| FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
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.
|
|
Codice
|
21210096 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
| Modulo: FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
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.
|
|
Codice
|
21210096-1 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
|
Crediti
|
6
|
|
Settore scientifico disciplinare
|
SECS-S/06
|
|
Ore Aula
|
40
|
|
Attività formativa
|
Attività formative caratterizzanti
|
Canale Unico
|
Docente
|
GHENO ANDREA
(programma)
SCIENZE FINANZIARIE
Processi di Wiener e Lemma di Ito
Il modello di Black-Scholes-Merton
Opzioni su indici e su valuta
Le greche
Volatility Smiles
Procedure numeriche di base
Ozioni esotiche
(testi)
Hull, J., Options, Futures, and Other Derivatives
|
|
Date di inizio e termine delle attività didattiche
|
Dal 25/02/2019 al 31/05/2019 |
|
Modalità di erogazione
|
Tradizionale
|
|
Modalità di frequenza
|
Non obbligatoria
|
|
|
| Modulo: FINANCIAL AND ACTUARIAL SCIENCES
(obiettivi)
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.
|
|
Codice
|
21210096-2 |
|
Lingua
|
ENG |
|
Tipo di attestato
|
Attestato di profitto |
|
Crediti
|
3
|
|
Settore scientifico disciplinare
|
SECS-S/06
|
|
Ore Aula
|
20
|
|
Attività formativa
|
Attività formative caratterizzanti
|
Canale Unico
|
Docente
|
CARLEO ALESSANDRA
(programma)
(Actuarial Sciences)
The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves
(testi)
Hans U. Gerber
Life Insurance Mathematics
Springer
Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer
|
|
Date di inizio e termine delle attività didattiche
|
Dal 25/02/2019 al 31/05/2019 |
|
Modalità di erogazione
|
Tradizionale
|
|
Modalità di frequenza
|
Non obbligatoria
|
|
Metodi di valutazione
|
Prova scritta
|
|
|
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Università Roma Tre