Learning objectives
The aim of the course is to introduce basic models for a quantitative assessment of
- financial securities and credit instruments;
- future flows (originated by securities, production activities, a business in general,
and so on);
- the structure of prices of fixed-income securities and of their yield.
Further, we examine briefly some models for managing assets bearing interest rate
risk, as well as some mathematical models applied to problems inherent to the core
topic of the degree course.
At the end of the course the student should be able to perform the basic quantitative
assessment of financial securities and credit instruments, to compare prices of
fixed-income securities and to describe a problem of choice based on financial
criteria.
Prerequisites
Although not compulsory, a basic knowledge of the contents of Calculus is
recommended.
Course unit content
Financial accrual, present value. The valuation of annuities. Mortgages.
Price and yield to maturity of bonds. The term structure of interest rates (spot rates
and forward rates). The non-arbitrage valuation principle. Duration.
Net Present Value, Internal Rate of Return. Net Present Value and Economic Value
Added.
Interest rate risk. Immunization. Risks: (a short introduction to) representation and hedging.
Full programme
Available at:
http://economia.unipr.it/DOCENTI/files_did.asp?id=60&corso_id=98
Bibliography
A textbook selected from:
- G. Castellani, M. De Felice, F. Moriconi. Manuale di finanza - I) Tassi d'interesse,
mutui e obbligazioni. Il Mulino. 2005
- E. Castagnoli, L. Peccati. Matematica in azienda. Vol. 1 - Calcolo finanziario con
applicazioni. Egea, Milano. 2010 (3a edizione).
Teaching methods
Oral and practical lesson
Assessment methods and criteria
Written exam
Other information
- - -
