The essential topics are:
- Change and environment-strategy-structure relationship in the financial services industry
- Competitive scenario: the relevance of regulation and ICT
- Porter model applied to the financial services industry
- The business strategies of financial institutions: environment, goals, tools
- The diversification strategies of financial institutions: theoretical profiles
- The diversification strategies of financial institutions: principal characteristics and execution
- Supply side analysis. The relationships between concentration, competition, profitability and efficiency in financial institutions: from the S-C-P paradigm to the New Industrial organization
- Demand side analysis in retail banking: segmentation criteria, financial investment decisions, role of financial literacy, social media use
- Operations efficiency analysis: efficiency indicators, scale and scope economies
- The diversification strategies: strategic alliances, M&A, bancassurance
- The Fintech role on the strategic trends in financial services industry
- The managerial roles for strategic management in banking groups

For non attending students the assesment is based on oral test, based on the book Paolo Mottura, Banche, Egea, 2011, one compulsory reading (Strategia e organizzazione, file at disposal on the website of the course)and one reading in English (Haldane, 2016, file at disposal on the website of the course)
For attending students assessment is based on some chapters of the book Paolo Mottura, Banche, Egea, 2011, and other materials at disposal on the website of the course (slides, readings) at http://disa.uniroma3.it/

The role of capital in the industrial revolution
– Bank oriented and market oriented systems
– The evolution of the relationship between banks and industry in Italy from the period of Italian Unification until the banking legislation of 1936
– The IMI and IRI banks and the birth of the ‘State as businessman’
– The international gold standard (1870-1914)
– Decentralisation and financial instability between the two world wars
– The Great Depression of 1929
– The Bretton Woods system (1944-1971)
– From fluctuating exchange rates to the birth of the European Monetary System
– The evolution of public finances
– The system of state-controlled companies in Italy from the post-Second World War to privatisations in the 1990s

L. NEAL, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015,
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008
V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014

The role of capital in the industrial revolution
– Bank oriented and market oriented systems
– The evolution of the relationship between banks and industry in Italy from the period of Italian Unification until the banking legislation of 1936
– The IMI and IRI banks and the birth of the ‘State as businessman’
– The international gold standard (1870-1914)
– Decentralisation and financial instability between the two world wars
– The Great Depression of 1929
– The Bretton Woods system (1944-1971)
– From fluctuating exchange rates to the birth of the European Monetary System
– The evolution of public finances
– The system of state-controlled companies in Italy from the post-Second World War to privatisations in the 1990s

L. NEAL, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015,
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008
V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014

Specific topics face during the course: risk definition, the accountant’s mission in risk control, risk management, business and strategic risks, operational risks, financial risks, credit risks, liquidity risks, insurance risk and other risks. The Italian jurisdiction about financial statements (code civil and IAS/IFRS). The introduction of IAS/IFRS in Italy, substance over form, fair value, presentation of financial statements, risk disclosure financial instruments: recognition and measurement; fair value option, derecognition of a financial asset, hedge accounting, the transition from IAS 39 to IFRS 9. Specific topics: securitization, forfaiting, factoring, leasing. Specific issues regarding insurance companies, Related party disclosure. Enterprise risk management, internal control, control and risk self-assessment. Telecom case study. Selected topics. Analysis of financial statements of industrial, banking and insurance

Academic materials are available on internet or will be distributed or indicated during the lessons.
Further consultations: 1) S. Beretta, Valutazione dei rischi e controllo interno; 2) Chorafs D.N., IFRS, Fair Value and Corporate Governance. The Impact on Budgets, Balance Sheets and Management Accounts, Elsevier, Oxford, 2006; 3) Pucci S., L’iscrizione nel bilancio delle società quotate delle operazioni di copertura del rischio finanziario, Giappichelli, Torino, 2010; 4) M. Tutino-M. Venuti, Fair value accounting e strumenti finanziari, Cedam, 2016

Basic concepts in risk management and insurance
Insurance regulation
Insurance Company Operations
Life Insurance
Property and casualty insurance

George E. Rejda, Michael McNamara (2013) Principles of Risk Management and Insurance (12th Edition) (Pearson Series in Finance)

THE COURSE IS DIVIDED IN TWO PARTS. THE FIRST PART IS INTRODUCTORY AND RETRACES THE HISTORY OF PUBLIC PENSION SYSTEMS. THE BIRTH AND DEVELOPMENT OF PUBLIC PENSION SYSTEMS HAS BEEN AT THE CENTRE OF SEVERAL THEORETICAL APPROACHES WITHIN THE FIELDS OF POLITICAL SCIENCE, SOCIOLOGY, ECONOMICS. THOSE THEORIES ARE SHORTLY SURVEYED. NEXT, THE MAIN FEATURES OF THE PUBLIC PENSION SYSTEMS ARE PRESENTED AND THE DIFFERENT TYPOLOGIES OF THOSE SYSTEMS ARE DEFINED AND ELABORATED. FINALLY, THE ITALIAN PENSION SYSTEM IS PRESENTED AND THE HISTORY OF THE REFORMS INTRODUCED IN THE LAST TWENTY YEARS IS RETRACED.
The second part of the course is more analytical and theoretical. Namely, some analytical frameworks used to analyse the individual demand of insurance and the social consequences of public supply of pensions are presented. The following issues will be dealt with: individual choices and pension systems, public pension systems and macro-economic risk sharing among generations, the individual return on pension saving in different PAYG systems, political support to pension policies.
OBJ: The focus of the course is on the supply of old age insurance by public sector. First, the economic justifications of public pension systems are presented. Second, the different typologies of pension systems are analysed and their consequences on social welfare are considered. Finally, public pension policies in Italy are retraced and evaluated.

Attendance to lectures is compulsory. Students will be asked to write short essays on the topics presented at lectures.

B. DOUGLAS BERNHEIM, MICHAEL D. WHINSTON, MICROECONOMIA. SECONDA EDIZIONE; MILANO: MCGRAW HILL; 2013. CAPITOLI 9, 10, 20.
NICHOLAS BARR, ECONOMICS OF THE WELFARE STATE; OXFORD: OXFORD UNIVERSITY PRESS; 2012. CAPITOLI 3, 4, 7.
PAOLO BOSI (A CURA DI), CORSO DI SCIENZA DELLE FINANZE. SESTA EDIZIONE; BOLOGNA: IL MULINO; 2012. CAPITOLI 1 E 8.
MAURIZIO FERRERA, VALERIA FARGION, MATTEO JESSOULA, ALLE RADICI DEL WELFARE ALL'ITALIANA. ORIGINI E FUTURO DI UN MODELLO SOCIALE SQUILIBRATO; VENEZIA: MARSILIO EDITORI. CAPITOLI 1, 2, 3, 5.

AN ADDITIONAL READING LIST WILL BE ISSUED DURING LECTURES.

THE COURSE IS DIVIDED IN TWO PARTS. THE FIRST PART IS INTRODUCTORY AND RETRACES THE HISTORY OF PUBLIC PENSION SYSTEMS. THE BIRTH AND DEVELOPMENT OF PUBLIC PENSION SYSTEMS HAS BEEN AT THE CENTRE OF SEVERAL THEORETICAL APPROACHES WITHIN THE FIELDS OF POLITICAL SCIENCE, SOCIOLOGY, ECONOMICS. THOSE THEORIES ARE SHORTLY SURVEYED. NEXT, THE MAIN FEATURES OF THE PUBLIC PENSION SYSTEMS ARE PRESENTED AND THE DIFFERENT TYPOLOGIES OF THOSE SYSTEMS ARE DEFINED AND ELABORATED. FINALLY, THE ITALIAN PENSION SYSTEM IS PRESENTED AND THE HISTORY OF THE REFORMS INTRODUCED IN THE LAST TWENTY YEARS IS RETRACED.
The second part of the course is more analytical and theoretical. Namely, some analytical frameworks used to analyse the individual demand of insurance and the social consequences of public supply of pensions are presented. The following issues will be dealt with: individual choices and pension systems, public pension systems and macro-economic risk sharing among generations, the individual return on pension saving in different PAYG systems, political support to pension policies.
OBJ: The focus of the course is on the supply of old age insurance by public sector. First, the economic justifications of public pension systems are presented. Second, the different typologies of pension systems are analysed and their consequences on social welfare are considered. Finally, public pension policies in Italy are retraced and evaluated.

Attendance to lectures is compulsory. Students will be asked to write short essays on the topics presented at lectures.

B. DOUGLAS BERNHEIM, MICHAEL D. WHINSTON, MICROECONOMIA. SECONDA EDIZIONE; MILANO: MCGRAW HILL; 2013. CAPITOLI 9, 10, 20.
NICHOLAS BARR, ECONOMICS OF THE WELFARE STATE; OXFORD: OXFORD UNIVERSITY PRESS; 2012. CAPITOLI 3, 4, 7.
PAOLO BOSI (A CURA DI), CORSO DI SCIENZA DELLE FINANZE. SESTA EDIZIONE; BOLOGNA: IL MULINO; 2012. CAPITOLI 1 E 8.
MAURIZIO FERRERA, VALERIA FARGION, MATTEO JESSOULA, ALLE RADICI DEL WELFARE ALL'ITALIANA. ORIGINI E FUTURO DI UN MODELLO SOCIALE SQUILIBRATO; VENEZIA: MARSILIO EDITORI. CAPITOLI 1, 2, 3, 5.

AN ADDITIONAL READING LIST WILL BE ISSUED DURING LECTURES.

-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models
-Arbitrage and hedging techniques
-The Greeks
-Value at Risk and its generalizations
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives

HULL Opzioni , Futures e altri derivati. Ediz. Mylab. 2018

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

Introduzione. Funzionamento dei mercati dei futures. Strategie di copertura mediante futures. Tassi d’interesse. Determinazione dei prezzi forward e dei prezzi futures. Futures su tassi d’interesse. Swaps. Cartolarizzazioni e crisi creditizia del 2007. OIS discounting, CVA e DVA, costo della provvista. Funzionamento dei mercati delle opzioni. Proprietà fondamentali delle opzioni su azioni. Strategie operative mediante opzioni. Alberi binomiali. Processi di Wiener e lemma di Itô. Modello Black-Scholes-Merton. Stock options per impiegati e dirigenti. Opzioni su indici azionari e valute. Opzioni su futures. Lettere greche. Volatility smiles. Procedure numeriche. Valore a rischio. Stima di volatilità e correlazioni. Rischio di credito. Derivati creditizi. Opzioni esotiche. Ulteriori elementi su modelli e procedure numeriche. Martingale e misure di probabilità. Derivati su tassi d’interesse: modelli standard. Aggiustamenti per la convessità, il timing e i quantos. Derivati su tassi d’interesse: modelli del tasso a breve. Derivati su tassi d’interesse: modelli HJM e LMM. Ulteriori elementi sugli swaps. Derivati energetici, atmosferici e assicurativi. Opzioni reali.

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives

The essential topics are:
- Change and environment-strategy-structure relationship in the financial services industry
- Competitive scenario: the relevance of regulation and ICT
- Porter model applied to the financial services industry
- The business strategies of financial institutions: environment, goals, tools
- The diversification strategies of financial institutions: theoretical profiles
- The diversification strategies of financial institutions: principal characteristics and execution
- Supply side analysis. The relationships between concentration, competition, profitability and efficiency in financial institutions: from the S-C-P paradigm to the New Industrial organization
- Demand side analysis in retail banking: segmentation criteria, financial investment decisions, role of financial literacy, social media use
- Operations efficiency analysis: efficiency indicators, scale and scope economies
- The diversification strategies: strategic alliances, M&A, bancassurance
- The Fintech role on the strategic trends in financial services industry
- The managerial roles for strategic management in banking groups

For non attending students the assesment is based on oral test, based on the book Paolo Mottura, Banche, Egea, 2011, one compulsory reading (Strategia e organizzazione, file at disposal on the website of the course)and one reading in English (Haldane, 2016, file at disposal on the website of the course)
For attending students assessment is based on some chapters of the book Paolo Mottura, Banche, Egea, 2011, and other materials at disposal on the website of the course (slides, readings) at http://disa.uniroma3.it/

The role of capital in the industrial revolution
– Bank oriented and market oriented systems
– The evolution of the relationship between banks and industry in Italy from the period of Italian Unification until the banking legislation of 1936
– The IMI and IRI banks and the birth of the ‘State as businessman’
– The international gold standard (1870-1914)
– Decentralisation and financial instability between the two world wars
– The Great Depression of 1929
– The Bretton Woods system (1944-1971)
– From fluctuating exchange rates to the birth of the European Monetary System
– The evolution of public finances
– The system of state-controlled companies in Italy from the post-Second World War to privatisations in the 1990s

L. NEAL, A Concise History of International Finance. From Babylon to Bernanke, CUP, 2015,
B. EICHENGREEN, Globalizing Capital: A History of the International Monetary System, PUP, 2008
V. TANZI, Government versus Markets. The Changing Economic Role of the State, CUP, 2014

Specific topics face during the course: risk definition, the accountant’s mission in risk control, risk management, business and strategic risks, operational risks, financial risks, credit risks, liquidity risks, insurance risk and other risks. The Italian jurisdiction about financial statements (code civil and IAS/IFRS). The introduction of IAS/IFRS in Italy, substance over form, fair value, presentation of financial statements, risk disclosure financial instruments: recognition and measurement; fair value option, derecognition of a financial asset, hedge accounting, the transition from IAS 39 to IFRS 9. Specific topics: securitization, forfaiting, factoring, leasing. Specific issues regarding insurance companies, Related party disclosure. Enterprise risk management, internal control, control and risk self-assessment. Telecom case study. Selected topics. Analysis of financial statements of industrial, banking and insurance

Academic materials are available on internet or will be distributed or indicated during the lessons.
Further consultations: 1) S. Beretta, Valutazione dei rischi e controllo interno; 2) Chorafs D.N., IFRS, Fair Value and Corporate Governance. The Impact on Budgets, Balance Sheets and Management Accounts, Elsevier, Oxford, 2006; 3) Pucci S., L’iscrizione nel bilancio delle società quotate delle operazioni di copertura del rischio finanziario, Giappichelli, Torino, 2010; 4) M. Tutino-M. Venuti, Fair value accounting e strumenti finanziari, Cedam, 2016

Basic concepts in risk management and insurance
Insurance regulation
Insurance Company Operations
Life Insurance
Property and casualty insurance

George E. Rejda, Michael McNamara (2013) Principles of Risk Management and Insurance (12th Edition) (Pearson Series in Finance)

THE COURSE IS DIVIDED IN TWO PARTS. THE FIRST PART IS INTRODUCTORY AND RETRACES THE HISTORY OF PUBLIC PENSION SYSTEMS. THE BIRTH AND DEVELOPMENT OF PUBLIC PENSION SYSTEMS HAS BEEN AT THE CENTRE OF SEVERAL THEORETICAL APPROACHES WITHIN THE FIELDS OF POLITICAL SCIENCE, SOCIOLOGY, ECONOMICS. THOSE THEORIES ARE SHORTLY SURVEYED. NEXT, THE MAIN FEATURES OF THE PUBLIC PENSION SYSTEMS ARE PRESENTED AND THE DIFFERENT TYPOLOGIES OF THOSE SYSTEMS ARE DEFINED AND ELABORATED. FINALLY, THE ITALIAN PENSION SYSTEM IS PRESENTED AND THE HISTORY OF THE REFORMS INTRODUCED IN THE LAST TWENTY YEARS IS RETRACED.
The second part of the course is more analytical and theoretical. Namely, some analytical frameworks used to analyse the individual demand of insurance and the social consequences of public supply of pensions are presented. The following issues will be dealt with: individual choices and pension systems, public pension systems and macro-economic risk sharing among generations, the individual return on pension saving in different PAYG systems, political support to pension policies.
OBJ: The focus of the course is on the supply of old age insurance by public sector. First, the economic justifications of public pension systems are presented. Second, the different typologies of pension systems are analysed and their consequences on social welfare are considered. Finally, public pension policies in Italy are retraced and evaluated.

Attendance to lectures is compulsory. Students will be asked to write short essays on the topics presented at lectures.

B. DOUGLAS BERNHEIM, MICHAEL D. WHINSTON, MICROECONOMIA. SECONDA EDIZIONE; MILANO: MCGRAW HILL; 2013. CAPITOLI 9, 10, 20.
NICHOLAS BARR, ECONOMICS OF THE WELFARE STATE; OXFORD: OXFORD UNIVERSITY PRESS; 2012. CAPITOLI 3, 4, 7.
PAOLO BOSI (A CURA DI), CORSO DI SCIENZA DELLE FINANZE. SESTA EDIZIONE; BOLOGNA: IL MULINO; 2012. CAPITOLI 1 E 8.
MAURIZIO FERRERA, VALERIA FARGION, MATTEO JESSOULA, ALLE RADICI DEL WELFARE ALL'ITALIANA. ORIGINI E FUTURO DI UN MODELLO SOCIALE SQUILIBRATO; VENEZIA: MARSILIO EDITORI. CAPITOLI 1, 2, 3, 5.

AN ADDITIONAL READING LIST WILL BE ISSUED DURING LECTURES.

THE COURSE IS DIVIDED IN TWO PARTS. THE FIRST PART IS INTRODUCTORY AND RETRACES THE HISTORY OF PUBLIC PENSION SYSTEMS. THE BIRTH AND DEVELOPMENT OF PUBLIC PENSION SYSTEMS HAS BEEN AT THE CENTRE OF SEVERAL THEORETICAL APPROACHES WITHIN THE FIELDS OF POLITICAL SCIENCE, SOCIOLOGY, ECONOMICS. THOSE THEORIES ARE SHORTLY SURVEYED. NEXT, THE MAIN FEATURES OF THE PUBLIC PENSION SYSTEMS ARE PRESENTED AND THE DIFFERENT TYPOLOGIES OF THOSE SYSTEMS ARE DEFINED AND ELABORATED. FINALLY, THE ITALIAN PENSION SYSTEM IS PRESENTED AND THE HISTORY OF THE REFORMS INTRODUCED IN THE LAST TWENTY YEARS IS RETRACED.
The second part of the course is more analytical and theoretical. Namely, some analytical frameworks used to analyse the individual demand of insurance and the social consequences of public supply of pensions are presented. The following issues will be dealt with: individual choices and pension systems, public pension systems and macro-economic risk sharing among generations, the individual return on pension saving in different PAYG systems, political support to pension policies.
OBJ: The focus of the course is on the supply of old age insurance by public sector. First, the economic justifications of public pension systems are presented. Second, the different typologies of pension systems are analysed and their consequences on social welfare are considered. Finally, public pension policies in Italy are retraced and evaluated.

Attendance to lectures is compulsory. Students will be asked to write short essays on the topics presented at lectures.

B. DOUGLAS BERNHEIM, MICHAEL D. WHINSTON, MICROECONOMIA. SECONDA EDIZIONE; MILANO: MCGRAW HILL; 2013. CAPITOLI 9, 10, 20.
NICHOLAS BARR, ECONOMICS OF THE WELFARE STATE; OXFORD: OXFORD UNIVERSITY PRESS; 2012. CAPITOLI 3, 4, 7.
PAOLO BOSI (A CURA DI), CORSO DI SCIENZA DELLE FINANZE. SESTA EDIZIONE; BOLOGNA: IL MULINO; 2012. CAPITOLI 1 E 8.
MAURIZIO FERRERA, VALERIA FARGION, MATTEO JESSOULA, ALLE RADICI DEL WELFARE ALL'ITALIANA. ORIGINI E FUTURO DI UN MODELLO SOCIALE SQUILIBRATO; VENEZIA: MARSILIO EDITORI. CAPITOLI 1, 2, 3, 5.

AN ADDITIONAL READING LIST WILL BE ISSUED DURING LECTURES.

-The completeness and incompleteness of the markets
-The assumptions underlying the Black-Scholes-Merton model and the alternative valuation models
-Arbitrage and hedging techniques
-The Greeks
-Value at Risk and its generalizations
-Volatility smiles
-Insurance derivatives
-Risk management in energy markets
-Atmospheric derivatives
-Swaps
-Interest rate derivatives (standard models, short-term rate models, advanced models)
-Real Options
-Exotic Options
-Credit derivatives

HULL Opzioni , Futures e altri derivati. Ediz. Mylab. 2018

STOCHASTIC CASH-FLOWS AND INSURANCE CONTRACTS
Expected Value Criterion
Utility Function
Expected Utility Criterion

BASIC DISTRIBUTION MODELS IN LIFE INSURANCE
Random Future Lifetime of a Life aged x
Life tables

LIFE INSURANCE: PRICING
Elementary life insurance products
Survival benefits
Death benefits
Endowment insurance products
Single premium and periodic premiums. Natural premiums

LIFE INSURANCE: RESERVING
Net Premium Reserve. Prospective Reserve
Retrospective Reserve
The time profile of the policy reserve
Recursive equations. Risk and savings
Homans’ Formula. Expected Profit

EXPENSE LOADINGS
The Expense-Loaded Premium
Expense-Loaded Premium Reserves
Counterinsurance

---

PENSION PLANS
Social security framework
Contributions and benefits
Funding system
Benefits calculation
Demographic risks
System sustainability
Contributions calculations
Supplementary pension schemes
Old-Age, Survivors and Disability Insurance (OASI/IV) scheme
Exact Individual Trajectories (E.I.T.)

Annamaria Olivieri, Ermanno Pitacco
Introduction to Insurance Mathematics
Springer, 2011

Introduzione. Funzionamento dei mercati dei futures. Strategie di copertura mediante futures. Tassi d’interesse. Determinazione dei prezzi forward e dei prezzi futures. Futures su tassi d’interesse. Swaps. Cartolarizzazioni e crisi creditizia del 2007. OIS discounting, CVA e DVA, costo della provvista. Funzionamento dei mercati delle opzioni. Proprietà fondamentali delle opzioni su azioni. Strategie operative mediante opzioni. Alberi binomiali. Processi di Wiener e lemma di Itô. Modello Black-Scholes-Merton. Stock options per impiegati e dirigenti. Opzioni su indici azionari e valute. Opzioni su futures. Lettere greche. Volatility smiles. Procedure numeriche. Valore a rischio. Stima di volatilità e correlazioni. Rischio di credito. Derivati creditizi. Opzioni esotiche. Ulteriori elementi su modelli e procedure numeriche. Martingale e misure di probabilità. Derivati su tassi d’interesse: modelli standard. Aggiustamenti per la convessità, il timing e i quantos. Derivati su tassi d’interesse: modelli del tasso a breve. Derivati su tassi d’interesse: modelli HJM e LMM. Ulteriori elementi sugli swaps. Derivati energetici, atmosferici e assicurativi. Opzioni reali.

Introduction. Mechanics of Futures Markets. Hedging Strategies Using Futures. Interest Rates. Determination of Forward and Futures Prices. Interest Rate Futures. Swaps. Securitization and the Credit Crisis of 2007. OIS Discounting, Credit Issues, and Funding Costs. Mechanics of Options Markets. Properties of Stock Options. Trading Strategies Involving Options. Binomial Trees. Wiener Processes and Ito’s Lemma. The Black-Scholes-Merton Model. Employee Stock Options. Options on Stock Indices and Currencies. Options on Futures. Greek Letters. Volatility Smiles. Basic Numerical Procedures. Value at Risk. Estimating Volatilities and Correlations for Risk Management. Credit Risk. Credit Derivatives. Exotic Options. More on Models and Numerical Procedures. Martingales and Measures. Interest Rate Derivatives: The Standard Market Models. Convexity, Timing and Quanto Adjustments. Interest Rate Derivatives: Models of the Short Rate. HJM, LMM, and Multiple Zero Curves. Swaps Revisited. Energy and Commodity Derivatives. Real Options.

Hull, J., Options, Futures, and Other Derivatives

First Module (30 hours)
1. Money, monetary institutions and the financial markets
2. The demand for money
3. The supply of money and the debate on its endogeneity
4. The equilibrium of the financial sector
5. The structure of the interest rates

Second Module (30 hours)
6. Money, prices and output
7. The transmission channels of the monetary policies
8. The Gibson Paradox
9. Rules and discretion
10. Money and public finance

M. Arcelli, L’economia monetaria e la politica monetaria dell’Unione Europea, Cedam, 2007
R. Ciccone, “Public Debt and Aggregate Demand: Some Unconventional Analytics”, in E.S. Levrero, A. Palumbo and A. Stirati (eds), Sraffa and the Reconstruction of Economic Theory: volume 2. Aggregate Demand, Policy Analysis and Growth, Palgrave Macmillan, 2013, pp. 15-28 (Module 2)
A. Lavoie, Post-Keynesian Economics: New Foundations, Edward Elgar, 2014, pp. 186-225 and 245-252 (Module 1)
M. Pivetti, “Interest and profits in Smith, Ricardo and Marx”, Political Economy. Studies in the surplus approach, 3, 1, 1987, pp. 63-74 (Module 2)
M. Vernengo, Money and inflation, in P. Arestis and M. Sawyer, A Handbook of Alternative Monetary Economics, Edward Elgar, 2006, pp. 476-489 (Module 1 and 2)
C. E. Walsh, “Teaching Inflation Targeting: An Analysis for Intermediate Macro”, Journal of Economic Education, Fall 2002, pp. 333-346 (Module 2).

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

Bain K., Howells P., The Economics of Money, Banking and Finance. A European Text, Pearson Education, 2008.

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.

First Module (30 hours)
1. Money, monetary institutions and the financial markets
2. The demand for money
3. The supply of money and the debate on its endogeneity
4. The equilibrium of the financial sector
5. The structure of the interest rates

Second Module (30 hours)
6. Money, prices and output
7. The transmission channels of the monetary policies
8. The Gibson Paradox
9. Rules and discretion
10. Money and public finance

M. Arcelli, L’economia monetaria e la politica monetaria dell’Unione Europea, Cedam, 2007
R. Ciccone, “Public Debt and Aggregate Demand: Some Unconventional Analytics”, in E.S. Levrero, A. Palumbo and A. Stirati (eds), Sraffa and the Reconstruction of Economic Theory: volume 2. Aggregate Demand, Policy Analysis and Growth, Palgrave Macmillan, 2013, pp. 15-28 (Module 2)
A. Lavoie, Post-Keynesian Economics: New Foundations, Edward Elgar, 2014, pp. 186-225 and 245-252 (Module 1)
M. Pivetti, “Interest and profits in Smith, Ricardo and Marx”, Political Economy. Studies in the surplus approach, 3, 1, 1987, pp. 63-74 (Module 2)
M. Vernengo, Money and inflation, in P. Arestis and M. Sawyer, A Handbook of Alternative Monetary Economics, Edward Elgar, 2006, pp. 476-489 (Module 1 and 2)
C. E. Walsh, “Teaching Inflation Targeting: An Analysis for Intermediate Macro”, Journal of Economic Education, Fall 2002, pp. 333-346 (Module 2).

Monetary theory
Functions and forms of money. Value of money, monetary stability and inflation. Money and credit. Interest rate and rate of return on assets. The structure of interest rates. Interest rates, asset pricing and financial markets. Interest rates, exchange rates and movements of capital. Banks and money supply. Money demand and quantitative theory of money. Theories of endogenous money.

Monetary policy and transmission mechanisms
Effectiveness of monetary policy. Neutrality of money and dichotomy in the classical model. Monetary economy. Keynesian models. Monetarist models. The New Consensus in Macroeconomics and the IS-PC-MR model. The objectives of monetary policy. The instruments of monetary policy: mandatory reserves, interest rates, money supply and capital requirements of banks. The mechanisms and channels of transmission of monetary policy.

European monetary policy
The Maastricht Treaty. Independence and governance of the ECB. The ECB's strategy. The intervention instruments of the ECB. Credit risk regulation: from the Basel agreements to the European banking union.

Regulation of financial markets and financial crises
Stability and volatility of the financial markets. Currency crisis and financial crisis. Money and effective demand. Credit cycle and financial crises. The financial crisis of 2007 - 2009. Bank rescue and sovereign debt crisis. Risks of national default and euro crisis. Secular Stagnation and sterilization of monetary policies. Corporate Saving Glut. The excesses of liquidity and the instability of the financial markets.

Bain K., Howells P., Monetary Economics. Policy and its Theoretical Basis, Palgrave Macmillan, 2009.

Bain K., Howells P., The Economics of Money, Banking and Finance. A European Text, Pearson Education, 2008.

Mishkin F.S., The Economics of Money, Banking and Financial Markets, Pearson- Addison Wesley, 2004.