Course 2007-2008 a.y.
5118 - FINANCIAL MATHEMATICS
DIEM
Department of Decision Sciences
Course taught in English
Activated only for students who are part of the Bocconi-CEU agreement
Go to class group/s: 17
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 students develop mathematical models that can be usefully applied both in financial theory and in corporate finance.
Course Content Summary
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Present and future values. Annuities. Capital budgeting from the viewpoint of financial mathematics. The term structure of interest rates. Duration, convexity and immunization. Applications to the management of fixed income portfolios.
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Portfolio Analysis. Mean-Variances Portfolio analysis. 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.
Detailed Description of Assessment Methods
The exam consists of a 1st partial written exam and a 2nd partial written exam. The results of the the two exams will be aggregated to obtain the marks for the course. All exams are written exams.
Textbooks
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E. CASTAGNOLI, L. PECCATI, Financial Calculus with Applications, Milano, EGEA, 2002.
- D.G. LUENBERGER, Investment Science, Oxford University Press, 1998.
Last change 25/07/2007 14:31