CORSO DI STUDIO: Corso di Laurea Magistrale in Banca e Finanza

a.a. 2015/2016

Denominazione insegnamento/Course Title

Laboratory for Financial Engineering
Laboratorio di finanza

Lingua dell’insegnamento: Inglese
Crediti e ore di lezione: 6 CFU, 48-52 ore di lezione

Moduli: NO

Settore/i scientifico disciplinare: SECS-S/06

Docente: Antonino Zanette
Indirizzo email: antonino.zanette@uniud.it
Pagina web personale: http://people.uniud.it/page/antonino.zanette

Prerequisiti e propedeuticità/Requirements

The course takes place in the first semester of the second year of degree. The prerequisites are the courses of  Financial Mathematics of Uncertainty, Modelli matematici per la finanza, Intermediari finanziari: bilanci e vigilanza, Economia e gestione mobiliare in the first year of degree.

Conoscenze e abilità da acquisire/Knowledge and skills

The course aims to train the student in the general mathematical techniques for the understanding of the products developed by financial engineering. The laboratory sessions are designed to simulate and evaluate financial securities products derived by using a programming language.
The student becomes aware of additional mathematical and programming that allow them to understand the complexity of financial engineering products.

The course aims to provide basic knowledge of the methods of quantitative finance. After completing the course the student will be able to:
• understand the main discrete and continuous models for the evaluation of financial options.
• evaluate complex financial products through Monte Carlo algorithms and tree;
• simulate financial assets;
• have programming knowledge of numerical algorithms.

Programma e contenuti dell'insegnamento/Course description

1. Introduction to Scilab.
2. The conditional IF, repeat instructions FOR, WHILE.
3. Functions, vectors, matrices in Scilab. Strings. Graphics.
4. Options and Financial Discrete models.
5. One-period model.
6. Multiperiod model.
7. Markov chains and dynamic programming algorithm.
8. Stochastic processes continue. Brownian motion, geometric Brownian motion.
9. Ito’s Lemma.
10. Random Variables Simulation, Monte Carlo methods.
11. Tree methods.
12. Options and Financial Continuous models.
13. The Black-Scholes model.
14. Delta dynamic hedging. Portfolio insurance.

Attività di apprendimento e metodi didattici previsti/ Teaching and Learning activities

The slides of the lectures cover the entire teaching program.

Modalità di verifica dell'apprendimento/Examination

The examination consists of:
• • written exam at the end of the course lasting two hours and thirty minutes(required);
• • oral examination for students with marks in the written test higher or equal to 27/30.

Testi / Bibliografia/Bibliography

J.Hull Options, Futures and Other Derivatives. Pearson Education International.

Strumenti a supporto della didattica/Further readings and support material

Transparencies of the course can be downloaded from the website of "Educational Materials".

Tesi di laurea/Thesis

In line with the content of the course, you can develop the thesis of a theoretical and / or application in the evaluation of derivatives .