Università Roma Tre

Time structure of the exchange of amounts, capital and interest: exchange of amounts, time, price, price of time, convention for measuring time, deferred contracts and rights, transactions with a fixed schedule, regular investment / indebtedness transactions, laws financial, the law of simple interests, the law of compound interests, fundamental definitions based on the value function, factors rates and intensity, instantaneous intensity.
Contracts, exchange, prices: prices on the primary and secondary market, some types are bond contracts, zero coupon securities (ZCB), fixed coupon bonds (CB), accruals, and tel. Risks: time, uncertainty, risk, credit risk for mortgages and bonds,
Evaluation in conditions of certainty, the exponential law: the exponential function as a law of financial equivalence, rates and equivalent intensity in exponential and linear law, evaluation of a financial transaction based on exponential law, equity, functional properties of exponential law, breakdown of financial transactions;
annuities and amortization schedules: definitions, present value of annuities in constant installments, deferred immediate annuity of duration m, deferred perpetual annuity, immediate anticipated annuity of duration m, anticipated perpetual annuity, deferred annuities of n years, deferred (deferred) annuity, perpetual deferred payment in advance. Earnings in appearance, deferred income in constant installments, early repayments at constant installments, deferred annuities with constant capital, the repayment schedule, single repayment amortization;
internal rate of return: the case of periodic payments, the Descartes theorem, the case of a ZCB, the case of an investment transaction, the case of a financial transaction consisting of three amounts, the case of a CB quoted on par, the Newton method, the APR (Gross annual percentage rate);
theory of financial equivalence laws: the value function in a spot contract, the value function in a forward contract, the ownership of uniformity over time, discount and capitalization factors, hypothesis of consistency between spot contracts and forward contracts , the property of divisibility, interest rates and intensity, equivalent rates, the instantaneous intensity of interest, integral form of the discount factor, uniform laws, divisible laws, Cantelli's theorem, yield maturity intensity (yield to maturity) , linear and hyperbolic capitalization, linearity of present value.
Financial transactions in the market: value function and market prices: the characteristic assumptions of the market, the perfect market, the principle of non-arbitrage, the absence of arbitrage, the single price law, zero coupon coupons, decryption theorem with respect to maturity, coupon bonds nothing not unitary, amount independence theorem, ZCB portfolios with different maturity, price linearity theorem, forward contracts, implicit price theorems, implicit rates, considerations on tax effects, case of Treasury Obligation Bonds (BOT);
interest rate maturity structure: spot maturity structures, implicit maturity structures, dominance relationship between implied interest rate structure and spot rate structure, discrete time tables, discrete time schedules with a continuous pattern, parity, risky structures and credit spreads; time index and variability indices: payment flow timescales, maturity and maturity life, duration, the case of constant-rate annuities, second-order moments, duration and dispersion of portfolios, indices of variability of a payment flow , analysis of price sensitivity, semi-elasticity, elasticity, convexity, "thumb rule";
measurement of the interest rate maturity structure: methods based on the internal rate of return, methods based on linear algebra, methods based on the parity rate, swap rate as parity rate, methods based on the estimation of a model, Masera model , Nelson -Siegel-Svensson model;
arbitrage valuation of variable rate plans: random financial transactions, variable rate coupons, effects of perfect indexing of interest shares, reinvestment security, valuation of the stochastic ZCB, logic of the replicating portfolio, valuation of the individual indexed coupon, valuation of the flow of indexed coupons, valuation of the coupon at a variable rate at issue and in place, equivalence with a roll-over strategy;
interest rate sensitive contracts (outlines): the valuation of contracts dependent on nominal interest rates, recalls on the theory of the structure by maturity in certainty conditions, models of the structure by maturity in certainty conditions, examples of IRS contracts, stochastic models for contracts IRS, a class of uni models that varied over time, the basic assumptions, the dynamics of IRS contracts, the hedging argument, risk measures, the Vasicek model.

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Dispense degli esercizi (consegnate a lezione).