# Course Details for A.Y. 2012/2013

#### Name:

**Modelli e Algoritmi per la finanza Aziendale I / **

### Basic information

##### Degree(s):

Laurea 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

### 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).
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- Luenberger, D, Investment Science , Oxford University Press. 1998.
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- Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, William N. Goetzmann, Modern Portfolio Theory and Investment Analysis , Wiley. 2006.
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### 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: 15 maggio 2013, 13:08*