| ECONOMICS OF SECURITIES MARKETS
(objectives)
This course offers an introductory and analytical treatment of the fundamentals of valuation in the context of equity and derivative products in the context of managing a securities portfolio. Starting from the framework of Modern Portfolio Theory, the course analyzes the main instruments as well as techniques used in the equity segment, with reference to both basic instruments and complex derivatives. The various topics are covered from both a theoretical and an applied perspective, with the use of Excel and other software.
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Code
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13755 |
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Language
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ITA |
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Type of certificate
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Profit certificate
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Credits
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8
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Scientific Disciplinary Sector Code
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SECS-P/11
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Contact Hours
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48
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Type of Activity
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Core compulsory activities
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Teacher
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D'ARCANGELIS Anna Maria
(syllabus)
Active course attendance and study allow the student to:
- know the institutional characteristics of the domestic and international stock market (knowledge and understanding);
- be able to understand the basic concepts of return and risk in the context of mean-variance models (knowledge and understanding);
- be able to calculate the different measures of risk and return in a portfolio context (applying knowledge and understanding);
- be able to understand the purpose and functioning of Markowitz models and CAPM (knowledge and understanding);
- be able to calculate and interpret various performance measures (applying knowledge and understanding);
- be able to understand the definition and use of call and put options and their combinations (applying knowledge and understanding);
- be able to estimate the price of plain vanilla options using the Black Scholes model, the binomial model, and Monte Carlo simulation (applying knowledge and understanding);
- be able to estimate the greeks of options, and to use them for hedging purposes (applying knowledge and understanding); - be able to describe the different approaches to hedging of options (applying knowledge and understanding);
- be able to describe the different approaches used professionally for the management of an equity portfolio (knowledge and understanding);
- know the most up-to-date topics on innovative products from academic and professional publications and sites, with a focus on the sustainable finance (learning skills and sustainability).
Students are provided with exercises to be done autonomously or in a group, in order to apply advanced quantitative models and to arrive at conclusions regarding the risk return assessment of financial products (making judgments); to work in a team and to organize and manage a project (learning skills) and communication with the teacher; the ability to communicate results, revealing critical points and analyzing outputs using autonomy of judgment (communication skills), managing Excel and any programming languages (communication skills).
(reference books)
Anna Maria D'Arcangelis. Economia del Mercato Mobiliare. Copinfax.
Anna Maria D'Arcangelis. Finance with Excel. Teaching notes. 2015
Slides and materials supplied by the lecturers' teacher and available at the copy shops.
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Dates of beginning and end of teaching activities
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From to |
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Delivery mode
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Traditional
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Attendance
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not mandatory
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Teacher
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ORTOLANO ALESSANDRA
(syllabus)
Active course attendance and study allow the student to:
- know the institutional characteristics of the domestic and international stock market (knowledge and understanding);
- be able to understand the basic concepts of return and risk in the context of mean-variance models (knowledge and understanding);
- be able to calculate the different measures of risk and return in a portfolio context (applying knowledge and understanding);
- be able to understand the purpose and functioning of Markowitz models and CAPM (knowledge and understanding);
- be able to calculate and interpret various performance measures (applying knowledge and understanding);
- be able to understand the definition and use of call and put options and their combinations (applying knowledge and understanding);
- be able to estimate the price of plain vanilla options using the Black Scholes model, the binomial model, and Monte Carlo simulation (applying knowledge and understanding);
- be able to estimate the greeks of options, and to use them for hedging purposes (applying knowledge and understanding); - be able to describe the different approaches to hedging of options (applying knowledge and understanding);
- be able to describe the different approaches used professionally for the management of an equity portfolio (knowledge and understanding);
- know the most up-to-date topics on innovative products from academic and professional publications and sites, with a focus on the sustainable finance (learning skills and sustainability).
Students are provided with exercises to be done autonomously or in a group, in order to apply advanced quantitative models and to arrive at conclusions regarding the risk return assessment of financial products (making judgments); to work in a team and to organize and manage a project (learning skills) and communication with the teacher; the ability to communicate results, revealing critical points and analyzing outputs using autonomy of judgment (communication skills), managing Excel and any programming languages (communication skills).
(reference books)
Anna Maria D'Arcangelis. Economia del Mercato Mobiliare. Copinfax.
Anna Maria D'Arcangelis. Finance with Excel. Teaching notes. 2015
Slides and materials supplied by the lecturers' teacher and available at the copy shops.
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Dates of beginning and end of teaching activities
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From to |
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Delivery mode
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Traditional
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Attendance
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not mandatory
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