CODE 63661 ACADEMIC YEAR 2019/2020 CREDITS 6 cfu anno 1 AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - GENOVA 6 cfu anno AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - GENOVA 9 cfu anno 1 ECONOMIA E ISTITUZIONI FINANZIARIE 8700 (LM-56) - GENOVA SCIENTIFIC DISCIPLINARY SECTOR SECS-S/06 LANGUAGE Italian TEACHING LOCATION GENOVA 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 for the estimation of benefits in pension plans. AIMS AND CONTENT LEARNING OUTCOMES The course is aimed at providing students with the knowledge and mastery at the application layer of main quantitative techniques used (a) in financial derivatives pricing, and (b) for actuarial computing, in the light of the most recent European legislation and international accounting standards. AIMS AND LEARNING OUTCOMES The course is aimed at 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: Office hours: up to 21 December 2019, on Tuesday 11.00-12.00 a.m.; later, please contact the instructor by mail. Office hours: in the period: 17 February 2020 up to 30 May 2020, on Tuesday 10.00-11.00 a.m.; later, please contact the instructor by mail. Actually office hours are suspended. In case of necessity please contact the instructor at the following email address: Marina DOT Resta AT economia DOT unige DOT it Exam Board MARINA RESTA (President) CRISTINA LUIGIA GOSIO ESTER CESARINA LARI LUCA PERSICO MARINA RAVERA MARIA LAURA TORRENTE PIERPAOLO UBERTI LESSONS LESSONS START Sem: I 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 instructor during the lessons. Exam schedule Data appello Orario Luogo Degree type Note 08/01/2020 09:30 GENOVA Scritto 22/01/2020 09:30 GENOVA Scritto 11/02/2020 09:30 GENOVA Scritto 04/06/2020 09:30 GENOVA Scritto 18/06/2020 09:30 GENOVA Scritto 03/07/2020 09:30 GENOVA Scritto 03/09/2020 09:30 GENOVA Scritto FURTHER INFORMATION Attendance Not mandatory
