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QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

CODE 63661
ACADEMIC YEAR 2021/2022
CREDITS
  • 6 cfu during the 1st year of 8706 AMMINISTRAZIONE, FINANZA E CONTROLLO (LM-77) - GENOVA
  • 6 cfu during the nd year of 8706 AMMINISTRAZIONE, FINANZA E CONTROLLO (LM-77) - 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

    Exam Board

    MARINA RESTA (President)

    ESTER CESARINA LARI

    ANTONIO LUCIANO MARTIRE

    LUCA PERSICO

    MARINA RAVERA

    MARIA LAURA TORRENTE

    PIERPAOLO UBERTI

    LESSONS

    LESSONS START

    Sem: I

     

    EXAMS

    EXAM DESCRIPTION

    A final test.

    ASSESSMENT METHODS

    Final examination plus a report, according to what stated by the instructor during the lessons.

    Exam schedule

    Date Time Location Type Notes
    11/01/2022 11:00 GENOVA Scritto
    25/01/2022 11:00 GENOVA Scritto
    08/02/2022 11:00 GENOVA Scritto
    03/05/2022 09:00 GENOVA Orale Appello straordinario riservato esclusivamente ai laureandi a.a. 2020/21
    03/05/2022 09:00 GENOVA Orale Appello straordinario riservato esclusivamente ai laureandi a.a. 2020/21
    03/05/2022 09:00 GENOVA Orale Appello straordinario riservato esclusivamente ai laureandi a.a. 2020/21
    07/06/2022 11:00 GENOVA Scritto
    21/06/2022 11:00 GENOVA Scritto
    19/07/2022 11:00 GENOVA Scritto
    08/09/2022 11:00 GENOVA Scritto

    FURTHER INFORMATION

    Attendance

    Not mandatory