A78618 Financial investment & pricing

Scuola di Economia e Management
Syllabus
Academic Year 2015/16 First Semester

foto
Docente TitolareMassimo Armanini
E-mailmarmanini@liuc.it
Office"Torre" (main tower), 3rd floor
Phone

Learning Objectives

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

  • Identify and select among different types of fixed income securities in light of their  characteristics
  • Price fixed income securities based on market and trading practice
  • Calculate the term structure of interest rates and the resulting market expectations on future interest rates dynamics
  • Perform valuations of equity shares and calculate the value of rights in case of a share capital increase

Learning targets

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

  • Identify and select among different types of fixed income securities in light of their  characteristics
  • Price fixed income securities based on market and trading practice
  • Calculate the term structure of interest rates and the resulting market expectations on future interest rates dynamics
  • Perform valuations of equity shares and calculate the value of rights in case of a share capital increase

Course Content

The corse aims to provide the student with a theoretical and practical background in the field of securities instruments and related markets. It provides a description of the characteristics of the main financial instruments clarifying their risk return profile and the mechanics of the markets where they are traded. It also offers a preview of portfolio theory and asset pricing discussing how investors build their investment portfolios and how the main types of securities are priced. The course is intended for students who want to become a money manager, an investment professional or who just want to be a wise investor. Within a rigorous analytical framework, the course offers plenty of real world examples and favors the “hands on” approach.

Course Delivery

The course will run under a mix of formal lectures, in class exercises and real life cases.

Students are expected to read the assigned material in advance before coming to class and actively participate in the class discussion.

Students are responsible for consulting on a regular basis the website of the course on “my.liuc.it” where updates, additional material and slides about the course are posted.

Prerequisites: financial mathematics, basic statistics. 

Course Evaluation

Students attending classes (MAX 1 absence during the course) will have to sit a midterm written exam and a final exam. Other points can be obtained with home assignment (Erasmus class) or experiential learning Lab (Italian class).

For all other students the grade is based on a final written exam covering all subjects dealt by the course.

Syllabus

Session 1
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Introduction and Financial and Real Assets

Readings:

Slides and material provided by professor

Session 1
Group: Italiano
Hours of lesson: 3
Instructor: A. Caggia

Topics:

Introduction and Financial and Real Assets

Readings:

Slides and material provided by professor

Session 2
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Bond Pricing: Zero Coupon Bonds

 

Readings:

Slides and material provided by professor

Luenberger chapter 1 and 2

Session 2
Group: Italiano
Hours of lesson: 3
Instructor: A. Caggia

Topics:

Bond Pricing: Zero Coupon Bonds

 

Readings:

Slides and material provided by professor

Session 3
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Bond Pricing: Coupon Bonds

Leunberger chapter 3

Readings:

Luenberger Cap 1

Session 3
Group: Italiano
Hours of lesson: 3
Instructor: A. Caggia

Topics:

Bond Pricing: Coupon Bonds

Leunberger chapter 3

Readings

Luenberger Cap 1
 

Readings:

Luenberger Cap 1

Session 4
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Term Structure: Spot Rates, Forward Rates

 

 

Leunberger chapter 4

Readings:

Session 4
Group: Italiano
Hours of lesson: 0
Instructor: A. Caggia

Topics:

Term Structure: Spot Rates, Forward Rates

 

 

Leunberger chapter 4

Readings:

Session 5
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Fixed income: Corporate Bonds, Duration

 

Leunberger chapter 4 Slides and material provided by professor

Readings:

Session 5
Group: Italiano
Hours of lesson: 3
Instructor: A. Caggia

Topics:

Fixed income

 

Readings:

Luenberger Cap 3.3 – 3.6

Slides and material provided by professor

Session 6
Group: English
Hours of lesson: 2
Instructor: M. Armanini

Topics:

Term Structure

 

Readings:

Luenberger Cap 4.1 – 4.5

Slides and material provided by professor

Session 6
Group: Italiano
Hours of lesson: 2
Instructor: A. Caggia

Topics:

Term Structure

 

Readings:

Luenberger Cap 4.1 – 4.5

Slides and material provided by professor

Session 7
Group: English
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Equities and their Prices

 

Readings:

Luenberger 5.6

Slides and material provided by professor

Session 7
Group: Italiano
Hours of lesson: 3
Instructor: A. Caggia

Topics:

Equities and their Prices

 

Readings:

Slides and material provided by professor

Session 8
Group: English
Hours of lesson: 4
Instructor: M. Armanini

Topics:

Futures and Options

 

 

Readings:

Luenberger Cap 10 e 12

Slides and material provided by professor

Session 8
Group: Italiano
Hours of lesson: 4
Instructor: A. Caggia

Topics:

Futures and Options


Readings

Luenberger Cap 10 e 12

Slides and material provided by professor

Readings:

Luenberger Cap 10 e 12

Slides and material provided by professor

Session 9
Group: English
Hours of lesson: 0
Instructor: M. Armanini

Topics:

Commodities

Readings:

Session 9
Group: Italiano
Hours of lesson: 0
Instructor: A. Caggia

Topics:

FX and Commodities

Readings:

Session 10
Group: English
Hours of lesson: 0
Instructor: M. Armanini

Topics:

Midterm exam

 

Readings:

Session 10
Group: Italiano
Hours of lesson: 0
Instructor: A. Caggia

Topics:

Midterm exam

Readings:

Session 11
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Portfolio Management: Markowitz model

 

Readings:

Luenberger Cap 6.1 – 6.10

Session 12
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Portfolio Management: CAPM

 

Readings:

Luenberger Cap 7.1 – 7.6

Session 13
Hours of lesson: 3
Instructor: M. Armanini

Topics:

Financial Markets Recap

Final Exam

Readings:

Slides and material provided by professor


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