# QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

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iten
Code
63661
2017/2018
CREDITS
6 credits during the 1st year of 8706 Accounting and Finance (LM-77) GENOVA

6 credits during the 1st year of 8700 Economics and Financial Institutions (LM-56) GENOVA

SCIENTIFIC DISCIPLINARY SECTOR
SECS-S/06
LANGUAGE
Italian
TEACHING LOCATION
GENOVA (Accounting and Finance)
semester
1° Semester
Teaching materials

OVERVIEW

The course is aimed to provide the student with basic mathematical techniques of pricing, as well as with actuarial methods essential for the estimation of benefits in pension plans.

## AIMS AND CONTENT

LEARNING OUTCOMES

The course is aimed to provide the student with basic mathematical techniques of pricing, as well as with actuarial methods essential for the estimation of benefits in pension plans.

AIMS AND LEARNING OUTCOMES

The course has the objectives of 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.

Classes materials will be made available on the Aulaweb site of the course.

## TEACHERS AND EXAM BOARD

Ricevimento: By appointment, contacting the teacher by e-mail. When the final lessons schedule is released, the instructor will also define office hours during which she can be contacted. Office hours: up to 31 May 2018, on Wednesday 10.30-11.30 a.m.; after 31 May 2018, please contact the instructor by mail.

Exam Board

MARINA RESTA (President)

LUCA PERSICO

## LESSONS

Teaching methods

Lessons held by the instructor, as well as cases study

LESSONS START

Sem: I

18 september - 15 december 2017

ORARI

L'orario di tutti gli insegnamenti è consultabile su EasyAcademy.

Vedi anche:

QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

## EXAMS

Exam description

The final test consists in a written examination.

Assessment methods

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

## FURTHER INFORMATION

 Attendance Not mandatory