| FINANCIAL AND ACTUARIAL SCIENCES
(objectives)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
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|
Code
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21210096 |
|
Language
|
ENG |
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Type of certificate
|
Profit certificate
|
| Module: FINANCIAL AND ACTUARIAL SCIENCES
(objectives)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
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|
Code
|
21210096-1 |
|
Language
|
ENG |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
6
|
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Scientific Disciplinary Sector Code
|
SECS-S/06
|
|
Contact Hours
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40
|
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Type of Activity
|
Core compulsory activities
|
|
Teacher
|
GHENO ANDREA
(syllabus)
FINANCIAL SCIENCES
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Options on Stock Indices and Currencies
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options
(reference books)
Hull, J., Options, Futures, and Other Derivatives
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|
Dates of beginning and end of teaching activities
|
From 28/09/2017 to 16/12/2017 |
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Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
|
| Module: FINANCIAL AND ACTUARIAL SCIENCES
(objectives)
The course is structured in two modules: Financial Sciences and Actuarial Sciences.
The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.
The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.
|
|
Code
|
21210096-2 |
|
Language
|
ENG |
|
Type of certificate
|
Profit certificate
|
|
Credits
|
3
|
|
Scientific Disciplinary Sector Code
|
SECS-S/06
|
|
Contact Hours
|
20
|
|
Type of Activity
|
Core compulsory activities
|
|
Teacher
|
CARLEO ALESSANDRA
(syllabus)
(Actuarial Sciences)
The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves
(reference books)
Hans U. Gerber
Life Insurance Mathematics
Springer
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer
|
|
Dates of beginning and end of teaching activities
|
From 28/09/2017 to 16/12/2017 |
|
Delivery mode
|
Traditional
|
|
Attendance
|
not mandatory
|
|
Evaluation methods
|
Oral exam
|
|
|
|
Università Roma Tre