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Course 2008-2009 a.y.

8219 - PRINCIPLES OF FINANCE


MM-LS - AFC-LS - CLAPI-LS - CLELI-LS - DES-LS - CLG-LS - M-LS - IM-LS - ACME-LS - EMIT-LS
Department of Finance

Course taught in English


Go to class group/s: 31

MM-LS (6 credits - II sem. - AI) - AFC-LS (6 credits - II sem. - AI) - CLAPI-LS (6 credits - II sem. - AI) - CLELI-LS (6 credits - II sem. - AI) - DES-LS (6 credits - II sem. - AI) - CLG-LS (6 credits - II sem. - AI) - M-LS (6 credits - II sem. - AI) - IM-LS (6 credits - II sem. - AI) - ACME-LS (6 credits - II sem. - AI) - EMIT-LS (6 credits - II sem. - AI)
Course Director:
PAOLO COLLA

Classes: 31 (II sem.)
Instructors:
Class 31: PAOLO COLLA


Course Objectives

Students gain a general knowledge of the pricing and the use of bonds, stocks and derivatives. The course teaches how to derive the price of bonds and stocks on the basis of the analysis of fundamental variable and the pricing of derivatives through arbitrage methods. Criteria for portfolio optimization are also taken into account.


Course Content Summary
  • the basic theory of interest, introduction to fixed income
  • duration, the term structure, spot and forward rates
  • firm valuation
  • mean variance portfolio theory, diversification effects, portfolio problems
  • the general case of N risky assets, capital market line, investor demand and optimal portfolios
  • the capital asset pricing model, security market line
  • multifactor models, the arbitrage pricing theory
  • forward, futures, swaps
  • models of asset dynamics
  • basic options theory
  • option pricing

Detailed Description of Assessment Methods

Final written exam, no intermediate exam.


Textbooks
  • D. Luenberger, Investment science, Oxford University Press, 1998

Prerequisites

Statistics, mathematics and basic Excel, option pricing.

Last change 08/04/2008 15:47