Course 2005-2006 a.y.



Department of Decision Sciences

Course taught in English

Go to class group/s: 17
DIEM (6 credits - I sem. - CC)
Course Director:

Classes: 17 (I sem.)

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

  • Present and future values. Annuities. Capital budgeting from the view point of financial mathematics. The term structure of interest rates. Duration, convexity and immunization. Applications to the management of fixed income portfolios.
  • Portfolio Analysis Mean and Variances of Portfolios. 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.


  • E. CASTAGNOLI, L. PECCATI, Financial Calculus with Applications, Milano, EGEA, 2002.
  • D.G. LUENBERGER, Investment Science, Oxford University Press, 1998.
Exam textbooks & Online Articles (check availability at the Library)
Last change 30/05/2005 00:00