Social sciences and humanities
Subject: MODELS FOR FINANCIAL INVESTMENTS (A.A. 2025/2026)
degree course in ECONOMICS AND FINANCE
| Course year | 3 |
|---|---|
| CFU | 6 |
| Teaching units |
Unit Modelli per gli investimenti finanziari
Statistics and Mathematics (lesson)
|
| Exam type | written |
| Evaluation | final vote |
| Teaching language | Italiano |
Teachers
Overview
Knowledge of main forms of market risks, analyse the characteristics of the principal derivative securities (forwards, futures, options and synthetics) and their pricing by means of the technique of riskless arbitrage (no arbitrage principle). Use of financial data from main online sources and specialistic press. Issues related to sustainability risk: ESG (Environmental, Social, Governance), SDG (Social Development Goals).
The programme is consistent with in presence lectures.
Admission requirements
Mathematics, Financial Mathematics, Statistics
Course contents
Market risks, Sustainability risks (ESG and SDG)
Bond pricing, the term structure and immunization strategies
Derivatives: forwards, futures, options
Derivatives pricing and the no arbitrage principle
Pricing in the binomial model
Black and Scholes pricing formulas (basic intuition)
Some basic hedging strategies
Basics on Value at Risk
More on Moodle at the course webpage.
Teaching methods
Two possibilities. Assignments' track: students must have timely submitted and passed (mark above 18/30) the 2 Assignments (Mid-term and Final-term) and passed an oral examination in the period January-February 2023. Final exam is an average of the two parts. Traditional final examination: for those not satisfying the 2 requirements above and in any case in the exam period May-September 2023. Written (with exercise of the type in Hull's exercise book) and oral examination and the final mark will be an average of the two (students are allowed to sit for the oral part is the written one is sufficient). A facsimile of the written examination is available on Moodle.
Assessment methods
Two possibilities. Assignments' track: students must have timely submitted and passed (mark above 18/30) the 3 Assignments and passed an oral examination in the period January-February 2022. Final exam is an average of the two parts. Traditional final examination: for those not satisfying 2 requirements above and in any case in the exam period May-September 2022. Written and oral examination (possibly on the same day) and the final mark will be an average of the two (students are allowed to sit for the oral part is the written one is sufficient). A facsimile of the written examination is available on Dolly.
Learning outcomes
Knowledge and understanding: knowledge of main market risks and derivatives, their working and pricing;
Applying Knowledge and understanding: ability to implement models and to understand main financial assets and particularly derivatives (with a focus on the Italian market)
Making judgements: ability to evaluate critically portfolio models, derivatives and their use;
Communication skills: acquisition of communication skills in relation to financial asset and portfolios with the technical and appropriate language;
Learning skills: capacity of abstractions useful for the development of learning techniques.
Readings
ohn C. Hull, Opzioni, futures e altri derivati, Pearson, Milano, 10a Edizione.
John C. Hull, Opzioni, futures e altri derivati. Manuale delle soluzioni, Pearson, Milano, 10a Edizione.
NB Si consiglia agli studenti che intendono proseguire con gli studi in finanza di acquistare l’edizione del testo in lingua inglese.