SCP4063078, A.A. 2016/17

Principali informazioni sull'insegnamento
Corso di studio Corso di laurea magistrale in
SS1736, ordinamento 2014/15, A.A. 2016/17
Crediti formativi 9.0
Denominazione inglese COMPUTATIONAL FINANCE
Sito della struttura didattica
Dipartimento di riferimento Dipartimento di Scienze Statistiche
Obbligo di frequenza No
Lingua di erogazione INGLESE


Codice Insegnamento Responsabile Corso

Dettaglio crediti formativi
Tipologia Ambito Disciplinare Settore Scientifico-Disciplinare Crediti
AFFINE/INTEGRATIVA Attività formative affini o integrative SECS-P/05 9.0

Modalità di erogazione
Periodo di erogazione Primo semestre
Anno di corso I Anno
Modalità di erogazione frontale

Organizzazione della didattica
Tipo ore Crediti Ore di
Ore Studio
LEZIONE 9.0 64 161.0 Nessun turno

Inizio attività didattiche 01/10/2016
Fine attività didattiche 20/01/2017
Orario della didattica Visualizza calendario delle lezioni
Giorno Ora Aula Edificio
Orari_chiudi Lunedi' 8.30-10.30 ASID60, SC60 S.CATERINA
  03/10/2016 8.30-10.30 SC60 S.CATERINA
10/10/2016 8.30-10.30 SC60 S.CATERINA
17/10/2016 8.30-10.30 SC60 S.CATERINA
24/10/2016 8.30-10.30 ASID60 S.CATERINA
07/11/2016 8.30-10.30 ASID60 S.CATERINA
14/11/2016 8.30-10.30 ASID60 S.CATERINA
21/11/2016 8.30-10.30 ASID60 S.CATERINA
28/11/2016 8.30-10.30 ASID60 S.CATERINA
05/12/2016 8.30-10.30 ASID60 S.CATERINA
19/12/2016 8.30-10.30 ASID60 S.CATERINA
Orari_chiudi Mercoledi' 14.30-16.30 ASID60, BENVENUTI S.CATERINA
  05/10/2016 14.30-16.30 BENVENUTI S.CATERINA
12/10/2016 14.30-16.30 BENVENUTI S.CATERINA
19/10/2016 14.30-16.30 BENVENUTI S.CATERINA
26/10/2016 14.30-16.30 ASID60 S.CATERINA
02/11/2016 14.30-16.30 ASID60 S.CATERINA
09/11/2016 14.30-16.30 ASID60 S.CATERINA
16/11/2016 14.30-16.30 ASID60 S.CATERINA
23/11/2016 14.30-16.30 ASID60 S.CATERINA
30/11/2016 14.30-16.30 ASID60 S.CATERINA
07/12/2016 14.30-16.30 ASID60 S.CATERINA
14/12/2016 14.30-16.30 ASID60 S.CATERINA
21/12/2016 14.30-16.30 ASID60 S.CATERINA
Orari_chiudi Venerdi' 12.30-14.30 ASID60, BENVENUTI S.CATERINA
  07/10/2016 12.30-14.30 BENVENUTI S.CATERINA
14/10/2016 12.30-14.30 BENVENUTI S.CATERINA
21/10/2016 12.30-14.30 BENVENUTI S.CATERINA
28/10/2016 12.30-14.30 ASID60 S.CATERINA
04/11/2016 12.30-14.30 ASID60 S.CATERINA
11/11/2016 12.30-14.30 ASID60 S.CATERINA
18/11/2016 12.30-14.30 ASID60 S.CATERINA
25/11/2016 12.30-14.30 ASID60 S.CATERINA
02/12/2016 12.30-14.30 ASID60 S.CATERINA
16/12/2016 12.30-14.30 ASID60 S.CATERINA

Commissioni d'esame
Nessuna commissione d'esame definita

Prerequisiti: Elements of Economics and Mathematics of Financial Markets, elements of Statistics and Econometrics.
Conoscenze e abilita' da acquisire: The course, based on two modules, aims at providing to the students the ability to address computational problems and issues in the broad area of finance. Emphasis will be given to the asset allocation framework. A the end of the course students will become advanced users of a statistical software enabling them to formalize and solve the computational problem related to an empirical finance question. The main module of the course will cover the formalization of computational problems into a statistical package.

The minor introductory module (first 10-12 lectures) will focus on an introduction to the financial economic theories and models needed to understand the main quantitative module.
Modalita' di esame: The exam will be given in the form of a group homework. Each group (a team), will receive, at a beginning of the course (groups will be formed within the first two weeks of lectures), a list of tasks pointing at computational finance questions. The tasks list will be interated during the course. Each team will have to coordinate activities, inducing team members to interact. During the exam session, each team will show results in the form of a presentation (PowerPoint-like). Each team member must have full knowledge of the presentation and of the analyses performed by the team and of the main findings.
Criteri di valutazione: The evaluation of the group homework will be based on the following criterias:
- presence of appropriate answers to the various tasks assigned to the team;
- appropriateness of the quantitative tools adopted by the team;
- interpretation/economic intuition of the results obtained;
- interaction across team members.
Contenuti: Introduction (minor module)
- Introduction to financial instruments and markets;
- Investment choices under uncertainty and the approach of Markowitz;
- Market equilibrium, CAPM and APT, and market efficiency.

Main module:
1. The formalization of computational problems into a statistical package
2. Asset Allocation: from the approach of Markowitz to Risk Budgeting
3. Backtesting and performance evaluation
4. Introduction to Market Risk Management

The program might be subject to changes depending on a number of elements including: the interest of the students and their ability to solve computational problems with the statistical sowftare; the occurrence of particular events in the financial markets. Changes to the program content will affect the list of tasks included in the team work.
Attivita' di apprendimento previste e metodologie di insegnamento: Theoretical lectures and empirical computer sessions.
Eventuali indicazioni sui materiali di studio: Lecture notes will be distributed to students
Computer sessions and example codes will also be made available as well as the data sets used.
Testi di riferimento:
  • Hull, J.C., Options, Futures and other derivatives. --: Prentice Hall, --. E' disponibile anche una versione in Italiano Cerca nel catalogo
  • Roncalli, T., Introduction to risk parity and budgeting. --: Chapman & Hall, --. Cerca nel catalogo
  • Bodie, Z., Kane, A. and Marcus, A.J., Investments. --: McGraw Hill, --. Cerca nel catalogo
  • Hull, J.C., Risk management and financial institutions. --: Wiley Finance, --. E' disponibile anche una versione in Italiano Cerca nel catalogo
  • Barucci, E., Marsala, C., Nencini, M., and Sgarra, C., Ingegneria finanziaria. --: Egea, --. Cerca nel catalogo
  • Elton, E.J., Gruber, M.J., Brown, S.J., and Goetzmann, W.N., Modern Portfolio Theory and Investment Analysis. --: Wiley, --. E' disponibile anche una versione in Italiano Cerca nel catalogo