Course unit partition: Cognomi L-Z

Academic year 2010/11
2° year of course - First semester
Academic discipline
Metodi matematici dell'economia e delle scienze attuariali e finanziarie (SECS-S/06)
Ambito aggregato per crediti di sede
Type of training activity
36 hours
of face-to-face activities
5 credits
hub: PARMA
course unit
in - - -

Course unit partition: FINANCIAL MATHEMATICS (SEM)

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


Although not compulsory, a basic knowledge of the contents of Calculus is

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:


A textbook chosen 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

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