CODE 63661 ACADEMIC YEAR 2017/2018 CREDITS 6 cfu anno AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - 6 cfu anno 1 AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - 6 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06 LANGUAGE Italian TEACHING LOCATION SEMESTER 1° Semester TEACHING MATERIALS AULAWEB OVERVIEW The course is aimed to provide the student with basic mathematical techniques of pricing, as well as with actuarial methods essential for the estimation of benefits in pension plans. AIMS AND CONTENT LEARNING OUTCOMES The course is aimed to provide the student with basic mathematical techniques of pricing, as well as with actuarial methods essential for the estimation of benefits in pension plans. 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 PROGRAM / CONTENTS 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 Sem: I 18 september - 15 december 2017 Class schedule QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING 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 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 FURTHER INFORMATION Attendance Not mandatory
