Teaching - Università Roma Tre

FINANCIAL MATHEMATICS

Code

21201494

Language

ITA

Type of certificate

Profit certificate

Credits

9

Scientific Disciplinary Sector Code

SECS-S/06

Contact Hours

60

Type of Activity

Core compulsory activities

Group: AL

Derived from	21201494 FINANCIAL MATHEMATICS in Economics and Business Administration L-18 AL MOTTURA CARLO DOMENICO (syllabus) 1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks. 2. FOUNDATIONS OF FINANCIAL CONTRACTS EVALUATION 2.1 EVALUATION IN CERTAINTY CONDITIONS Financial laws in certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return on a financial transaction. Theory of financial equivalence laws. 2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuations of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts. (reference books) David G. Luenberger Investment Science Oxford University Press (any edition) Annamaria Olivieri, Ermanno Pitacco Introduction to Insurance Mathematics Springer, 2011
Dates of beginning and end of teaching activities	From 01/03/2016 to 20/06/2016
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Written test Oral exam

Group: MZ

Derived from	21201494 FINANCIAL MATHEMATICS in Economics and Business Administration L-18 MZ CARLEO ALESSANDRA (syllabus) 1. PRELIMINARY CONCEPTS Money, time and risks. Present and future value, principal and interest. Contracts, exchange, prices. The risks. 2. FOUNDATIONS OF FINANCIAL CONTRACTS VALUATION 2.1 VALUATION IN CERTAINTY CONDITIONS Financial laws under certainty conditions. The exponential law. Annuities and mortgages. Internal rate of return of a financial transaction. Theory of financial laws. 2.2 FINANCIAL OPERATIONS IN THE MARKET. Value function and market price. The term structure. Duration indices and variability indices. Arbitrage valuation of floating rate notes. Interest Rate Swap. Term structure measurement. Term structure evolution. Introduction to financial options. Basic elements on equity options. Basic elements on traditional life insurance contracts. (reference books) David G. Luenberger Investment Science Oxford University Press (any edition) Annamaria Olivieri, Ermanno Pitacco Introduction to Insurance Mathematics Springer, 2011
Dates of beginning and end of teaching activities	From 01/03/2016 to 20/06/2016
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Written test Oral exam