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.
The main objective of the course is to provide students with the knowledge and mastery of main quantitative techniques used for financial derivatives pricing, and for the valuation of actuarial items, in the light of the most recent European legislation and principles international accounting
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
Lessons held by the instructor, as well as cases study
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.
Classes materials will be made available on the Aulaweb site of the course.
Ricevimento: Office hours will be provided by the instructor directly during the lessons in the winter semester. The instructor can be always contacted by email at the address: marinaDOTrestaATunigeDOTit
MARINA RESTA (President)
ESTER CESARINA LARI
LUCA PERSICO
MARINA RAVERA
MARIA LAURA TORRENTE
Sem: I
QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING
A final test.
Final examination plus a report, according to what stated by the instructor during the lessons.
Attendance
Not mandatory
