Financial mathematics

Semestre 1 · 27504 · Corso di laurea magistrale in Data Analytics for Economics and Management · 6CFU · EN

The course provides the main mathematical concepts and techniques used in the financial industry. These are pricing of bonds, term structure determination, mechanics and pricing of derivatives (forwards, futures, swaps and options) and the use of derivatives. Thus, you learn the necessary foundations in order to attend other finance classes on the master's level.

Docenti: Peter Alfons Schmid

Ore didattica frontale: 36
Ore di laboratorio: -
Obbligo di frequenza: Recommended, but not required.

Argomenti dell'insegnamento
Time value of money, interest rate markets and conventions, pricing of bonds, duration and convexity, interest rate term structure determination and yield spreads, mechanics of forward and future markets; determination of forward and future prices; interest rate and currency swaps; credit default swaps; mechanics of option markets; trading strategies involving options; binomial trees; Wiener processes; Black-Scholes-Merton model; options on stock indices, currencies, and futures; the Greek letters; volatility smile.

Modalità di insegnamento
Frontal lectures and mini cases.

Modalità d'esame
Written exams after 50% and at the end of the semester.

Criteri di valutazione
1st session: assessment based on mid-term (33%) and final exam (67%) or final exam (100%) 2nd and 3rd session: final exam (100%)

Bibliografia obbligatoria

John Hull: Optionen, Futures und andere Derivate, Pearson, 11th ed, 2021.

Bibliografia facoltativa

Selected chapters from CFA Institute Curriculum 2025 edition, Level I – III

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Obiettivi di sviluppo sostenibile
Questa attività didattica contribuisce al raggiungimento dei seguenti Obiettivi di Sviluppo sostenibile.

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