catalogo
  • Meucci, Risk and Asset Allocation,. --: Springer, 2008. Cerca nel catalogo
  • Luenberger, Investment Science. --: Oxford University Press, 1997. Cerca nel catalogo
  • Bjork, Arbitrage in continuous time.. --: Oxford University Press., 1998. Cerca nel catalogo