ITA | ENG
B029675 - PORTFOLIO CHOICE AND BOND MARKETS
Main information
Teaching Language
Course Content
Suggested readings
Learning Objectives
Prerequisites
Teaching Methods
Further information
Type of Assessment
Course program
Academic Year 2020-21
Coorte 2019 - Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Course year
Second year - First Semester
Belonging Department
Economics and Management (DISEI)
Course Type
Single education field course
Scientific Area
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Credits
12
Teaching Hours
96
Teaching Term
14/09/2020 ⇒ 09/12/2020
Attendance required
No
Type of Evaluation
Final Grade
Course Content
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Course program
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Lectureship
- Part A VILLANACCI ANTONIO
- Part B GERONAZZO LUCIO
Teaching Language
English
Teaching Language - Part B
English
Course Content
Some topics from Calculus 1: sequences, series, integration. Linear algebra. Some topology in metric
spaces. Di¤erential calculus in Euclidean spaces. Nonlinear programming.
spaces. Di¤erential calculus in Euclidean spaces. Nonlinear programming.
Course Content - Part B
The course presents the basic models for the pricing of financial instruments which value is related to the interest rate. Forward rate agreements, Eurodollar Futures and Bonds are the analized in detail. The course will deal also with the strategies that can be implemented in order to face and contrast the interest rate risk.
Suggested readings (Search our library's catalogue)
Villanacci, A., (2018), Basic Topics in Mathematics for Economics, Class Notes. Available on line on the e-learning website.
Suggested readings - Part B (Search our library's catalogue)
The learning material for the Bond Market section of the course will be made available from the teacher according to the contents of the lessons.
Learning Objectives
To present main topics in mathematics needed for a good understanding of Microeconomics. Those topics are also needed to study mathematics for Macroeconomics.
Learning Objectives - Part B
The aim of the Bond Market part of the course is to make confident the students with the financial instruments related to the interest rate, becoming able to price them and to decide the different possible strategies available to contrast the market risk.
Prerequisites
Topics usually taught in basic course on Calculus 1, i.e.: Sets. Real numbers. Real functions of one real variable; Limits for functions; Continuous functions; Differential calculus.
Prerequisites - Part B
The knowledge required for the Bond Market section of the course are all the contents given in the courses of Computational Finance and Quantitative Finance and Derivatives. A good practice in excel is also essential.
Teaching Methods
Class lectures.
Teaching Methods - Part B
The Bond Market part of the course is organized in classroom lessons and excel sections.
Further information
Notes and other class material on elearning website of the course.
Type of Assessment
Written exams. REMOTE EXAM. See moodle website of the course for further information.
Type of Assessment - Part B
A final oral exam is the way to verify the level of knowledge obtained by the student in the Bond Market part of the course,giving him a grade. During the exam the student has to demonstrate also his ability in building up specific excel models assigned by the teacher during the course.
Course program
See Table of Content of the Class Notes.
Course program - Part B
BOND MARKETS
- Valuation of cash flows and zero coupon bonds.
-Term structures
-Bond Performance Indexes.
-Forward rates.
-Forward rate agreements and Eurodollars futures.
-Floating rate bonds.
-The Italian Government Bond Market.
-Interest rate risk, duration, convexity.
-Basis Point value, volatility of a bond and dollar duration.
-Financial immunization.
-Swaps and swap rates.
-Effects of the financial crisis on the valuation of swaps.
-Convertible bonds.
- Valuation of cash flows and zero coupon bonds.
-Term structures
-Bond Performance Indexes.
-Forward rates.
-Forward rate agreements and Eurodollars futures.
-Floating rate bonds.
-The Italian Government Bond Market.
-Interest rate risk, duration, convexity.
-Basis Point value, volatility of a bond and dollar duration.
-Financial immunization.
-Swaps and swap rates.
-Effects of the financial crisis on the valuation of swaps.
-Convertible bonds.