A86042 Informatica e metodi quantitativi per la Finanza

At the end of the course the student will be able:

1. to be familiar with Excel and Visual Basic financial tools;
2. to create and manage a financial portfolio based on client financial needs and portfolio manager’s views;
3. to assess the ex-ante and ex-post risk of financial portfolios;
4. to price non standard options and evaluate different investment strategies using Monte Carlo simulations;
5. to be familiar with some Bloomberg functions and Tools;
6. to evaluate the fair price of financial instruments (bonds, stocks, derivatives);
7. to apply for  a position of junior portfolio manager/risk manager/structured  in an  Asset Management Company or a junior position on Structured Product Desk.

At the end of the course the student will be able:

1. to be familiar with Excel and Visual Basic financial tools;
2. to create and manage a financial portfolio based on client financial needs and portfolio manager’s views;
3. to assess the ex-ante and ex-post risk of financial portfolios;
4. to price non standard options and evaluate different investment strategies using Monte Carlo simulations;
5. to be familiar with some Bloomberg functions and Tools;
6. to evaluate the fair price of financial instruments (bonds, stocks, derivatives);
7. to apply for  a position of junior portfolio manager/risk manager/structured  in an  Asset Management Company or a junior position on Structured Product Desk.

Portfolio Management and Structured Asset Management has evolved dramatically in the recent years. In particular, while in the late 90’s the focus was more on theoretical research, in the last decade the attention has been more focused on computational finance as “cross-disciplinary field which relies on computational intelligence, mathematical finance, numerical methods and computer simulations to make trading, hedging and investment decisions, as well as facilitating the risk management of those decisions[1]” (source Wikipedia).

Lectures will then be focused on financial tools that will enable to solve problems approached in other financial courses (as simulation techniques, pricing models, portfolio optimization). For this purpose, the use of software as VBA, Excel and Bloomberg will be relevant.

The course is divided into three parts:

1. in the first part, basic quantitative tools for evaluating financial instruments (discount factors, interest rates and spreads, bonds, equity, mutual funds and derivatives) and for supporting financial decisions are discussed;
2. in the second part, the focus will be on financial tools that can be used in order to analyze the main financial assets that can be used for portfolio management purposes (volatility, tracking error, passive and active fund management, portfolio optimization models);
3. the last part is dedicated to the portfolio monitoring (ex-post portfolio risk control)

The course will run under a “hands on” approach enabling an interactive learning that will be supported by numerous case studies. In particular, the fist part of each lecture will be focused on the theoretical frame that will support the quantitative solution of problems approached in the second part.

Lectures are held in IT Lab where each student can directly experiment financial tools that are presented each time. An extensive use of Bloomberg is aimed to get in touch with the real time dynamics of financial markets and advanced pricing tools for financial instruments.

In case some questions arise out of lectures, a Facebook group (named LIUC- Metodi Quant Finanza in Corso) is available to support students during the course.

Grade is based on a group take home (60%) and a final written individual exam (40%)

Take home will be assigned after the first 4/5 lectures; each group (made of a maximum of 6 students) will then present its work at the entire class and exposition will be a part of the final evaluation.

Written exam will be both multiple choice and open question and will be focus on topics covered during lectures. NOTE: in order to pass the exam it’s necessary the written part to be at least suffcient.

Non attending students: please contact course's Professors in order to define readings, exercises and methods of examination