FINANCIAL MATHEMATICS (Cognomi L-Z)
Academic year and teacher
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- Versione italiana
- Academic year
- 2021/2022
- Teacher
- STEFANIA RAGNI
- Credits
- 8
- Didactic period
- Primo Semestre
- SSD
- SECS-S/06
Training objectives
- The overall goal of the course is the study of basic models of financial mathematics under certainty such as different types of interest (simple interest, compound interest), annuities, debt retirement methods, indices for evaluating investments.
At the end of the course, the student will be able to solve the problems regarding the most common financial operations and the choice between several financial or business plans. Prerequisites
- The students must have passed the examination "Metodi Matematici per l'Economia" of the first year.
In particular, the following notions are required:
i) solid understanding of algebra
ii) differential calculus for real functions in one variable
iii) fundamentals of matrix theory Course programme
- First part (12 hours): Interest rates. Simple interest rates. Present value of a single future
payment. Discount factors. Compound interest rates.
No-arbitrage property.
Second part (18 hours): Annuities and loan amortizations under the Italian or French plan.
Third part (10 hours): Evaluation criteria for investments and financial projects. Discussion and limits of different models (IRR, NPV, GNPV).
Fourth part (16 hours): Duration. Bond yield, trade credit, decomposition of net present value. Didactic methods
- Frontal lectures and practice exercises.
Learning assessment procedures
- Written examination. Duration: 1 hour and 30 minutes.
The purpose of the exam is to verify the level of achievement of the previously indicated educational objectives.
The written test will contain five closed-ended questions, a question whose answer is a simple number or a pair of numbers and finally a problem composed of several points whose resolution must be carried out in a clear and comprehensive way, in order to verify the knowledge of all the course contents.
The scores assigned to the different questions are directly proportional to their difficulty.
The written test also involves a theoretical question with an assigned score not higher than two points.
The final grade will be determined by the sum of the scores of correct answers in the exercises as well as in the theoretical question. Reference texts
- Erio Castagnoli, Lorenzo Peccati :"Matematica in azienda 1. Calcolo finanziario con applicazioni" (quarta edizione), editore EGEA (2010)
or alternatively
M.D'Amico, E.Luciano, L.Peccati "Calcolo finanziario"
editore EGEA (2011)
or alternatively
E.Allevi et al. "Matematica finanziaria e attuariale" Editore PEARSON (2017).
Further material is available at the course web site:
http://www.unife.it/economia/economia/insegnamenti/matematica-finanziaria-l-z
