Syllabus - Università degli Studi della Tuscia

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13437 - ECONOMIA AZIENDALE - MECHELLI Alessandro - SFORZA Vincenzo	8	SECS-P/07	60	-	-	-	Basic compulsory activities	- -	ITA
13450 - MATEMATICA GENERALE - MARUCCI Alvaro - Docente a contratto	8	SECS-S/06	60	-	-	-	Basic compulsory activities	- -	ITA
13451 - DIRITTO PRIVATO - CORBO Nicola - D'ANDREA Stefano	8	IUS/01	60	-	-	-	Basic compulsory activities	- -	ITA
14988 - IDONEITA' LINGUISTICA I e II - INGLESE - ROMAGNUOLO Anna	10	L-LIN/12	75	-	-	-	Final examination and foreign language test	-	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13422 - ECONOMIA POLITICA I - CORREANI Luca - GAROFALO Giuseppe	8	SECS-P/01	60	-	-	-	Basic compulsory activities	- -	ITA
13452 - RAGIONERIA - PERRONE Egidio Giuseppe - PICCAROZZI Michela	8	SECS-P/07	60	-	-	-	Core compulsory activities	- -	ITA
13636 - DIRITTO PUBBLICO - NARDUZZI Luigi - MOSCARINI Anna	8	IUS/09	60	-	-	-	Related or supplementary learning activities	- -	ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13621 - ECONOMIA POLITICA II - GAROFALO Giuseppe	8	SECS-P/01	60	-	-	-	Core compulsory activities	-	ITA
13633 - STATISTICA - GORELLI Stefano	8	SECS-S/01	60	-	-	-	Core compulsory activities	-	ITA
13803 - ECONOMIA E GESTIONE DELLE IMPRESE - AQUILANI Barbara	8	SECS-P/08	60	-	-	-	Core compulsory activities	-	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13498 - ECONOMIA E GESTIONE DELLE IMPRESE - AQUILANI Barbara	8	SECS-P/08	60	-	-	-	Core compulsory activities	-	ITA
13634 - MATEMATICA FINANZIARIA - BORIA Francesco	8	SECS-S/06	60	-	-	-	Core compulsory activities	-	ITA
13635 - DIRITTO COMMERCIALE - DESARIO Michele Salvatore	8	IUS/04	60	-	-	-	Core compulsory activities	-	ITA
13644 - STRATEGIA E GOVERNANCE AZIENDALE - DI TORO Pierre	8	SECS-P/07	60	-	-	-	Core compulsory activities	-	ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13730 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI - PELILLI Davide	8	SECS-P/11	60	-	-	-	Core compulsory activities	-	ITA
13733 - ECONOMIA MONETARIA - VERDE Antimo	8	SECS-P/01	60	-	-	-	Core compulsory activities	-	ITA
13756 - ECONOMIA DEI MERCATI FINANZIARI - D'ARCANGELIS Anna Maria (syllabus) Interest rate swaps: types, use, risk analysis and pricing. The interest rate curve: Preparation of the Excel file. The zero-coupon rate curve and construction of the short-term curve. Euribor spot and future. Analysis and calculation on Excel sheet The medium-long part of the curve. From 1 to 10 years with bootstrapping swap. Forward rates (use of data on Excel sheet). The spot rate curve: pricing of a fixed rate bond, of a floater and of a vanilla swap. Rate and credit shifts. (reference books) Slides and course materials distributed by the instructor and available at university copy shops. - SACCHI Samuela - LIGUORI Mauro	8	SECS-P/11	60	-	-	-	Related or supplementary learning activities	- - -	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13726 - STATISTICA ECONOMICA - DE CARLI Rita	8	SECS-S/03	60	-	-	-	Core compulsory activities	-	ITA
13731 - FINANZA I - MESCHINI Massimiliano	8	SECS-P/09	60	-	-	-	Core compulsory activities	-	ITA
13734 - DIRITTO DELLE ASSICURAZIONI - TANZI Maurizio	8	IUS/04	60	-	-	-	Core compulsory activities	-	ITA
13736 - LEGISLAZIONE BANCARIA - DESARIO Michele Salvatore	8	IUS/04	60	-	-	-	Core compulsory activities	-	ITA
13755 - ECONOMIA DEL MERCATO MOBILIARE (objectives) 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 (learning skills). Students are provided with exercises and are assigned a project work that allows them to develop the ability to search for data and information to be processed, to elaborate 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). - D'ARCANGELIS Anna Maria (syllabus) PART ONE. THE STOCK MARKET. RISK RETURN ANALYSIS. Estimation of returns. The risk and the distribution of the returns. The Normal distribution. The historical analysis of Bodie Kane and Marcus. The selection of financial assets in a return/risk context. MARKOWITZ ANALYSIS. Portfolio analysis. The portfolio return. The portfolio risk. The Markowitz model and risk diversification. The case of two securities with perfect positive correlation. The case of two securities with perfect negative correlation. The case of two securities with zero correlation. The Markowitz frontier: demonstrations. The case of perfect positive correlation, perfect negative correlation, null correlation. Analysis of the Markowitz frontier and selection of the portfolio. The selection of the optimal portfolio. The indifference curves approach. The shortfall probability approach. The methodologies of risk diversification. The Markowitz model: strengths and limitations. EQUILIBRIUM MODELS IN THE CAPITAL MARKET. From Tobin's model to the CAPM - The CML. The decomposition of risk into systematic and specific. The Sharpe Single Index Model. The estimation of the beta coefficient. The statistical reliability of the beta estimate. How to interpret the beta value. The risk in the single index model. Beta estimation methodologies. The Security Market Line (SML). CML and SML in comparison. The empirical tests of the CAPM. The valuation through the multiples. The price/earning ratio. The price/book value ratio. The dividend yield and the approach of the "Dogs of the Dow". The cash flow model. The theory of the efficient markets of Fama. The weak efficiency tests. Tests of semi-strong efficiency. SECOND PART. THE OPTIONS ON STOCKS. PLAIN VANILLA OPTIONS. Plain vanilla options. Definitions. The opening of long and short positions in options. Long call. Short call. Long put. Short put. The Building Block or Lego Approach. The value of the option: intrinsic value and time value. The intrinsic value and the moneyness of the option. The factors that determine the time value. The American-style option and early exercise. Put-call parity. Put-call parity for European style options. Put-call parity for American-style options. THE BLACK SCHOLES MODEL. Introduction. The dynamics of the share prices. The partial differential equation of Black Scholes. The formula of Black and Scholes. The formula of Black and Scholes in presence of dividends. Estimation of volatility. Historical volatility. Implied volatility. The volatility smile. THE BINOMIAL MODEL OF COX ROSS AND RUBINSTEIN. The binomial model. The one step model. The hypotheses to the base of the model. A numerical example. The binomial model to n steps. The binomial model and the valuation of the American options. The case of the American call. The case of the American put. THE MONTE CARLO SIMULATION. Introduction. The model. Definition of the number of run of the simulation. An example. The generation of numbers random. The method of the inverse transformation. Generation of the uniform random variables. Estimate of the inverse of the normal standard of. each uniform random variable. GREEKS AND DELTA HEDGING. Greeks. The delta. The gamma. The vega. The rho. The theta. Use of the Greeks: a summary example. The Greeks of an options portfolio. Options book hedging. Dynamic delta hedging. The delta-gamma hedging. Delta-Vega hedging. The delta-gamma-Vega hedging. Higher order Greeks. The vanna. The volga or vomma (or gamma-vega or volgamma). The delta bleed (charm). (reference books) Anna Maria D'Arcangelis. Economia del Mercato Mobiliare. Copinfax. Anna Maria D'Arcangelis. Finance with Excel. Teaching notes. Slides and course materials distributed by the instructor and available at university copy shops. Bodie, Kane and Marcus, (BKM), Essentials of Investments, last edition, Irwin.	8	SECS-P/11	60	-	-	-	Related or supplementary learning activities	-	ITA
13804 - PROVA FINALE	4		-	-	-	-			ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13804 - PROVA FINALE	4		-	-	-	-			ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13765 - MATERIE PRIME E RISORSE ENERGETICHE - JIRILLO Rita	8	SECS-P/13	60	-	-	-	Core compulsory activities	-	ITA
13768 - TEORIA DEL COMMERCIO INTERNAZIONALE - DOBICI Elena	8	SECS-P/01	60	-	-	-	Core compulsory activities	-	ITA
13770 - DIRITTO PUBBLICO DELL'ECONOMIA - CAMILLI Enrico Leonardo	8	IUS/09	60	-	-	-	Related or supplementary learning activities	-	ITA
13771 - STORIA ECONOMICA - PALERMO Luciano	8	SECS-P/12	60	-	-	-	Related or supplementary learning activities	-	ITA
13772 - STATISTICA SOCIALE - GORELLI Stefano	8	SECS-S/05	60	-	-	-	Related or supplementary learning activities	-	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13766 - POLITICA ECONOMICA EUROPEA - SORRENTINO Alessandro	8	AGR/01	60	-	-	-	Core compulsory activities	-	ITA
13769 - DIRITTO INTERNAZIONALE - COCCIA Massimo	8	IUS/14	60	-	-	-	Core compulsory activities	-	ITA
13804 - PROVA FINALE	4		-	-	-	-			ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13437 - ECONOMIA AZIENDALE - MECHELLI Alessandro - SFORZA Vincenzo	8	SECS-P/07	60	-	-	-	Basic compulsory activities	- -	ITA
13450 - MATEMATICA GENERALE - MARUCCI Alvaro - Docente a contratto	8	SECS-S/06	60	-	-	-	Basic compulsory activities	- -	ITA
13451 - DIRITTO PRIVATO - CORBO Nicola - D'ANDREA Stefano	8	IUS/01	60	-	-	-	Basic compulsory activities	- -	ITA
14988 - IDONEITA' LINGUISTICA I e II - INGLESE - ROMAGNUOLO Anna	10	L-LIN/12	75	-	-	-	Final examination and foreign language test	-	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13422 - ECONOMIA POLITICA I - CORREANI Luca - GAROFALO Giuseppe	8	SECS-P/01	60	-	-	-	Basic compulsory activities	- -	ITA
13452 - RAGIONERIA - PERRONE Egidio Giuseppe - PICCAROZZI Michela	8	SECS-P/07	60	-	-	-	Core compulsory activities	- -	ITA
13636 - DIRITTO PUBBLICO - NARDUZZI Luigi - MOSCARINI Anna	8	IUS/09	60	-	-	-	Related or supplementary learning activities	- -	ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13621 - ECONOMIA POLITICA II - GAROFALO Giuseppe	8	SECS-P/01	60	-	-	-	Core compulsory activities	-	ITA
13633 - STATISTICA - GORELLI Stefano	8	SECS-S/01	60	-	-	-	Core compulsory activities	-	ITA
13803 - ECONOMIA E GESTIONE DELLE IMPRESE - AQUILANI Barbara	8	SECS-P/08	60	-	-	-	Core compulsory activities	-	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13634 - MATEMATICA FINANZIARIA - BORIA Francesco	8	SECS-S/06	60	-	-	-	Core compulsory activities	-	ITA
13635 - DIRITTO COMMERCIALE - DESARIO Michele Salvatore	8	IUS/04	60	-	-	-	Core compulsory activities	-	ITA
13644 - STRATEGIA E GOVERNANCE AZIENDALE - DI TORO Pierre	8	SECS-P/07	60	-	-	-	Core compulsory activities	-	ITA

First semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13757 - PROGRAMMAZIONE E CONTROLLO - FICI Luigi	8	SECS-P/07	60	-	-	-	Core compulsory activities	-	ITA
13761 - ANALISI E CONTABILITA' DEI COSTI - MASI Maurizio	8	SECS-P/07	60	-	-	-	Related or supplementary learning activities	-	ITA
13762 - ORGANIZZAZIONE AZIENDALE - FEDERICI Tommaso	8	SECS-P/10	60	-	-	-	Related or supplementary learning activities	-	ITA
13763 - TECNOLOGIA, INNOVAZIONE E QUALITA' - RUGGIERI Alessandro - MOSCONI Enrico maria	8	SECS-P/13	60	-	-	-	Related or supplementary learning activities	- -	ITA

Second semester

Course	Credits	Scientific Disciplinary Sector Code	Contact Hours	Exercise Hours	Laboratory Hours	Personal Study Hours	Type of Activity	Optional materials and exam in a foreign language	Language
13726 - STATISTICA ECONOMICA - DE CARLI Rita	8	SECS-S/03	60	-	-	-	Core compulsory activities	-	ITA
13758 - POLITICA ECONOMICA - VERDE Antimo	8	SECS-P/02	60	-	-	-	Core compulsory activities	-	ITA
13759 - DIRITTO DEL LAVORO - FICARI Luisa	8	IUS/07	60	-	-	-	Core compulsory activities	-	ITA
13760 - DIRITTO TRIBUTARIO I - GIOVAGNOLI Siro	8	IUS/12	60	-	-	-	Core compulsory activities	-	ITA
13804 - PROVA FINALE	4		-	-	-	-			ITA

Degree Course: ECONOMIA AZIENDALE (L-18) Syllabus for A.Y. 2011/2012