OVERVIEW

The class is aimed to provide the student with basic mathematical techniques of portfolio management, 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 portfolio management and for the assessment of actuarial positions in the light of the most recent European legislation and accounting principles International
   

PREREQUISITES

Students are supposed to be at MSc level, with at least basic knowledge of Calculus and Statistics.

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: Portfolio management: a Review

        Part VI: Markowitz allocation scheme.

        Part VII: CAPM and APT.

        Part VIII: Beyond Markowitz        

        Part IX: Practical applications.

        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

LUCA PERSICO

MARINA RAVERA

MARIA LAURA TORRENTE

LESSONS

LESSONS START

Sem: I

Class schedule

QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

EXAMS

EXAM DESCRIPTION

Oral final test.

ASSESSMENT METHODS

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

Exam schedule

FURTHER INFORMATION