Social sciences and humanities
Subject: FINANCIAL MODELING APPLICATIONS (A.A. 2025/2026)
Unit Applicazioni dei modelli finanziari
The programme is being adapted as a result of the new remote delivery methods.
The aim of the course is to implement with the use of real data, the most common theoretical pricing models for assets, bonds and derivatives.
For the objectives of the course see the section about the expected learning outcomes
Basics of Financial Mathematics, Statistics and Financial Modelling.
The timeline is purely indicative, it can be modified following students' feeddback.
Block 1. basic financial calculus 2 CFU 14 hours
1. Basic Financial Calculus with Excel, Simple and complex financial functions, capital budgeting
Block 2. Bonds. 2 CFU 14 hours
2. Bonds: duration, immunization and the term structure of interest rates.
Block 3. Portfolio theory and options 2 CFU 14 hours
3. Portfolio models: variance-covariance matrix, efficient portfolios, linear regression and the CAPM test.
Value at Risk.
Options: the binomial option pricing model, the evaluation of american style options, the lognormal distribution, Black and Scholes and implied volatility
Teaching is delivered through face-to-face lectures, with the use of Excel and real data. Attendance at the course is not mandatory but strongly recommended. During each lecture it is shown how to obtain the data and implement step by step the pricing models in Excel. Each lecture is video recorded. The video recordings are available on teams. The teaching is delivered in English.
The exam will take place at the end of the course according to the official exam session calendar. The test is written. The duration is 1 hour. The exam consists of 6 exercise in Excel. One exercise is worth 6 points, the others 5 points. The rating scale is in thirtieths. The exam is passed with an overall score of at least 18/30. The exercises are aimed at assessing: - knowledge and understanding skills; - the application of knowledge and understanding; - autonomy of judgement. The test results will be communicated by insertion in esse3 within two weeks of the test.
1) Knowledge and understanding
at the end of the course, it is hoped that the student will be able to:
knowledge and comprehension of the statistical and financial functions of the Excel spreadsheet.
2) Applied knowledge and understanding:
Ability to represent and implement in Excel the main pricing models for equities, bonds and derivatives (options), with real data.
3) Autonomy of judgment
a) verify one's degree of learning and understanding of the concepts exposed thanks to the possibility of intervention in the lesson and the possibility represented by the exercises;
b) reorganize the knowledge learned and implement one's own ability to critically and autonomously evaluate what has been learned.
4) Communication skills
a) correctly and logically express one's knowledge, recognizing the required topic and answering the exam questions in a timely and complete manner.
b) synthesize and fully elaborate the fundamental elements of general and financial mathematics illustrating the key concepts and the elements of distinction and internal connection.
5) Learning ability
a) deepen the notions learned to continue one's university career by making use of terminology, schemes, concepts as tools to achieve a 360-degree knowledge of financial applications;
b) mastering and refining one's own mathematical language, remembering its constitutive and expressive elements and learning to use the logical-mathematical method of reasoning.
Il testo di riferimento è il seguente:
Simon Benninga, Modelli Finanziari, la finanza con Excel, McGraw-Hill, 2010, seconda edizione, con CD-Rom allegato.
Si veda anche:
James H. Stock, Mark W. Watson, Introduzione all'econometria, Edizione italiana a cura di Franco Peracchi, Milano, Pearson Education Italia, 2005.
Per approfondimenti su Excel consultare i relativi manuali o l’help in linea.