CODE 93165 ACADEMIC YEAR 2017/2018 CREDITS 9 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06 TEACHING LOCATION MODULES Questo insegnamento è composto da: QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING USING R SOFTWARE AIMS AND CONTENT LEARNING OUTCOMES The course has as its main objectives: to provide students with the knowledge and mastery at the application layer of the main quantitative techniques used in the pricing of financial derivatives, and the valuation of the actuarial, in the light of the most recent European legislation and accounting standards International AIMS AND LEARNING OUTCOMES The course has the objectives of providing students with the knowledge and mastery at the application level of the main quantitative techniques used for pricing of derivative financial products and for the assessment of actuarial positions in the light of the most recent European legislation and accounting principles International TEACHING METHODS Lessons held by the instructor, as well as cases study SYLLABUS/CONTENT Part I: Managing Pension Schemes: General remarks Part II: Methods for calculating pension plans: actuarial and financial aspects. Part III: The main funding methods with particular emphasis on the method: Projected Unit Credit (PUC) Part IV: The PUC in the context of international accounting discipline (IAS 19) Part V: Derivative Products: a Review Part VI: Pricing of futures and futures: graphical pay-off analysis and replication argument. Part VII: Options. Part VIII: Pricing of options with the binomial method. Part IX: Pricing of options with the Black-Scholes method. Part X: Extensions and Greeks. RECOMMENDED READING/BIBLIOGRAPHY Classes materials will be made available on the Aulaweb site of the course. TEACHERS AND EXAM BOARD MARINA RESTA Ricevimento: By appointment, contacting the teacher by e-mail. When the final lessons schedule is released, the instructor will also define office hours during which she can be contacted. Office hours: up to 31 May 2018, on Wednesday 10.30-11.30 a.m.; after 31 May 2018, please contact the instructor by mail. Exam Board MARINA RESTA (President) LUCA PERSICO LESSONS LESSONS START 18 September 2017 Class schedule QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING AND SOFTWARE R EXAMS EXAM DESCRIPTION The final test consists in a written examination. ASSESSMENT METHODS Final written examination plus a report, according to what stated by the teacher during the lessons. Exam schedule Data appello Orario Luogo Degree type Note Subject 10/01/2018 09:30 GENOVA Scritto 25/01/2018 09:30 GENOVA Scritto 08/02/2018 09:30 GENOVA Scritto 07/06/2018 09:30 GENOVA Scritto 26/06/2018 09:30 GENOVA Scritto 10/09/2018 09:30 GENOVA Scritto 10/01/2018 12:30 GENOVA Scritto 25/01/2018 12:30 GENOVA Scritto 08/02/2018 12:30 GENOVA Scritto 07/06/2018 12:30 GENOVA Scritto 26/06/2018 12:30 GENOVA Scritto 10/09/2018 12:30 GENOVA Scritto FURTHER INFORMATION Attendance: not mandatory
