cod. 16785

Academic year 2015/16
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

Knowledge and understanding:
The aim of the course is to describe the main features of the basic
quantitative models and methods for the valuation of:
- Financial securities and credit instruments;
- Future cash flows (originated by financial securities, economic
investments, enterprises, and so on);
- Structure of returns and prices of fixed-income securities.
It will also be discussed how to use such models and methods.
The models dealt with are deterministic. Some discussion about models
dealing with investments bearing financial risks is developed, with
particular regard to immunization in respect of interest rate risk.
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.
Applying knowledge and understanding:
The student will be trained in performing the basic quantitative
assessments of financial securities and credit instruments, comparing
market prices of fixed-income securities, setting a financial valuation
problem or taking a decision based on financial criteria.
Making judgements:
The course aims at developing the financial sensibility and the ability for
critical analysis which are expected from a student graduated in the
economic area, and who is employed in the financial sector, or deals with
the financial management of commercial or industrial enterprises.

Communication skills:
The student is educated in the use of the basic financial-quantitative
language. She is able to interpret (and, if necessary, validate by
developing autonomously appropriate calculations) the output of basic
financial packages, as well as to describe them to third parties (such as:
users of financial services). Moreover, she is able to understand and
describe the basic quantitative financial valuation criteria, commonly
used for financial decision-making.
Learning skills:
The student develops the ability to understand the financial problems
and to select the most appropriate quantitative valuation models. The
student learns to adopt deterministic quantitative models, also in a
stochastic framework. In this latter respect, she understands which
simplifications must be assumed in order to obtain a quick solution and
how to interpret the main findings in respect of such simplifications.


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

During classes the theoretical features of models will be described, and
through exercises their application to practical problems will be
discussed. The student will be assigned problems which she has to solve
autonomously after classes, so to develop her own ability to use the
models presented during classes.

Assessment methods and criteria

Written exam.
Knowledge and understanding will be assessed through the request of
solving three numerical problems (maximum grade: 18 over 30) and
answering to three short questions (maximum grade: 12).
Part of the numerical problems will be declined in an original way in
respect of the problems solved during classes, so to assess the ability to
apply knowledge and understanding.
Making judgements and knowledge will be assessed through the request
of interpreting some of the numerical findings.
In performing numerical calculations, commenting the numerical findings
and the answers to the short questions, the student will be required to
show her communication skills in respect of the use of an appropriate
technical language.

Other information

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