Course 2003-2004 a.y.
5118 - FINANCIAL MATHEMATICS
Department of Decision Sciences
Go to class group/s: 17
Introduction to the course:
Course Objectives:
This course is intended to equip the students with a class of mathematical instruments relevant in the field of finance. Specifically, in the course we develop mathematical models that can be usefully applied both in financial theory and in corporate finance.
Course Content :
Brief outline of the programm.
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Financial Mathematics.
Present and future values. Annuities. Capital budgeting from the viewpoint of financial mathematics.
The terms structure of interest rates. Duration, convexity and immunization. Applications to the management of fixed income portfolios. -
Portfolio Analysis. Mean and Variances of Porfolios.
Optimal diversification of risk: the case of two securities.
Optimal diversification of risk with more than two securities.
The mean-variance frontier.
Portfolio choice in the mean variance framework. The Capital Asset Pricing Model.
Textbooks:
- E.CASTAGNOLI, L.PECCATI, Financial Calculus with Applications, Milano, EGEA, 2002.
- D.G.LUENBERGER, Investment Science, Oxford University Press,1998.
Examinations:
The exam consists of a written midterm test and a final written test. The results of the the two tests will be aggregated to obtain the grade for the course. The students will be allowed to undergo a short oral interview to improve their written score.