Scuola di Economia e Management
Scheda Insegnamento
Anno Accademico 2016/17 Secondo Semestre
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Obiettivi di apprendimento attesi
At the end of the course the student will be able:
Risultati di apprendimento attesi
At the end of the course the student will be able:
Contenuti dell’insegnamento
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] Source Wikipedia (http://en.wikipedia.org/wiki/Computational_finance)
Metodologia Didattica
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.
Modalità con cui viene accertata l’effettiva acquisizione dei risultati di apprendimento.
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
Syllabus
Lezione 1 Docente: E. Laruccia | Argomenti Financial Tools Letture handouts |
Lezione 2 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Financial Instruments: Interest rate curve and bonds Letture Fabozzi, The Handbook of Fixed Income Securities |
Lezione 3 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Financial Instruments: equity, currencies and commodites Letture handouts |
Lezione 4 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Financial Instruments: financial indices, benchmarks, mutual funds & ETFs Letture |
Lezione 5 Docente: E. Laruccia | Argomenti Financial Tools Letture handouts |
Lezione 6 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Financial Instruments: derivatives Letture Paul Wilmott Introduces Quantitative Finance – Paul Wilmott |
Lezione 7 Ore di lezione: 0 Docente: E. Laruccia | Argomenti Portfolio Costruction Letture handouts |
Lezione 8 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Risk & Return (volatility, correlation, tracking error): applications to simple portfolios Mutual Funds structure and development (hints) Letture handouts |
Lezione 9 Ore di lezione: 0 Docente: E. Laruccia | Argomenti Portfolio Monitoring Letture handouts |
Lezione 10 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Quantitative Asset Management: volatility target, low tracking error funds Letture handouts |
Lezione 11 Docente: E. Laruccia | Argomenti Take home discussion Letture |
Lezione 12 Ore di lezione: 0 Docente: C. Osnaghi | Argomenti Structured Asset Management & Portfolio Insurance Letture Theory of portfolio insurance, Black & Perold |
Lezione 13 Docente: E. Laruccia | Argomenti Final Recap Letture |