OVERVIEW

The course of Financial Engineering provides the basics regarding financial markets and develops the applications of engineering methods for solving problems in economics and finance. Particular attention is paid to the models of financial market models and to the definition of quantitative tools for risk and portfolio management.

AIMS AND CONTENT

LEARNING OUTCOMES

The course aims provides the basis of the financial markets and on the major policy tools that allow you to operate on them.

AIMS AND LEARNING OUTCOMES

Understand the functioning of financial markets, with particular reference to the stock market and the derivatives market (options and futures).

Analyzing, with the aid of the calculator, the statistical properties of the financial time series, with particular reference to stocks.

Understand and analyze stock dynamics patterns.

Understanding the theory of expected utility and portfolio theory and knowing how to apply it, with the help of the calculator, according to the investor's risk / return preferences.

Evaluate the correct price of options and futures in the absence of arbitrage.

Understand the fundamentals of risk management.

TEACHING METHODS

Lectures and computer assisted lab sessions.

SYLLABUS/CONTENT

The course is organized into 5 main topics:

1. Fundamental concepts on probabilities and stochastic processes
2. Statistical properties of the financial series
3. Financial time series models
4. Portfolio theory
5. Financial derivgfatives: futures and options
6. Risk management

RECOMMENDED READING/BIBLIOGRAPHY

Bodie Z., Kane A., Marcus A. (2021). Investments. Ed. 12th

https://www.mheducation.com/highered/product/investments-bodie-kane/M9781260013832.html

Hull J.C. (2022). Options, Futures and other Derivatives

https://www.pearson.com/us/higher-education/program/Hull-Options-Futures-and-Other-Derivatives-RENTAL-11th-Edition/PGM100003054007.html

Lecture notes and slides provided by the teacher during the course.

TEACHERS AND EXAM BOARD

Exam Board

MARCO RABERTO (President)

SILVIA MASSA

STEFANIA TESTA

SILVANO CINCOTTI (President Substitute)

LESSONS

LESSONS START

https://corsi.unige.it/8734/p/studenti-orario

Class schedule

The timetable for this course is available here: Portale EasyAcademy

EXAMS

EXAM DESCRIPTION

Written examination

ASSESSMENT METHODS

The written test aims to verify, through appropriate exercises, the student's ability to apply to numerical examples the learned analytical and modeling tools for the description and evaluation of financial portfolios, its components and financial derivatives. The oral discussion is aimed at ascertaining the student's learning of some of the fundamental theoretical concepts.

Exam schedule