Teaching - Università Roma Tre

DERIVATIVES AND PORTFOLIO THEORY (objectives)

Code

21201499

Language

ITA

Type of certificate

Profit certificate

Credits

9

Scientific Disciplinary Sector Code

SECS-S/06

Contact Hours

60

Type of Activity

Related or supplementary learning activities

Teacher	GHENO ANDREA (syllabus) PART I: BOND PORTFOLIO Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization. STOCK PORTFOLIO Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory. The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures. The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications. REAL ESTATE INVESTMENT Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios. PART II: DERIVATIVES Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange. Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds. Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options. (reference books) Luenberger, D., Investment Science, OUP, 2013
Dates of beginning and end of teaching activities	From 01/03/2024 to 31/05/2024
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Written test Oral exam

Teacher	GHENO ANDREA (syllabus) PART I: BOND PORTFOLIO Theory of bond portfolios. Bond market structure. Semi-deterministic theories of immunization. STOCK PORTFOLIO Financial decision theory in conditions of uncertainty. The logic of choosing between risky alternatives. The theory of expected utility. Insurance contracts and utility theory. The mean-variance analysis. The market and portfolio choices. The second-order characteristics of the portfolio. Average-variance optimization. The determination of averages and covariance. Diversification and risk measures. The Capital Asset Pricing Model. General considerations on expectations and risk in efficient markets. CAPM as a model of balance. Measurement and estimation issues. Extensions and applications. REAL ESTATE INVESTMENT Real estate investments. Characteristics of the real estate market. Selection and management of real estate portfolios. PART II: DERIVATIVES Forward contracts. Forward contracts and markets. The arbitrage relationship between spot and forward prices. Spot exchange and forward exchange. Futures contracts. Features. Daily readjustment mechanism. Futures and spot prices. Hedging and speculation with futures contracts. Futures on stock indices and on bonds. Financial options. The logic of the options. Call and put options. European and American options. Arbitrage restrictions for the option price. The binomial model. The risk-neutral evaluation. The evaluation of American options. More general options. (reference books) Luenberger, D., Investment Science, OUP, 2013
Dates of beginning and end of teaching activities	From 01/03/2024 to 31/05/2024
Delivery mode	Traditional
Attendance	not mandatory
Evaluation methods	Written test Oral exam

Teacher	Ricci Jacopo Maria
Dates of beginning and end of teaching activities	From 01/03/2024 to 31/05/2024
Attendance	not mandatory