QUANTITATIVE METHODS FOR DERIVATIVES AND ACTUARIAL PRICING

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Code
63661
ACADEMIC YEAR
2021/2022
CREDITS
6 credits during the 1st year of 8706 Accounting and Finance (LM-77) 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 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

Office hours: Actually office hours are suspended. Further information will be given during the lessons time. The instructor can be contacted via email at the address: marinaDOTrestaATeconomiaDOTunigeDOTit.

Exam Board

MARINA RESTA (President)

ESTER CESARINA LARI

LUCA PERSICO

MARINA RAVERA

MARIA LAURA TORRENTE

PIERPAOLO UBERTI

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
11/01/2022 11:00 GENOVA Scritto
25/01/2022 11:00 GENOVA Scritto
08/02/2022 11:00 GENOVA Scritto
07/06/2022 11:00 GENOVA Scritto
21/06/2022 11:00 GENOVA Scritto
19/07/2022 11:00 GENOVA Scritto
08/09/2022 11:00 GENOVA Scritto

FURTHER INFORMATION

Attendance

Not mandatory