| FINANCIAL MATHEMATICS
(objectives)
The course aims to set the logical foundations of financial evaluation, to provide the basics for the markets’ formalization and for the measurement of the value and risk of financial contracts, to introduce the evaluation of traditional insurance contracts.
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Code
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21201494 |
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Language
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ITA |
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Type of certificate
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Profit certificate
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Credits
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7
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Scientific Disciplinary Sector Code
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SECS-S/06
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Contact Hours
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56
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Type of Activity
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Elective activities
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Group: A - L
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Derived from
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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
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Dates of beginning and end of teaching activities
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From 04/03/2019 to 31/05/2019 |
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Delivery mode
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Traditional
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
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Group: M - Z
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Derived from
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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
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From 04/03/2019 to 31/05/2019 |
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Delivery mode
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Traditional
|
|
Attendance
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not mandatory
|
|
Evaluation methods
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Written test
Oral exam
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|
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Università Roma Tre