The course is aimed at providing 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 international accounting standards
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
Lessons held by the instructor, as well as cases study
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.
Classes materials will be made available on the Aulaweb site of the course.
Ricevimento: Office hours: up to 22 December 2018, on Tuesday 10.40-12.00 a.m.; later, please contact the instructor by mail. Office hours: in the period: 18 February 2019 up to 31 May 2019, on Wednesday 10.30-11.30 a.m.; later, please contact the instructor by mail.
MARINA RESTA (President)
LUCA PERSICO
1 semester
QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING AND SOFTWARE R
The final test consists in a written examination.
Final written examination plus a report, according to what stated by the teacher during the lessons.
Attendance: not mandatory
