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21201730 -
Computational Finance
(objectives)
The course objective is to educate students about the MATLAB language and development environment, for programming, numerical calculation and visualization applied to financial problems.
The rule of Computational Finance is becoming increasingly important in the financial industry, both for the modeling and analysis phase, as well as for the decision-making phase.
Many models used in practice are formulated via complex mathematical problems, for which an exact or a closed-form solution could not be obtained. Consequently, computational techniques and specific numerical algorithms are required to solve such cases.
Over the duration of the Course, we attempt to integrate the understanding of theoretical with their practical use. The application of quantitative financial models will be used to simplify the comprehension of some mathematical and statistical concepts and to learn the main computational techniques, which are useful to deal with a wide range of financial problems, such as portfolio optimization, risk management and derivatives pricing. Therefore, this course is not only suitable for university students, but also for professionals who want to deepen their knowledge and understanding of the quantitative financial models explored in this course.
-
CESARONE FRANCESCO
( syllabus)
MODULE 1
1 A rapid introduction to MATLAB
1.1 MATLAB basics: Preliminary elements; Variable assignment; Workspace; Arithmetic operations; Vectors and matrices; Standard operations of linear algebra; Element-by-element multiplication and division; Colon (:) operator; Predefined function; inline Function; Anonymous Function.
1.2 M-file: Script and Function
1.3 Programming fundamentals: if, else, and elseif scheme; for loops; while loops
1.4 Matlab graphics
1.5 Preliminary exercises on programming
1.6 Exercises on the financial evaluation basics
MODULE 2
2 Preliminary elements on Probability Theory and Statistics
2.1 Random variables
2.2 Probability distributions
2.3 Continuous random variable
2.4 Higher-order moments and synthetic indices of a distribution
2.5 Some probability distributions: Uniform, Normal, Log-normal, Chi-square, Student-t
3 Linear and Non-linear Programming
3.1 Some Matlab built-in functions for optimization problems
3.2 Multi-objective optimization: Determining the efficient frontier
4 Portfolio Optimization
4.1 Portfolio of equities: Prices and returns
4.2 Risk-return analysis: Mean-Variance; Effects of the diversification in an Equally Weighted portfolio; Mean-MAD; Mean-MinMax; VaR; Mean-CVaR; Mean-Gini portfolios
4.3 Bond portfolio immunization
MODULE 3
5 Further elements on Probability Theory and Statistics
5.1 Introduction to the Monte Carlo simulation
5.2 Stochastic processes: Brownian motion; Ito’s Lemma; Geometrical Brownian motion
6 Pricing of derivatives with an underlying security
6.1 Binomial model (CRR): A replicating portfolio of stocks and bonds; Calibration of the model; Multi-period case
6.2 Black-Scholes model: Assumptions of the model; Pricing of a European call; Pricing equation for a call; Implied Volatility
6.3 Option Pricing with Monte Carlo Method: Solution in integral form; Path Dependent Derivatives
( reference books)
F Cesarone (2020), Computational Finance. MATLAB oriented modeling, Routledge-Giappichelli Studies in Business and Management, ISBN 978-0-367-49303-5
https://www.giappichelli.it/computational-finance
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9
|
SECS-S/06
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60
|
-
|
-
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-
|
Core compulsory activities
|
ITA |
Optional group:
FINANZA 2° anno LM-16 - un esame opzionale tra: - (show)
 |
9
|
|
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|
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21201489 -
ECONOMY OF INSURANCE AND WELFARE COMPANIES
(objectives)
The course aims at providing an in-depth treatment of major insurance and pension funds topics. After a discussion of basic concepts of risk management and insurance, the course focuses on main life and non-life insurance products. The economics of insurance companies is then examined considering both the managerial and the regulatory perspectives.
-
RICCI ORNELLA
( syllabus)
Basic concepts in risk management and insurance
Insurance regulation
Insurance Company Operations
Life Insurance
Property and casualty insurance
( reference books)
George E. Rejda, Michael McNamara (2013) Principles of Risk Management and Insurance (12th Edition) (Pearson Series in Finance)
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9
|
SECS-P/11
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60
|
-
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-
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-
|
Related or supplementary learning activities
|
ITA |
|
21210146 -
Advanced Corporate Finance
(objectives)
To complete and deepen/improve the theoretical and practical fundamentals of corporate finance provided in the under-graduate course of Corporate Finance, in order to develop competences and skills for understanding the capital markets functioning, the investment and financing decisions of non-financial firms, their ownership structure and their corporate governance systems. The course includes the following items:
1. the decision theory under uncertainty and the measurement of risk premium
2. financial options: definitions, typologies, fundamentals and pricing
3. contingent claim theory applied to corporate finance:
a. models à la Merton for estimating the credit risk
b. options and agency costs
c. real options for evaluating investments/companies
d. credit derivatives and CDS
4. economics and finance of M&As
5. beyond the Capital Asset Pricing Model: advanced formulations and multifactor models for estimating the cost of capital
6. determinants of capital structure choice: theories and empirical evidence
7. financial structure of the Italian firms, in comparison with European and US companies
8. IPOs and relevant implications
9. systems of corporate governance in Italy, Continental Europe and USA/World: international comparisons
10. finance of small business.
-
Derived from
21210146 Finanza aziendale - corso avanzato in Scienze Economiche LM-56 VENANZI DANIELA
( syllabus)
A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance
B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships
C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models
D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.
( reference books)
1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.
In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.
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9
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SECS-P/09
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60
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-
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-
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-
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Related or supplementary learning activities
|
ITA |
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21201735 -
Insurance and Pensione Funds
(objectives)
The aim of the course is to provide students with the theoretical foundations of calculation in life insurance, with particular reference to premiums, mathematical reserves and the insurance profit, and with the theoretical bases for understanding pension models. Students will also be able to use a spreadsheet (Excel) to solve concrete cases.
-
CARLEO ALESSANDRA
( syllabus)
STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
---
PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
( reference books)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
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9
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SECS-S/06
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60
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-
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-
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-
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Related or supplementary learning activities
|
ITA |
|
21201729 -
MATHEMATICAL FINANCE
(objectives)
The course is aimed at students who want to deepen their knowledge and acquire tools in the field of risk analysis and management in the financial markets (including the government bond market), as well as in the energy and insurance markets, also in light of the last financial crises.
-
Derived from
21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
( syllabus)
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-High Frequency Trading
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps contracts
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives
( reference books)
John C. Hull, Options, Futures and other Derivatives, Ed. Pearson
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9
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SECS-S/06
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60
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-
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-
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-
|
Related or supplementary learning activities
|
ITA |
|
21201736 -
QUANTITATIVE FINANCE AND DERIVATIVES
(objectives)
The course has the objective of providing foundations for the valuation of derivatives and for the analysis of quantitative finance problems.
-
GHENO ANDREA
( syllabus)
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.
( reference books)
Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017
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9
|
SECS-S/06
|
60
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-
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-
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-
|
Related or supplementary learning activities
|
ITA |
|
21210189 -
HISTORY OF FINANCE
(objectives)
This course is designed to illustrate the formation and evolution of monetary and financial systems in industrialised economies by using a comparative approach looking at an extended period covering the principle events between the eighteenth and twentieth centuries.
-
D'ERRICO RITA MARIA MICHELA
( syllabus)
The themes that will be studied during the course will be based around the following thematic nuclei: the establishment and the development of central banks; the development of public finance and the rise of the stock exchange markets; the role of the banks in the process of industrialisation. In this context, the cases of England, Germany, France, United Staes, Italy will be examined in a comparative approach. A special focus will be on the understanding of the Italian case study and to the evolution of the relationship between banks and industry from the period of Italian Unification. In this context, particular attention is devoted to the events leading to the emergence of the Bank of Italy as a unique central bank institution. Another central theme is the advent and the transformation of the role of the universal banks from the end of the nineteenth century until the birth of the “entrepreneurial State”, as a result of the foundation of the Istituto per la Ricostruzione Industriale (IRI); the emergence of public companies and the more recent series of privatisations in 1990s.
Another central topic of the course is the evolution of the international monetary system between the 19th and 20th centuries. The issues dealt within this context are: the gold standard (1870 – 1914) the gold excgange standard and the decentralization and financial instability in the interwars years; the Crisis of the ‘29 and the Great depression of the 1930’s; the Bretton Woods system (1944-1971); the period of floating exchange rates, following the end of the Bretton Woods system; the growth of theinflation and the growth in public spending; the birth of the European Monetary System, and the origin of the Economic and Monetary Union.
( reference books)
L. Neal, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015;
V. Tanzi, Government versus Markets. The Changing Economic Role of the State, CUP, 2014;
F. Amatori, R. Millward, P.A. Toninelli (eds.), Reappraising State-Owned Enterprise, Routledge, 2011.
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9
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SECS-P/12
|
60
|
-
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-
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-
|
Related or supplementary learning activities
|
ITA |
|
|
Optional group:
SCELTA LIBERA LM-16 - UN ESAME A SCELTA TRA - (show)
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9
|
|
|
|
|
|
|
|
|
21201489 -
ECONOMY OF INSURANCE AND WELFARE COMPANIES
(objectives)
The course aims at providing an in-depth treatment of major insurance and pension funds topics. After a discussion of basic concepts of risk management and insurance, the course focuses on main life and non-life insurance products. The economics of insurance companies is then examined considering both the managerial and the regulatory perspectives.
|
9
|
SECS-P/11
|
60
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21210095 -
EUROPEAN BANKING AND FINANCIAL LAW
(objectives)
In recent decades, the volume of EU legislation on financial law has increased exponentially. Banks, insurers, pension funds, investment firms and other financial institutions all are increasingly subject to European regulatory rules, as are day to day financial transactions.
Serving as a comprehensive and authoritative introduction to European banking and financial law, the course is organized around the three economic themes that are central to the financial industry: (i) financial markets; (ii) financial institutions; and (iii) financial transactions. It covers not only regulatory law, but also commercial law that is relevant for the most important financial transactions.
-
Derived from
21210095 EUROPEAN BANKING AND FINANCIAL LAW in Finanza e impresa LM-16 RABITTI MADDALENA, BARMANN BENEDETTA
( syllabus)
The course is divided into three parts, aimed at providing students with the basics needed to understand how financial markets operate, starting first of all from the system of European sources.
The second part, relating to financial markets, is dedicated to the stock market, to an analysis of market abuse hypotheses and to the examination of consumer rights protection instruments.
Finally, the financial institutions are examined in greater depth, focusing both on the organization of banks and supervisors, and on cases of insolvency on the part of banks, to conclude with investment funds.
( reference books)
M. Haentjens, P. De Gioia Carabellese, European Banking and Financial Law, Routledge, 2015, pp. 1-151.
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9
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IUS/05
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60
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-
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-
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-
|
Elective activities
|
ENG |
|
21210096 -
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.
|
|
|
21210096-1 -
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.
|
6
|
SECS-S/06
|
40
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21210096-2 -
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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3
|
SECS-S/06
|
20
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21210146 -
Advanced Corporate Finance
(objectives)
To complete and deepen/improve the theoretical and practical fundamentals of corporate finance provided in the under-graduate course of Corporate Finance, in order to develop competences and skills for understanding the capital markets functioning, the investment and financing decisions of non-financial firms, their ownership structure and their corporate governance systems. The course includes the following items:
1. the decision theory under uncertainty and the measurement of risk premium
2. financial options: definitions, typologies, fundamentals and pricing
3. contingent claim theory applied to corporate finance:
a. models à la Merton for estimating the credit risk
b. options and agency costs
c. real options for evaluating investments/companies
d. credit derivatives and CDS
4. economics and finance of M&As
5. beyond the Capital Asset Pricing Model: advanced formulations and multifactor models for estimating the cost of capital
6. determinants of capital structure choice: theories and empirical evidence
7. financial structure of the Italian firms, in comparison with European and US companies
8. IPOs and relevant implications
9. systems of corporate governance in Italy, Continental Europe and USA/World: international comparisons
10. finance of small business.
-
Derived from
21210146 Finanza aziendale - corso avanzato in Scienze Economiche LM-56 VENANZI DANIELA
( syllabus)
A) Investment decisions
1. decision theory under uncertainty and risk premium measures
2. financial options: theory, pricing models, risk-return
3. contingency theory analysis applied to corporate finance: a) corporate capital in terms of options, betas and debt agency costs; b) risk-credit models à la Merton; c) credit derivatives and credit default swap (CDS)
4. real options: types (growth, scope-down, downsizing, defer-learn, etc.), valuation techniques and examples in evaluation of investment projects and firms
5. mergers and acquisitions: theory, determinants, international empirical evidence, performance
B) Financing decisions
1. key determinants of the capital structure choice
2. international empirical evidence: research strands and main empirical findings
3. international comparisons on real corporate financial structure, worldwide
4. IPOs and main features
5. dividend policy: theories and financing relationships
C) How to measure the cost of capital
1. CAPM
2. impact of indebtedness
3. extension of CAPM in imperfect markets and how to empirically test CAPM
3. beyond CAPM: multi-factor models
D) Ownership models and corporate governance systems
1. types of ownership and CG system
2. cross-country and trend comparative analysis about CG systems in USA, Europe and World and respective empirical evidence
3. the finance of small business.
( reference books)
1. Berk J., De Marzo P., 2018, Finanza aziendale 1, IV edizione, Pearson, capp.17 (incluse le Appendici), 18 e §§ 13.1, 13.6, 13.7 (pp.496-497)
2. Berk J., De Marzo P., Morresi O., Venanzi D., 2018, Finanza aziendale 2 –Teoria e pratica della finanza moderna, Pearson, capp. 1-2 (solo §§ 2.1, 2.3, 2.5, 2.6, 2.7)-3-4-6-7-10-13-14 e § 12.8.
In addition, slides, notes, exercises, cases, data and other teaching materials provided from the teacher on the course website (the requested passwords are provided). The program includes the exercises/problems and other materials at the end of textbook chapters or downloadable from both course and textbook websites.
|
9
|
SECS-P/09
|
60
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21201735 -
Insurance and Pensione Funds
(objectives)
The aim of the course is to provide students with the theoretical foundations of calculation in life insurance, with particular reference to premiums, mathematical reserves and the insurance profit, and with the theoretical bases for understanding pension models. Students will also be able to use a spreadsheet (Excel) to solve concrete cases.
-
Derived from
21201735 FINANZA DELL'ASSICURAZIONE E DEI FONDI PENSIONE in Finanza e impresa LM-16 N0 CARLEO ALESSANDRA
( syllabus)
STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion
BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables
LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums
LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit
EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance
---
PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)
( reference books)
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21201729 -
MATHEMATICAL FINANCE
(objectives)
The course is aimed at students who want to deepen their knowledge and acquire tools in the field of risk analysis and management in the financial markets (including the government bond market), as well as in the energy and insurance markets, also in light of the last financial crises.
-
Derived from
21201729 FINANZA MATEMATICA in Scienze Economiche LM-56 MASTROENI LORETTA CLARA LETIZIA
( syllabus)
The course is aimed at students who want to deepen their knowledge and acquire quantitative tools on risk analysis and management in the financial markets (including the government bond and derivative markets), as well as in the energy and insurance markets, also in light of the problems and weaknesses of the models currently used emerged over the years from the various financial crises and the formation of bubbles.
Program
-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models to it
-Arbitrage and hedging techniques
-Greek Letters
-Value at Risk and its generalizations
-High Frequency Trading
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps contracts
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives
( reference books)
John C. Hull, Options, Futures and other Derivatives, Ed. Pearson
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21201736 -
QUANTITATIVE FINANCE AND DERIVATIVES
(objectives)
The course has the objective of providing foundations for the valuation of derivatives and for the analysis of quantitative finance problems.
-
Derived from
21201736 FINANZA QUANTITATIVA E DERIVATI in Finanza e impresa LM-16 N0 GHENO ANDREA
( syllabus)
Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.
( reference books)
Hull, J., Options, Futures, and Other Derivatives, 10th Edition, Pearson, 2017
|
9
|
SECS-S/06
|
60
|
-
|
-
|
-
|
Elective activities
|
ITA |
|
21210098 -
RISK AND ACCOUNTING
(objectives)
The course focuses on the relationship between governance, risk management and financial disclosure, the aim of putting the students in the condition to evaluate the way that related company decisions are made and presented. This course moves from the idea that financial statements, together with other reporting published by the companies (i.e. the sustainability reporting), are a mean to communicate the overall state of health of the company and provide useful information regarding the measurement of different kinds of risks. In this view the purpose of the course is to assist students in analysis the financial of information published by the companies to understand the company’s financial results in the light of existent specific risks and how they are managed.
-
Derived from
21210098 RISK AND ACCOUNTING in Finanza e impresa LM-16 DEMARTINI PAOLA, Venuti Marco
( syllabus)
Specific topics covered during the course:
INTRODUCTION
The stakeholders and the company’s disclosure (financial statements and sustainability information)
Governance and Risk Disclosure
TYPES OF RISKS, GOVERNANCE & RISK, RISK MANAGEMENT
Risk definition,
Governance & risk: the new code of Governance
The basic processes of Risk Management
Approaches, methods and techniques used to manage risk
The different kinds of risk
Strategic risks, operational risks, financial risks, credit risks, liquidity risks
Financial and Non-financial risks
Insurance risk and other risks,
RISKS ANALYSIS BY SUSTAINABILITY INORMATION
CSR and sustainaibility disclosure
environmental, social and governance (ESG) and climate change-related information
Non-financial statement: scope, content and publication, European Commission Action Plan
Non-financial key performance indicators and main standards
Specific topics: ITC, cyber security, compliance risks
Management and communication of an event risk: the Covid case
RISKS ANALYSIS BY FINANCIAL INFORMATION
The Italian jurisdiction about financial statements (Civil Code and IAS/IFRS),
structure of the Italian accounting systems, substance over form, fair value,
risks disclosure in financial statements: risks reports
Financial risks communication by financial instruments accounting
definition of financial instruments
recognition and measurement of financial instrument
expected loss model
derecognition of financial assets and financial liabilities,
Specific issues: securitization, repurchase agreements and securities lending transactions
derivatives and hedge accounting
Selected topics regarding insurance companies (layouts, measurement criteria, technical provisions, mathematical provisions, risks report)
Risk communication by lease accounting
( reference books)
Slides and links to other sources will be available on the website.
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9
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SECS-P/07
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60
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Elective activities
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ENG |
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21210189 -
HISTORY OF FINANCE
(objectives)
This course is designed to illustrate the formation and evolution of monetary and financial systems in industrialised economies by using a comparative approach looking at an extended period covering the principle events between the eighteenth and twentieth centuries.
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Derived from
21210189 STORIA DELLA FINANZA in Finanza e impresa LM-16 D'ERRICO RITA MARIA MICHELA
( syllabus)
The themes that will be studied during the course will be based around the following thematic nuclei: the establishment and the development of central banks; the development of public finance and the rise of the stock exchange markets; the role of the banks in the process of industrialisation. In this context, the cases of England, Germany, France, United Staes, Italy will be examined in a comparative approach. A special focus will be on the understanding of the Italian case study and to the evolution of the relationship between banks and industry from the period of Italian Unification. In this context, particular attention is devoted to the events leading to the emergence of the Bank of Italy as a unique central bank institution. Another central theme is the advent and the transformation of the role of the universal banks from the end of the nineteenth century until the birth of the “entrepreneurial State”, as a result of the foundation of the Istituto per la Ricostruzione Industriale (IRI); the emergence of public companies and the more recent series of privatisations in 1990s.
Another central topic of the course is the evolution of the international monetary system between the 19th and 20th centuries. The issues dealt within this context are: the gold standard (1870 – 1914) the gold excgange standard and the decentralization and financial instability in the interwars years; the Crisis of the ‘29 and the Great depression of the 1930’s; the Bretton Woods system (1944-1971); the period of floating exchange rates, following the end of the Bretton Woods system; the growth of theinflation and the growth in public spending; the birth of the European Monetary System, and the origin of the Economic and Monetary Union.
( reference books)
L. Neal, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015;
V. Tanzi, Government versus Markets. The Changing Economic Role of the State, CUP, 2014;
F. Amatori, R. Millward, P.A. Toninelli (eds.), Reappraising State-Owned Enterprise, Routledge, 2011.
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9
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SECS-P/12
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60
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Elective activities
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ITA |
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Università Roma Tre