CODE 63661 ACADEMIC YEAR 2022/2023 CREDITS 6 cfu anno 1 AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - GENOVA 0 cfu anno AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (LM-77) - GENOVA 6 cfu anno AMMINISTRAZIONE, FINANZA E CONTROLLO 8706 (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 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 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 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 Exam Board MARINA RESTA (President) ESTER CESARINA LARI LUCA PERSICO MARINA RAVERA MARIA LAURA TORRENTE LESSONS LESSONS START Sem: I Class schedule QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING 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 Data appello Orario Luogo Degree type Note 09/01/2023 09:00 GENOVA Orale 23/01/2023 09:00 GENOVA Orale 06/02/2023 09:00 GENOVA Orale 09/05/2023 09:00 GENOVA Orale 09/05/2023 09:00 GENOVA Orale 06/06/2023 10:00 GENOVA Orale 20/06/2023 10:00 GENOVA Orale 05/07/2023 10:00 GENOVA Orale 12/09/2023 10:00 GENOVA Orale FURTHER INFORMATION Attendance Not mandatory
