OVERVIEW

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

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 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

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

Exam Board

MARINA RESTA (President)

LUCA PERSICO

LESSONS

LESSONS START

1 semester

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

FURTHER INFORMATION

Attendance: not mandatory