cod. 16785

Academic year 2012/13
2° year of course - First semester
Academic discipline
Metodi matematici dell'economia e delle scienze attuariali e finanziarie (SECS-S/06)
Type of training activity
42 hours
of face-to-face activities
6 credits
hub: PARMA
course unit
in - - -

Learning objectives

The aim of the course is to introduce the basic financial 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.


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
Interest rate risk. Immunization.

Full programme

Available at:


M. D'Amico, E. Luciano, L. Peccati, Calcolo finanziario. Temi di base e temi moderni, Egea, Milano, 2011.

Teaching methods

Oral lessons and tutorials.

Assessment methods and criteria

Written exam.

Other information

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