EN
IT
Obiettivi Formativi
Il corso fornisce le nozioni necessarie per la valutazione delle attività finanziarie. Al termine del corso gli studenti saranno in grado di calcolare il valore attuale di un flusso di cassa
disponibile in futuro, determinare il rendimento di un investimento, utilizzare la teoria dei tassi di interesse composti per costruire e valutare uno schema di rimborso come un mutuo o un sinking fund. Gli studenti impareranno la struttura a termine dei tassi di interesse, come usarla e costruirla (bootstrap). Conosceranno le caratteristiche principali dei più importanti strumenti a reddito fisso come obbligazioni, swap, futures e forward. Il corso si concluderà con una presentazione della teoria del portafoglio in un contesto di media-varianza. Al termine del corso ci si aspetta che lo studente risolva problemi tratti da situazioni di vita reale (spesso semplificate) e conosca la teoria che motiva le soluzioni pratiche.
Learning Objectives
The course provides the concepts necessary to the evaluation of financial assets. Upon completion of the course the students will be able to compute the present value of a cash
flow available in the future, to determine the yield of an investment, to use the theory of compound interest rates to construct and a evaluate a reimbursement scheme like a
mortgage or a sinking fund. Students will learn about the term structure of interest rates, how to use it and construct it (bootstrap). They will know the main features of the most
important fixed income instruments such as bonds, swaps, futures and forward. The course will end with a presentation of the portfolio theory in mean-variance setting.
Upon completion of the course a student is expected to solve problems taken from real life situations (often simplified), and to know the theory motivating the practical solutions.
Prerequisiti
Il corso non ha prerequisiti formali, anche se è richiesta una conoscenza dei concetti di base di matematica.
Prerequisites
The course has no formal prerequisities, although a knowledge of basic concepts from mathematics is expected.
Programma
Il corso è un'introduzione alla teoria della valutazione delle attività finanziarie. Fornisce gli strumenti di base per valutare il rischio di un portafoglio il cui valore è influenzato dalla variazione dei tassi di interesse. Si occupa anche di flussi di cassa casuali con un approccio media-varianza. Copre i seguenti argomenti:
Flussi di flussi di cassa deterministici
1. La teoria di base dell'interesse
2. Titoli a reddito fisso
3. La struttura per scadenza dei tassi di interesse
4. Prezzi forward e futures
4. Duration e immunizzazione
5. Teoria del portafoglio media-varianza
Program
The course is an introduction to the theory of valuation of financial assets. It provides the basic tools for evaluating the risk of a portfolio whose value is affected by variation of interest rates. It also deals with random cash flows with a mean-variance approach. 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
4. Forward and futures prices
4. Duration and Immunization
5. Mean-Variance Portfolio Theory
Testi Adottati
David G. Luenberger, ” Investment Science” , Oxford University Press (2013)
Books
David G. Luenberger, ” Investment Science” , Oxford University Press (2013)
Modalità di svolgimento
Le lezioni consistono nell'illustrazione da parte del docente dei principali argomenti. Dopo l'analisi teorica di ogni argomento faranno seguito delle esercitazioni pratica.
Teaching methods
Lectures consist in the explanation by the teacher of the main topics. After the Theory, part of the lecture is devoted to practical examples.
Regolamento Esame
Gli studenti dovrebbero essere in grado di risolvere problemi che mostrino la loro comprensione della teoria.
Ci saranno compiti settimanali durante il corso. Al termine del corso è previsto un esame finale, che sarà sia scritto che orale.
Exam Rules
The students should be able to solve problems that show their understanding of the theory.
There will be weekly assignments during the course. At the end of the course there will be a final exam, which will be both written and oral.
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%).
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%).
EN
IT
Updated A.Y. 2018-2019
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%).
Updated A.Y. 2018-2019
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%).
