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.
The course aims provides the basis of the financial markets and on the major policy tools that allow you to operate on them.
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.
Lectures and computer assisted lab sessions.
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
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.
Ricevimento: On appointment
MARCO RABERTO (President)
SILVIA MASSA
STEFANIA TESTA
SILVANO CINCOTTI (President Substitute)
https://corsi.unige.it/8734/p/studenti-orario
Written examination
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.
