Study-unit QUANTITATIVE RISK MANAGEMENT
Course name | Finance and quantitative methods for economics |
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Study-unit Code | A003081 |
Location | PERUGIA |
Curriculum | Data science for finance and insurance |
Lecturer | Gianna Figa' Talamanca |
Lecturers |
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Hours |
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CFU | 6 |
Course Regulation | Coorte 2022 |
Supplied | 2023/24 |
Supplied other course regulation | |
Learning activities | Affine/integrativa |
Area | Attività formative affini o integrative |
Sector | SECS-S/06 |
Type of study-unit | Obbligatorio (Required) |
Type of learning activities | Attività formativa monodisciplinare |
Language of instruction | Inglese |
Contents | Hedging strategies within Black and Scholes setting Risk Measures Volatility modeling |
Reference texts | Manuale di Finanza, G. Castellani, M. De Felice, F. Moriconi, Ed. Il Mulino Strumenti (essenzialmente per i richiami)¿ Quantitative Risk Management:, McNeil, , R. Frey, A., Embrechts, P., Ed. Princeton University Press (Chapters 2-3 and part of Chapters 5-6).¿¿ Optonsi, Futures and other derivativesi, J. Hull, Ed. Pearson, Prentice-Hall.¿ |
Educational objectives | The course points at giving basic knowledge on hedging strategies and risk measures for capital allocation. |
Prerequisites | Statistical Inference, Probability theory and random variables. Linear algebra and multivariate calculus. |
Teaching methods | Classes and exercise sessions |
Other information | Note that this is a course with a strongly quantitative approach in the macro area of mathematics and statistics. It is intended for students who have already passed quantitative methods exams of the first year of the Degree- Laurea Magistrale. |
Learning verification modality | Written and Oral Exam |
Extended program | See the Course page in Unistudium |