QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING
9 credits during the 1st year of 8700 Economics and Financial Institutions (LM-56) GENOVA
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
Ricevimento: Actually office hours are suspended. Further information will be given during the lessons time.
Exam Board
MARINA RESTA (President)
MARIA LAURA TORRENTE
PIERPAOLO UBERTI
MARINA RAVERA
ESTER CESARINA LARI
LUCA PERSICO
CRISTINA LUIGIA GOSIO
LESSONS
Teaching methods
Lessons held by the instructor, as well as cases study
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 |
---|---|---|---|---|
09/02/2021 | 09:30 | GENOVA | Scritto | |
03/06/2021 | 09:30 | GENOVA | Scritto | |
17/06/2021 | 09:30 | GENOVA | Scritto | |
02/07/2021 | 09:30 | GENOVA | Scritto | |
02/09/2021 | 09:30 | GENOVA | Scritto |
FURTHER INFORMATION
Attendance |
Not mandatory |