Degree Course: Administration, finance and control Syllabus for A.Y. 2020/2021  

The course aims to examine the main methodologies used by professional practice for the evaluation of companies.

Teaching material available on the moodle website

Definition of Corporate governance, control, governance, internal control system, internal auditing
Legal aspects relating to the internal control system
Corporate best practices on internal control and risk management system
The reference model for understanding internal controls (CoSO Cube)
Internal auditing support for corporate compliance
Methodological aspects for analysis of internal controls
The professional standards of internal auditing
Case study
Specialized seminars

Teaching material in English made available by the teacher on the course's teaching platform

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development described in research articles that describe letter collections and teaching manuals used over the years to teach letter and professional writing. Principles of Cross-Cultural Business Communication.

Handouts, also available online, complemented by interactive exercises on the webpage of the Moodle course.

The laboratory contains only practical activities.

The syllabus of the laboratory includes the following topics:
• Introduction to the working environment of R and RStudio
• Basic features of RStudio: projects, revisions control, help online, debug
• Basic operations with R: updating, installing libraries, loading datasets
• Basic operators: mathematical, logical, assignment
• Basic data types: Boolean, vectors, matrices, arrays, lists, data frames, data tables
• Data transformations
• Input and output operations: R native data formats, RStudio files, and cvs and xls interoperability file formats
• Writing reports with R (RMarkdown)
• Revision control in RStudio
• Basic mathematic and statistic functions
• Data manipulation: working with dataframes and datatables
• Data manipulation: selection, extract, sort
• Contingency tables
• Basic statistical operations: max, min, quantiles, range, IQR, se, var, correlation index, re-scaling, standardisation, linear regression
• Graphical representations: basic R charts
• Graphical representations: advanced R charts with ggplot
• Export charts in png and pdf

Materials available on the Moodle learnig platform

1. General aspects.
The financial system: markets, intermediaries, instruments, and supervisory authorities
Efficiency of financial markets
The link between non-financial and financial accounts: financial accounts of institutional sectors

2. Financial structure, financial development, and the real economy.
“Direct” and “indirect” finance
“Bank-based” and “market-based” systems
Effects on economic growth

3. Theoretical analysis of agents’ choices.
Intertemporal choices: decisions of savings
Choices under uncertainty
Expected utility theory
Risk attitude
Equilibrium
Demand for insurance
Investment in financial assets
Investment in risky assets
Optimal portfolio’s allocation (Markovitz)
The CAPM

4. Financial innovation and non-bank financial intermediation
Securitization
Securities financing transactions
Mutual funds
Shadow banking

Teaching material provided by the instructor and available on Moodle.
Suggested textbooks:
- Varian H., “Intermediate Microeconomics”, Eight Edition or previous ones, only Chapters on “Intertemporal Choices” and on “Uncertainty”;
- Bodie Z., Kane A., and Markus A. J., “Investments”, McGraw Hill (2014), Chap. 6 (only parr. 6.1, 6.2, 6.4, 6.5), 7 (excluding par. 7.5), 9 (only par. 9.1);
- Mishkin, and Eakins, “Financial Markets and Institutions”, Pearson, 2019, Ninth Ed. or previous ones, Chapters 1, 2, 3, 4, 5, 7, 9, 11, 14.4, 18, 19, 20, 21;

Elements of probability calculus: discrete and continuous random variables (v.a.). Distribution function and probability density of a v.a. Expected value (average) and variance of a v.a. discreet and continuous. Discrete and continuous probability distributions. Bernouilli distribution, binomial, Poisson distribution, uniform, exponential, Gaussian, standard normal. Moment generating function.

Derivative securities. Arbitrage, risk and risk protection. Regulated markets and OTC. Perfect market. Cox Binomial Model Ross Rubinstein (CRR). Forward contracts, futures, floaters, swaps. Put and call options. Derivatives payoff. Profitability of an option. Put-call parity.

Option pricing: discrete model. Cox Monoperiodal Binomial Model Ross Rubinstein: detailed derivation. Absence of arbitrage. Arbitrage theorem. Delta-hedging. Risk neutral assessment. Binomial model with n periods: detailed derivation. Backward method. Generalized formula. Difference between the pricing of European and American options

Stochastic process. Markov process. Wiener process. Generalized Wiener process. Ito process. Brownian Motion. Ito lemma: detailed derivation. Stochastic differential equations. Log-normal property. Option pricing: continuous model. Model Black Scholes (BS): detailed derivation. Heat equation. BS solution. Cumulative distribution N (x). Formula for the approximate calculation of N (x). Greek letters, delta, gamma, vega, theta, rho. Relationship between the Greek letters. Hedging strategies.

Volatility. Implied volatility. Volatility smile. Stochastic volatility models: Hull-White, Scott and Stein-Stein (Ornstein-Uhlenbeck process), Ball-Rome. Cox-Ingersoll-Ross process. Heston model. Girsanov's theorem. Covariance matrix. Cholesky decomposition. Derivation of Heston equations. Solution of the Heston equations. Introduction to numerical calculation methods.
Implementations for calculating CRR, BS and Heston model solutions

Opzioni, Futures e altri Derivati, J. Hull, Ed. Pearson, Prentice-Hall.

Growth, economic development, human development
Capitalist development and its phases
Origins and history of underdevelopment
Developing and least developed countries
Economic development and institutions
The problem of development in the history of economic thought
Theories of growth and development economics
The accumulation of capital
International trade
Income distribution, growth and development
Ecological problems and development
Capability Approach and Human Development
Innovative, sustainable and inclusive growth
Mainstream Growth Models
PostKeynesian Growth Models

The textbook is Volpi F. "Lezioni di economia dello sviluppo", FrancoAngeli, the last edition.

Elements of microeconomics: firms and consumers, profit maximisation, utility maximisation
Perfect competition, monopoly, monopolistic competition
Market power
Game theory

Static games with complete information
Dynamic games with complete information

Oligopolistic competition

Cournot
Bertrand
Stackelberg
Hotelling
Salop

Firm's strategic behaviour

Pricing and market segmentation
Product differentiation
Advertising
Collusion
Vertically related markets and vertical restraints
Mergers
Entry and exit
Technological innovation
R&D spillovers, absorptive capacity

Oligopoly and R\&D Networks
Industrial policy: Regulation, antitrust and privatization

Belleflamme P., Peitz M. (2015) Industrial Organization: Markets and Strategies. Cambridge University Press.

The syllabus of the course is divided in two parts: a first theoretical part and a second practical part.

The theoretical part of the course deepens the topic of digital transformation and the impact that it has on organisations. The syllabus deepens the main changes introduced by the digital transformation process, the main development trends currently in action, and their future developments.
The students will also learn the main information systems used by companies to manage the digital transformation initiatives, to analyse the business processes, to re-engineer them, and to identify the information needs of organizations.

The theoretical concepts included in the course syllabus cover the following areas:
- Changes and trends of the digital transformation process
- The socio-technical systems theory
- The fundamental organizational processes: sense making, decision making, and knowing
- The enterprise information systems: ERP, CRM, KMS, and DSS
- The business intelligence systems for data mining: big data, datawarehouse and artificial intelligence
- Cloud computing, privacy and cyber security
- Planning and managing digital transformation processes
- Analysing and re-engineering business processes

The practical part of the course concerns the development of actionable skills to control and govern the digital transformation process in organisations. The practical skills learned during the course cover three aspects:
- Management of digital innovation projects: identification of objectives of a digital transformation process, identification of the necessary resources, planning and management of a project through the work breakdown structure, the RACI matrix, the PERT, the critical path method analysis, and the GANTT diagram
- Digital transformation of business processes: modelling and analysis of both inter- and intra-organisational processes through the Business Process Modelling Notation (BPMN)
- Business intelligence: analysis of the information need, map of information sources with information needs, design and development of data presentation and analysis dashboard with Microsoft Power BI

To study for the exam students must refer to:
- Management of Information Systems - Course compendium written by Braccini Alessio Maria
- Piccoli, G., & Pigni, F. (2016). Information Systems for Managers with Cases

Slides and cases used by the professor during classes are available on the http://moodle.unitus.it e-learning platform

The course is divided into two compulsory parts: a. monetary policy and economics; exchange rate policy and economics; b. special topics in international monetary economics.
Classes will be in Italian.
Reference for first part is the Textbook by P. Krugman M. Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson, chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019 https://t.co/VhVpfTpLmU
References for the second part (https://moodle.unitus.it/moodle/course/view.php?id=1118)
Enrolled students should attend classes and present during the class a written and oral synthesis of one out of the special topics (group assignment). You should choose the topic no later than October 10, 2021. The presentation file should be sent to prof. Oldani (coldani@unitus.it) 3 days before the presentation. The presentation file can be PPT or Latex. Latex gives you a 1 point bonus (https://www.latex-project.org/)
The final exam in Italian will be oral on the entire program (i.e., textbook, all special topics); the class presentation will weight 30 per cent of the Final mark.
It is not possible to present special topics during exam period for students who do not attend classes for any reason.

Reference for first part is the Textbook P. Krugman M.
Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson,
chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and
Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstractid = 3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019
https://t.co/VhVpfTpLmU
References for the second parts will be uploaded on the course Moodle folder

The course aims to examine the main methodologies used by professional practice for the evaluation of companies.

Teaching material available on the moodle website

Definition of Corporate governance, control, governance, internal control system, internal auditing
Legal aspects relating to the internal control system
Corporate best practices on internal control and risk management system
The reference model for understanding internal controls (CoSO Cube)
Internal auditing support for corporate compliance
Methodological aspects for analysis of internal controls
The professional standards of internal auditing
Case study
Specialized seminars

Teaching material in English made available by the teacher on the course's teaching platform

The liability of the debtor. Individual and collective executive action. Principle of liability of the debtor with all his assets. A level playing field.

Evolutionary lines of bankruptcy from the twentieth century to today. Subject to bankruptcy. Small business owner and entrepreneur below threshold. Over-indebtedness.

The restructuring procedures. Arrangement with creditors, restructuring agreements, certified plans. Extraordinary administration. LCA.

The crisis and insolvency code: alert, groups, over-indebtedness.

Judicial liquidation. Opening of the procedure. Organs. Assessment of liabilities. Settlement program. Liquidation of assets. Allotment. Closure of the procedure. Discharge.

Agreement with creditors. Continuity agreement and liquidation agreement. Prevalence of proceeds from business continuity. Liquidation: Full satisfaction of privileged creditors and at least 10% unsecured with other finance. Cram down. Vote. Approval. Execution. Resolution.

Restructuring agreements.

Certified plans.

The discipline of over-indebtedness. The agreements and the consumer's plan. The liquidation.

Notes on A.S. and LCA.

Crisis and insolvency law. Updated to the l. 40/2020 ("Liquidity Decree")
Stefania Pacchi, Stefano Ambrosini

The liability of the debtor. Individual and collective executive action. Principle of liability of the debtor with all his assets. A level playing field.

Evolutionary lines of bankruptcy from the twentieth century to today. Subject to bankruptcy. Small business owner and entrepreneur below threshold. Over-indebtedness.

The restructuring procedures. Arrangement with creditors, restructuring agreements, certified plans. Extraordinary administration. LCA.

The crisis and insolvency code: alert, groups, over-indebtedness.

Judicial liquidation. Opening of the procedure. Organs. Assessment of liabilities. Settlement program. Liquidation of assets. Allotment. Closure of the procedure. Discharge.

Agreement with creditors. Continuity agreement and liquidation agreement. Prevalence of proceeds from business continuity. Liquidation: Full satisfaction of privileged creditors and at least 10% unsecured with other finance. Cram down. Vote. Approval. Execution. Resolution.

Restructuring agreements.

Certified plans.

The discipline of over-indebtedness. The agreements and the consumer's plan. The liquidation.

Notes on A.S. and LCA.

Crisis and insolvency law. Updated to the l. 40/2020 ("Liquidity Decree")
Stefania Pacchi, Stefano Ambrosini

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development described in research articles that describe letter collections and teaching manuals used over the years to teach letter and professional writing. Principles of Cross-Cultural Business Communication.

Handouts, also available online, complemented by interactive exercises on the webpage of the Moodle course.

-introduction to international accounting;
-worldwide accounting diversity;
-accounting approaches;
-international convergence of financial reporting;
-IFRS financial reporting;
-US GAAP financial reporting ;
-accounting standards codification;
-IFRS in the European Union;
-IFRS in the United States;
-comparative Accounting (America and Europe)

Testo di riferimento:
- A.A.V.V., Il bilancio secondo i principi contabili internazionali IAS/IFRS. Regole e applicazioni, quarta edizione, Giappichelli, 2016.
Testi di approfondimento:
-Memento Pratico. Principi contabili internazionali, Francis Lefebvre, 2018.
-Wiley GAAP 2020, Interpretation and Application of Generally Accepted Accounting Principles.
-IAS/IFRS (a cura di Dezzani, Biancone, Busso), IPSOA WOLTERS KLUWER, 2020

(Program being defined) The role and use of statistics to support corporate decision-making processes. Availability and production of statistical information: company information systems, internal sources and external sources. Official statistics and private statistics. The different types of external sources on businesses and consumer behaviour. The production of ad hoc data: sample surveys. Target population, effective population and survey population. Population, sample and estimate: probability of inclusion, estimate of a parameter, estimate of a total, estimate of an average. Sampling designs: simple and systematic designs, layering, cluster designs, multi-stage and multi-stage sampling. Some notes on spatial sampling. Non-probabilistic sampling designs and indirect sampling. Outline of post-stratification and treatment of non-responses. Measurement and communication tools in sample surveys: direct and indirect data collection.
Measurement of the relationships between variables for business decisions: references to bivariate type association measures and introduction to multivariate statistical analysis. Principal component analysis: logic and phases of the analysis, performance of the ACP and usefulness in business processes and in evaluating the economic and financial performance of companies. Cluster Analysis (CA): aims and types of cluster analysis, agglomerative hierarchical cluster analysis: the matrix of the distances between units. Phases of cluster analysis.
Review of the simple linear regression model and insights into the multiple linear regression model. Regression for bounded dependent variables: the logit model and the probit model.

Lecture notes and slides distributed by the teacher during the course


Reference texts (to be defined):
Biggeri L., Bini M, Coli A, Grassini G, Maltagliati M (2017) Statistica per le decisioni aziendali (Pearson)
Tillé Y, Dickson M.M., Espa G (2020) Elementi di campionamento e stima da popolazioni finite (Pearson)

The course focuses on the process of analyzing the company's fundamental value, the phases of which culminate in the preparation of the pro-forma or pro-forma financial statements (Balance Sheet, Income Statement and Cash Flow Statement), which represents a crucial step in this analysis.
In the first part, the course focuses attention on the reclassification models of the financial statements, on the indices and flows. In the second part, the course deals with the construction and analysis of the budget. This is a financial statement prepared by translating certain hypotheses for future management operations into economic and financial quantities. The use of this tool allows you to recreate, as in a sort of laboratory, the business operation and to simulate the effects that different management policies are destined to produce in the future on the economic, financial and equity structures of the company. The logic of the budget estimate finds multiple areas of use. It applies, in fact:
- to companies already in operation, to guide future management programs;
- in project financing operations, which are increasingly numerous today, to judge the self-sustainability of the planned initiative;
- to companies being set up or starting a new company branch (start up), to identify the most appropriate management structures;
- to individual investment projects, to judge their feasibility and convenience.

Summary of topics.
Among the topics that will be treated in the context of the budget analysis for the construction of the pro-forma, we note:
• the logic of reclassification of the balance sheet and income statement;
• the logical construction plan of the Cash Flow Statement;
• the estimate of the EBITDA and the MON;
• the estimate of the commercial net working capital (CCNc);
• the budget for operational self-financing;
• the free cash flow estimate (FCF);
• the estimate of the Net Invested Capital (CIN);
• the estimate of the Net Financial Position (NFP);
• the estimate of the financial requirement.

Among the topics that will be dealt with in the context of the construction of the pro-forma and its evaluation, the following should be noted:
• the general logic and phases of the construction of the pro-forma;
• the basic pro-forma model;
• the development of the basic model: current operating management, structural operational investments and the financial structure;
• the formulation of assumptions: the forecast of sales, operating costs and net working capital, structural investments;
• assessment of assumptions;
• sensitivity analysis;
• the financial sustainability of the pro-forma and its "bankability".

To prepare for the exam, the student has a textbook and other teaching materials prepared by the teacher and delivered during the lessons.

The textbook is:
F. Giunta-M. Pisani, Analysis of the financial statements, APOGEO, Maggioli Editore, 2016.

Chapters of the book:
1. Fundamental analysis and intrinsic value of the company (to be studied)
2. The information base for fundamental analysis
3. Analysis of the competitive environment
4. Analysis of strategies
5. Verification of accounting quality and information collected (to be studied)
6. The management analysis model (to be studied)
7. Budget comparisons
8. The reclassification of the Balance Sheet (to be studied)
9. Reclassification of the Income Statement (to be studied)
10. Preparation of the Financial Statement (to be studied)
11. Business growth (to be studied)
12. Operational profitability (to be studied)
13. Creditworthiness (to be studied)
14. Net profitability (to be studied)
15. Analysis of the consolidated financial statements
16. The pro-forma financial statements: rationale, phases and necessary information (to be studied)
17. The pro-forma financial statements: hypotheses and calculation formulas (to be studied)
18. Evaluation of the pro-forma financial statements

Section A: General part

1) Introduction to the basis of planning and control in public sector organizations
2) Typical aspects of decision-making, management, strategic and management control in public sector organizations
3) Introduction to Accounting in the public sector
4) Performance management and performance measurement

Section B: monographic theme
1) Planning and Control in Central Governments and Local Government Entities
2) Planning and Control in Public Healthcare Organizations and Hospitals
3) Planning and Control in Public Higher Education Institutions

1) Pavan A., Reginato E., Programmazione e controllo nelle amministrazioni pubbliche, Giuffrè, 2012 (Chapter 1, Chapter 2, § 3.8, § 4.1, § 4.2, § 4.5, § 4.6, § 5.1).
2) Teaching materials available on the course web site

Consolidated accounts and business combinations

A. Montrone, Il bilancio consolidato dei gruppi aziendali, F. Angeli, II edizione, 2018. I seguenti capitoli sono inclusi nel programma: I, III, V escluso par. 6, VI, VII, VIII.
C. Corsi, P. Farinon, Le operazioni straordinarie d’impresa, Giappichelli Editore, II edizione, 2018. I seguenti capitoli sono inclusi nel programma: I escluso par. 1.5., II, III

The course aims to examine the main methodologies used by professional practice for the evaluation of companies.

Teaching material available on the moodle website

1
PLAIN VANILLA OPTIONS. Plain vanilla options, definitional aspects. The opening of long and short positions in options (long and short call, long and short put). The Building Block. Lego Approach. Intrinsic value and time value. The intrinsic value and moneyness of the option. The factors that determine the time value. The American-style option and early exercise. The put-call parity. The put-call parity for European-style options. The put-call parity for American-style options.

2
MODELS OF OPTION VALUATION. Introduction. The dynamics of stock prices. The formula of Black and Scholes with and without the presence of dividends. Estimation of volatility. The historical volatility. Empirical rules on volatility. Implied volatility. The volatility smile. The relationship between the distribution of returns and the smile. The binomial model with n steps. The hypotheses at the base of the model. The Monte Carlo simulation. Definition of the number of run of the simulation. The generation of random numbers. The method of the inverse transformation.

3
THE GREEKS AND THE DELTA HEDGING. The Greeks. The delta. The gamma. The vega. The rho. Theta. Use of the Greeks: a summary example. The Greeks of a portfolio of options. Option book hedging. Dynamic delta hedging. Delta-gamma hedging. Delta-vega hedging. Delta-gamma-vega hedging. Higher order greeks. The Vanna. The Volga. Vomma (or gamma-vega. volgamma). The delta bleed (charm). The calculation of sensitivities using Monte Carlo simulation: finite difference method.

4
COMPLEX STRATEGIES. The Building Block Approach. The bull spread (call spread, bullish vertical spread). The collar. The straddle. The strangle. The butterfly.

5
ASIAN OPTIONS. Asian options (or average options). The put-call parity for Asian options. The factors affecting the payoff (and price). The type of average. The sampling frequency. The period of calculation of the average. The weight attributed to the individual surveys. The evaluation of average price options with geometric average. Geometric mean and continuous monitoring of the mean (Kemna and Vorst). Geometric average and discrete monitoring of the average (Haug, Haug and Margrabe). The case of non-constant periodicity between successive fixings. The evaluation of options with arithmetic mean. Arithmetic mean and continuous monitoring of the mean (Turnbull Wakeman model). Arithmetic mean and continuous monitoring of the mean (Levy approximation).

6
ASIAN OPTIONS. Vorst's model. Arithmetic mean and discrete mean monitoring (Levy modified by HHM). Curran's approximation. Asian options pricing and the volatility term structure. The binomial model and Asian options. The Monte Carlo simulation. The payoff and the sensitivities of the Asian option. The delta hedging of the Asian options. Delta hedging of average price options. Delta hedging of the average strike options. Static hedging of the Asian option. Use of Asian options.



7)
BINARY OPTIONS. Binary options: cash or nothing, asset or nothing, gap. Binary options: European and American style. Use of binary options. The analytical evaluation of European binary options. Asset or nothing pricing. Cash or nothing pricing. The gap option pricing.

8
BINARY OPTIONS. The analytical evaluation of the American binary options (one touch deferred binary). Payoffs and sensitivities of digital options. Hedging techniques for European binary options. Payoffs and sensitivities of American digital options. The hedging of one touch options. One touch digital delta hedging. The static replication of digital one touch.

9
BARRIER OPTIONS. Types of barrier options. Barrier parity. Use of barrier options. Valuation of European barrier options The closed formula of Rubinstein and Reiner. Evaluation of knock-in barriers. Valuation of knock-out barriers. The binomial model and barrier options. Evaluation of barrier options with Monte Carlo. Valuation of American barrier options The closed formula of Haug. The risks of barrier options. Payoffs and sensitivities of regular barrier options. Greeks of down and in call. Greeks of up and in put. Greeks of the down and out call. Greeks of the up and out put.

10
BARRIER OPTIONS. Hedging regular barrier options: static replication techniques. The replication of the knock-down & in option. The replica of the knock-down & out option. Static replication and put-call symmetry. Static replication - Overcoming the basic assumptions. The payoffs and sensitivities of barrier-reverse options. The greeks of the up and in call (HK). Greeks of the up and out call (HK). The methodologies of risk mitigation of the reverse knock out. The choice of the volatility parameter. The coverage of the reverse knock in/out.

11
FORWARD START AND CLIQUET OPTIONS. Forward start options. Forward start options: the valuation in closed formula. The pricing of forward start options: some key factors. The calculation of the forward implied volatility. The payoff and the sensitivity of the forward start option. Cliquet options. The valuation of the closed formula cliquet. The binomial model. The payoff and sensitivity of the cliquet options. Types of cliquet structures. The simple cliquet bond. Cliquet bond with barrier. The pure digital cliquet bond. The reverse cliquet bond. The protected reverse cliquet bond. Structured Napoleon. Reverse cliquet and Napoleon: critical aspects.




12
LOOKBACK OPTIONS. Fixed and floating strike lookback options. The pricing of the lookback options. The valuation of floating strike lookback calls. The analytical formula of Goldman, Sosin & Gatto. The valuation of fixed strike lookback calls. Payoff and sensitivity of lookback options. Static replication of lookback options. The use of lookback options.

13
OPTIONS ON TWO UNDERLYINGS AND MULTI-ASSET OPTIONS. Types of multi-asset options. Mountain Range Options. Multiasset options Pricing issues. Exchange-one-asset-for-another options. The variables that affect the value of the option. Analytical valuation. Spread options. Variables affecting the value of the option. Analytical valuation. Use of spread options. Best of and worst of options (or min-max options). Min-max options The analytical valuation. The role of correlation in the value of best of and worst of options. Correlation risk in best of options. Correlation risk in worst of options.

14
THE VOLATILITY SURFACE FOR FX OPTIONS- Criteria for efficient and convenient representation of the volatility surface; approaches to constructing the surface, interpolation of the smile between strikes: the Vanna-Volga approach, calculation of Vanna-Volga weights and option pricing, construction of the volatility matrix in practice; extensions of the Vanna-Volga model.

15
VOLATILITY TRADING Options and trading, Call overwriting; Hedging strategies with options, complex options; Volatility trading with options; Variance and volatility; volatility, variance and gamma swaps; options on variance; the relationship between IV and realized volatility; Forward Start products and vol indices; Light exotics. Relative value & correlation trading: trades on earnings announcements/jumps; Skew & Term Structure trades: the relationship between skew and term structure; the "Square root of time" rule; Term structure trading; Measurement of skew and smile; skew trading.

16
STOCHASTIC VOLATILITY OPTION VALUATION MODELS.
The model of Heston The SABR model and the volatility surfaces
17
Interest rates: valuation of interest rate derivatives. Curve estimation with pre-2008 and dual method. Interest rate hedging for corporate clients
18
FX derivatives: valuation of FX derivatives. Curve estimation with Vanna Volga . FX hedging for corporate clients

Teaching materials available on the course site
Academic and Professional Articles
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading (The Wiley Finance Series Book 507) (English Edition) 1st Edition, English Edition by Mohamed Bouzoubaa , Adel Osseiran

Introduction to the Python programming environment: installation, creating an environment, simple tutorials on using Python - User-defined functions, Python modules, summary on structured programming constructs; hands-on tutorials - Lists in Python, NumPy module, NumPy arrays, financial functions in NumPy, special NumPy arrays, manipulating NumPy arrays; practical exercises - Option pricing with Black-Scholes-Merton formula, SciPy module, NumPy math functions, SciPy sub-modules, graphs in Python with Matplotlib module; practical exercises - Pandas module, time series, Series and DataFrame objects, date management with datetime module; practical exercises - Principles of portfolio management, optimization and minimization, construction of an efficient frontier; practical exercises - Estimation of options price, price with Black-Scholes-Merton formula, price with binomial model, price of American options; practical exercises - Price of derivatives with Montacarlo method, generation of random numbers with normal and uniform distribution, simulation of stock movements, price of European, exotic, American options; practical exercises - Multiasset derivatives, Cholesky factorization, risk measures: VaR and ES; practical exercises - Volatility, SABR model; practical exercises.
Introduction to VBA - Finite difference algorithms and root finding; practical exercises - Recalls of stochastic calculus: Markov properties, Martingale, Brownian motion, Ito's lemma, types of random walks; practical exercises - Pricing of derivatives with numerical models: theoretical principles, binomial model; practical exercises - Derivatives pricing with Monte Carlo methodology: steps for Monte Carlo simulation, log-normal Euler discretization, barrier options, American options; practical exercises - Multiasset derivatives: Monte Carlo with multiasset derivatives, Cholesky factorization; practical exercises.

D'Arcangelis Patacchini Bruno VBA per la finanza Maggioli editore

The laboratory contains only practical activities.

The syllabus of the laboratory includes the following topics:
• Introduction to the working environment of R and RStudio
• Basic features of RStudio: projects, revisions control, help online, debug
• Basic operations with R: updating, installing libraries, loading datasets
• Basic operators: mathematical, logical, assignment
• Basic data types: Boolean, vectors, matrices, arrays, lists, data frames, data tables
• Data transformations
• Input and output operations: R native data formats, RStudio files, and cvs and xls interoperability file formats
• Writing reports with R (RMarkdown)
• Revision control in RStudio
• Basic mathematic and statistic functions
• Data manipulation: working with dataframes and datatables
• Data manipulation: selection, extract, sort
• Contingency tables
• Basic statistical operations: max, min, quantiles, range, IQR, se, var, correlation index, re-scaling, standardisation, linear regression
• Graphical representations: basic R charts
• Graphical representations: advanced R charts with ggplot
• Export charts in png and pdf

Materials available on the Moodle learnig platform

Sources of financial intermediaries' law.
Regulation of financial operations and of financial intermediaries.
Investment services and activities, investment companies.
Overview of regulated markets.
Outline of the entities operating in the financial market.
The collective management of savings.
The public offering of financial products.
Public information and market abuse.
The anti-money laundering regulations.
The main sanctions provided by the regulation of financial markets.

Sfameni Giannelli
Diritto degli intermediari finanziari - latest edition available
excluding Chapter 5 (banks and banking), and Chapter 8 paragraphs 5, 6, 7.

Format, layout typical phraseology of business letters. Letters of inquiry, reply, order, complaint, apology, memo, report. History of Business Communications: notions of its development described in research articles that describe letter collections and teaching manuals used over the years to teach letter and professional writing. Principles of Cross-Cultural Business Communication.

Handouts, also available online, complemented by interactive exercises on the webpage of the Moodle course.

Elements of probability calculus: discrete and continuous random variables (v.a.). Distribution function and probability density of a v.a. Expected value (average) and variance of a v.a. discreet and continuous. Discrete and continuous probability distributions. Bernouilli distribution, binomial, Poisson distribution, uniform, exponential, Gaussian, standard normal. Moment generating function.

Derivative securities. Arbitrage, risk and risk protection. Regulated markets and OTC. Perfect market. Cox Binomial Model Ross Rubinstein (CRR). Forward contracts, futures, floaters, swaps. Put and call options. Derivatives payoff. Profitability of an option. Put-call parity.

Option pricing: discrete model. Cox Monoperiodal Binomial Model Ross Rubinstein: detailed derivation. Absence of arbitrage. Arbitrage theorem. Delta-hedging. Risk neutral assessment. Binomial model with n periods: detailed derivation. Backward method. Generalized formula. Difference between the pricing of European and American options

Stochastic process. Markov process. Wiener process. Generalized Wiener process. Ito process. Brownian Motion. Ito lemma: detailed derivation. Stochastic differential equations. Log-normal property. Option pricing: continuous model. Model Black Scholes (BS): detailed derivation. Heat equation. BS solution. Cumulative distribution N (x). Formula for the approximate calculation of N (x). Greek letters, delta, gamma, vega, theta, rho. Relationship between the Greek letters. Hedging strategies.

Volatility. Implied volatility. Volatility smile. Stochastic volatility models: Hull-White, Scott and Stein-Stein (Ornstein-Uhlenbeck process), Ball-Rome. Cox-Ingersoll-Ross process. Heston model. Girsanov's theorem. Covariance matrix. Cholesky decomposition. Derivation of Heston equations. Solution of the Heston equations. Introduction to numerical calculation methods.
Implementations for calculating CRR, BS and Heston model solutions

Opzioni, Futures e altri Derivati, J. Hull, Ed. Pearson, Prentice-Hall.

1. General aspects.
The financial system: markets, intermediaries, instruments, and supervisory authorities
Efficiency of financial markets
The link between non-financial and financial accounts: financial accounts of institutional sectors

2. Financial structure, financial development, and the real economy.
“Direct” and “indirect” finance
“Bank-based” and “market-based” systems
Effects on economic growth

3. Theoretical analysis of agents’ choices.
Intertemporal choices: decisions of savings
Choices under uncertainty
Expected utility theory
Risk attitude
Equilibrium
Demand for insurance
Investment in financial assets
Investment in risky assets
Optimal portfolio’s allocation (Markovitz)
The CAPM

4. Financial innovation and non-bank financial intermediation
Securitization
Securities financing transactions
Mutual funds
Shadow banking

Teaching material provided by the instructor and available on Moodle.
Suggested textbooks:
- Varian H., “Intermediate Microeconomics”, Eight Edition or previous ones, only Chapters on “Intertemporal Choices” and on “Uncertainty”;
- Bodie Z., Kane A., and Markus A. J., “Investments”, McGraw Hill (2014), Chap. 6 (only parr. 6.1, 6.2, 6.4, 6.5), 7 (excluding par. 7.5), 9 (only par. 9.1);
- Mishkin, and Eakins, “Financial Markets and Institutions”, Pearson, 2019, Ninth Ed. or previous ones, Chapters 1, 2, 3, 4, 5, 7, 9, 11, 14.4, 18, 19, 20, 21;

Sources of financial intermediaries' law.
Regulation of financial operations and of financial intermediaries.
Investment services and activities, investment companies.
Overview of regulated markets.
Outline of the entities operating in the financial market.
The collective management of savings.
The public offering of financial products.
Public information and market abuse.
The anti-money laundering regulations.
The main sanctions provided by the regulation of financial markets.

Sfameni Giannelli
Diritto degli intermediari finanziari - latest edition available
excluding Chapter 5 (banks and banking), and Chapter 8 paragraphs 5, 6, 7.

The course is divided into two compulsory parts: a. monetary policy and economics; exchange rate policy and economics; b. special topics in international monetary economics.
Classes will be in Italian.
Reference for first part is the Textbook by P. Krugman M. Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson, chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019 https://t.co/VhVpfTpLmU
References for the second part (https://moodle.unitus.it/moodle/course/view.php?id=1118)
Enrolled students should attend classes and present during the class a written and oral synthesis of one out of the special topics (group assignment). You should choose the topic no later than October 10, 2021. The presentation file should be sent to prof. Oldani (coldani@unitus.it) 3 days before the presentation. The presentation file can be PPT or Latex. Latex gives you a 1 point bonus (https://www.latex-project.org/)
The final exam in Italian will be oral on the entire program (i.e., textbook, all special topics); the class presentation will weight 30 per cent of the Final mark.
It is not possible to present special topics during exam period for students who do not attend classes for any reason.

Reference for first part is the Textbook P. Krugman M.
Obstfeld M. Melitz, Economia Internazionale, vol. 2 Economia Monetaria Internazionale, Pearson,
chapters 4, 8, 9, 10, 11; Masciandaro D. 2018 Central banks and Monetary Policy. Economics and
Politics. BAFFI Carefin Paper https://papers.ssrn.com/sol3/papers.cfm?abstractid = 3178576
D. Mugge 2019 The Revenge of Political Arithmetick, FickleFormulas Working Paper 2/2019
https://t.co/VhVpfTpLmU
References for the second parts will be uploaded on the course Moodle folder

1
PLAIN VANILLA OPTIONS. Plain vanilla options, definitional aspects. The opening of long and short positions in options (long and short call, long and short put). The Building Block. Lego Approach. Intrinsic value and time value. The intrinsic value and moneyness of the option. The factors that determine the time value. The American-style option and early exercise. The put-call parity. The put-call parity for European-style options. The put-call parity for American-style options.

2
MODELS OF OPTION VALUATION. Introduction. The dynamics of stock prices. The formula of Black and Scholes with and without the presence of dividends. Estimation of volatility. The historical volatility. Empirical rules on volatility. Implied volatility. The volatility smile. The relationship between the distribution of returns and the smile. The binomial model with n steps. The hypotheses at the base of the model. The Monte Carlo simulation. Definition of the number of run of the simulation. The generation of random numbers. The method of the inverse transformation.

3
THE GREEKS AND THE DELTA HEDGING. The Greeks. The delta. The gamma. The vega. The rho. Theta. Use of the Greeks: a summary example. The Greeks of a portfolio of options. Option book hedging. Dynamic delta hedging. Delta-gamma hedging. Delta-vega hedging. Delta-gamma-vega hedging. Higher order greeks. The Vanna. The Volga. Vomma (or gamma-vega. volgamma). The delta bleed (charm). The calculation of sensitivities using Monte Carlo simulation: finite difference method.

4
COMPLEX STRATEGIES. The Building Block Approach. The bull spread (call spread, bullish vertical spread). The collar. The straddle. The strangle. The butterfly.

5
ASIAN OPTIONS. Asian options (or average options). The put-call parity for Asian options. The factors affecting the payoff (and price). The type of average. The sampling frequency. The period of calculation of the average. The weight attributed to the individual surveys. The evaluation of average price options with geometric average. Geometric mean and continuous monitoring of the mean (Kemna and Vorst). Geometric average and discrete monitoring of the average (Haug, Haug and Margrabe). The case of non-constant periodicity between successive fixings. The evaluation of options with arithmetic mean. Arithmetic mean and continuous monitoring of the mean (Turnbull Wakeman model). Arithmetic mean and continuous monitoring of the mean (Levy approximation).

6
ASIAN OPTIONS. Vorst's model. Arithmetic mean and discrete mean monitoring (Levy modified by HHM). Curran's approximation. Asian options pricing and the volatility term structure. The binomial model and Asian options. The Monte Carlo simulation. The payoff and the sensitivities of the Asian option. The delta hedging of the Asian options. Delta hedging of average price options. Delta hedging of the average strike options. Static hedging of the Asian option. Use of Asian options.



7)
BINARY OPTIONS. Binary options: cash or nothing, asset or nothing, gap. Binary options: European and American style. Use of binary options. The analytical evaluation of European binary options. Asset or nothing pricing. Cash or nothing pricing. The gap option pricing.

8
BINARY OPTIONS. The analytical evaluation of the American binary options (one touch deferred binary). Payoffs and sensitivities of digital options. Hedging techniques for European binary options. Payoffs and sensitivities of American digital options. The hedging of one touch options. One touch digital delta hedging. The static replication of digital one touch.

9
BARRIER OPTIONS. Types of barrier options. Barrier parity. Use of barrier options. Valuation of European barrier options The closed formula of Rubinstein and Reiner. Evaluation of knock-in barriers. Valuation of knock-out barriers. The binomial model and barrier options. Evaluation of barrier options with Monte Carlo. Valuation of American barrier options The closed formula of Haug. The risks of barrier options. Payoffs and sensitivities of regular barrier options. Greeks of down and in call. Greeks of up and in put. Greeks of the down and out call. Greeks of the up and out put.

10
BARRIER OPTIONS. Hedging regular barrier options: static replication techniques. The replication of the knock-down & in option. The replica of the knock-down & out option. Static replication and put-call symmetry. Static replication - Overcoming the basic assumptions. The payoffs and sensitivities of barrier-reverse options. The greeks of the up and in call (HK). Greeks of the up and out call (HK). The methodologies of risk mitigation of the reverse knock out. The choice of the volatility parameter. The coverage of the reverse knock in/out.

11
FORWARD START AND CLIQUET OPTIONS. Forward start options. Forward start options: the valuation in closed formula. The pricing of forward start options: some key factors. The calculation of the forward implied volatility. The payoff and the sensitivity of the forward start option. Cliquet options. The valuation of the closed formula cliquet. The binomial model. The payoff and sensitivity of the cliquet options. Types of cliquet structures. The simple cliquet bond. Cliquet bond with barrier. The pure digital cliquet bond. The reverse cliquet bond. The protected reverse cliquet bond. Structured Napoleon. Reverse cliquet and Napoleon: critical aspects.




12
LOOKBACK OPTIONS. Fixed and floating strike lookback options. The pricing of the lookback options. The valuation of floating strike lookback calls. The analytical formula of Goldman, Sosin & Gatto. The valuation of fixed strike lookback calls. Payoff and sensitivity of lookback options. Static replication of lookback options. The use of lookback options.

13
OPTIONS ON TWO UNDERLYINGS AND MULTI-ASSET OPTIONS. Types of multi-asset options. Mountain Range Options. Multiasset options Pricing issues. Exchange-one-asset-for-another options. The variables that affect the value of the option. Analytical valuation. Spread options. Variables affecting the value of the option. Analytical valuation. Use of spread options. Best of and worst of options (or min-max options). Min-max options The analytical valuation. The role of correlation in the value of best of and worst of options. Correlation risk in best of options. Correlation risk in worst of options.

14
THE VOLATILITY SURFACE FOR FX OPTIONS- Criteria for efficient and convenient representation of the volatility surface; approaches to constructing the surface, interpolation of the smile between strikes: the Vanna-Volga approach, calculation of Vanna-Volga weights and option pricing, construction of the volatility matrix in practice; extensions of the Vanna-Volga model.

15
VOLATILITY TRADING Options and trading, Call overwriting; Hedging strategies with options, complex options; Volatility trading with options; Variance and volatility; volatility, variance and gamma swaps; options on variance; the relationship between IV and realized volatility; Forward Start products and vol indices; Light exotics. Relative value & correlation trading: trades on earnings announcements/jumps; Skew & Term Structure trades: the relationship between skew and term structure; the "Square root of time" rule; Term structure trading; Measurement of skew and smile; skew trading.

16
STOCHASTIC VOLATILITY OPTION VALUATION MODELS.
The model of Heston The SABR model and the volatility surfaces
17
Interest rates: valuation of interest rate derivatives. Curve estimation with pre-2008 and dual method. Interest rate hedging for corporate clients
18
FX derivatives: valuation of FX derivatives. Curve estimation with Vanna Volga . FX hedging for corporate clients

Teaching materials available on the course site
Academic and Professional Articles
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading (The Wiley Finance Series Book 507) (English Edition) 1st Edition, English Edition by Mohamed Bouzoubaa , Adel Osseiran