Course Details for A.Y. 2011/2012

The information on this page refer to the academic year 2011/2012. Therefore, several links are not available and data may be incomplete. To read the current information on the course, if it is still available, go to the university course catalogue . To read information relating other academic years, use the list at the bottom of this page.

A. Year:

2011/2012

Name:

Modelli e Algoritmi per la finanza Aziendale I /

Type:

Course

Basic information

Code:

F0157

Sector:

SECS-P09

Credits:

: 6 CFU (b)

Term:

2° semestre

Degree(s):

Laurea Base in Informatica curriculum Generale Opzionale
Laurea Magistrale in Informatica curriculum ASSC Opzionale
Laurea Magistrale in Informatica curriculum GSEEM Opzionale
Laurea Magistrale in Informatica curriculum Generale Opzionale

Language:

Italian

Teacher(s):

Giuseppe Alesii

Propaedeutics:

Analisi Matematica II
Calcolo delle Probabilità
Laboratorio di Algoritmi e Strutture Dati

Course Objectives

Introduction to finance problems from a micro and macro economics perspective and from a financial accounting point of view. Applications of computer science and quantitative abilities to financial modelling

Course Content

Fixed income valuation under certainty: interest rate risk and duration
Equities valuation under certainty: dividend discount models
Capital budgeting under the assumption of certain cash flows
Risky assets valuation: Markowitz portfolio selection, Sharpe Lintner Mossin CAPM, Ross APT
Introduction to martingale pricing: plain vanilla options valuations
An hands on introduction to stochastic processes: Geometric Brownian Motion, univariate and multivariate cases with correlated Wiener, Ornstein Uhlenbeck processes, GARCH volatility modelling

Prerequisites and Learning Activities

See required courses. A good programming ability is required for the following applications: A) any spreadsheet, e.g. Excel, Calc; B) any matrix oriented language, e.g. MatLab, Gauss, Ox, Octave, Scilab. In the computer lab classes, Gauss will be used. Univariate and multivariate calculus is applied in most of the models. A solid background in probability theory is required.

Assessment Methods and Criteria

Two written exams during the 14 weeks course, mid term and final. The same exercises will be given during ordinary exams sessions during the year. Written test account for 90% of final valuation. A short oral exam is due to get the final grade by those students who got at least an average pass grade for the written tests.

Textbooks

Thomas E. Copeland, J. Fred Weston, and Kuldeep Shastri, Financial Theory and Corporate Policy , Addison-Wesley 2005. (4th Edition).
Luenberger, D, Investment Science , Oxford University Press. 1998.
Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, William N. Goetzmann, Modern Portfolio Theory and Investment Analysis , Wiley. 2006.

Course page updates

This course page is available (with possible updates) also for the following academic years:

To read the current information on this course, if it is still available, go to the university course catalogue .

Course information last updated on: 19 marzo 2012, 17:36