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. 2018/19

Information concerning the students who enrolled in A.Y. 2018/19

Information on the course unit
Degree course Second cycle degree in
ECONOMICS AND FINANCE
EP2422, Degree course structure A.Y. 2017/18, A.Y. 2018/19
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
Website of the academic structure http://www.economia.unipd.it
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

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

Type of hours Credits Teaching
hours
Hours of
Individual study
Shifts
Lecture 9.0 63 162.0 No turn

Calendar
Start of activities 01/10/2018
End of activities 18/01/2019

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
Assessment criteria: 100% final 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
Planned learning activities and teaching methods: Presentation of mathematical models by teacher and exercises.
Textbooks (and optional supplementary readings)
  • John C. Hull, Options, Futures, and Other Derivatives (9th Edition). --: --, --. Cerca nel catalogo
  • Tomas Björk, Arbitrage Theory in Continuous Time. --: --, --. Cerca nel catalogo

Innovative teaching methods: Teaching and learning strategies
  • Lecturing
  • Case study
  • Interactive lecturing