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Program

EN IT

Updated A.Y. 2019-2020

B.S. in Business Administration and Economics University of Rome Tor Vergata
Fall 2018
Mathematical Finance
Stefano Herzel
Course Description
The course is an introduction to the theory of valuation of financial assets. It provides the basic tools for evaluating deterministic cash flows and random cash flows with a mean-variance approach and to the modeling of decisions through the optimization of a utility function.
It covers the following topics:


• Deterministic Cash Flow Streams
1. The Basic Theory of Interest
2. Fixed Income Securities
3. The term structure of interest rates


• Random Cash Flows
1. Mean-Variance Portfolio Theory
2. Utility Functions and Risk Aversion

• A micro-approach to Asset Pricing
1. Investor’s preferences and prices
2. Investor’s beliefs and prices
3. Asset Pricing in incomplete Markets


Textbook
David G. Luenberger, ”Investment Science” , Oxford University Press (2013)
Prerequisites


Basic knowledge of Mathematics and Statistics.


Evaluation
The final grade will be determined by class participation and homework (20%) and a final exam (80%).