QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

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iten
Code
63661
ACADEMIC YEAR
2018/2019
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 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

Ricevimento: Office hours: up to 22 December 2018, on Tuesday 10.40-12.00 a.m.; later, please contact the instructor by mail. Office hours: in the period: 18 February 2019 up to 31 May 2019, on Wednesday 10.30-11.30 a.m.; later, 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

17 september - 14 december 2018

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