Brochure dei corsi - Quantitative Finance and Insurance

Transcript

010099
BROCHURE
DEI CORSI
Corso di studio in Quantitative Finance and
Insurance
Printed by Campusnet - 12/03/2017 05:45
Indice
Indice
1
ADDITIONAL IT TRAINING
2
ASSET PRICING AND PORTFOLIO CHOICE
5
BANKING
9
BANKING
COMMERCIAL LAW (ADVANCED)
12
CORPORATE FINANCE
16
CORPORATE FINANCE
DECISION AND UNCERTAINTY
17
DERIVATIVES
20
DERIVATIVES
ECONOMETRICS II
23
ECONOMETRICS II
ECONOMICS OF SAVINGS AND PENSIONS
24
FIXED INCOME
27
FIXED INCOME
LIFE AND NON-LIFE INSURANCE TECHNIQUES
29
MATHEMATICAL ECONOMICS
31
MATHEMATICS FOR FINANCE
32
MATHEMATICS FOR INSURANCE
35
NUMERICAL AND STATISTICAL METHODS FOR FINANCE
39
STATISTICS II
42
STATISTIC II
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Anno accademico:
2016/2017
Codice attività didattica: SEM0046
Docente:
Andrea Romeo (Esercitatore)
Contatti docente:
[email protected]
Corso di studio:
Finance
Insurance and Statistics
Anno:
1° anno
Tipologia:
Altre attività
Crediti/Valenza:
3
SSD attvità didattica:
SECS-S/01 - statistica
SECS-S/06 - metodi matematici dell'economia e delle scienze att. e finanz.
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Obbligatoria
Tipologia esame:
Orale
OBIETTIVI FORMATIVI
english
The course aims at presenting the main numerical techniques used in financial applications. It covers both
programming introduction and financial applications.
italiano
RISULTATI DELL'APPRENDIMENTO ATTESI
english
Ability to handle numerical techniques suitable for financial problems in Matlab.
italiano
MODALITA' DI INSEGNAMENTO
english
The course is articulated in 24 hours of formal in‐class lecture time, and in hours of at‐home work.
italiano
MODALITÀ DI VERIFICA DELL'APPRENDIMENTO
english
The final exam consists in a group project.
Projects must be chosen among a list that I will provide you by the end of the course.
Groups should be composed of max 3-4 people.
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The discussion of the project will consist in a short presentation of
the project.
The group is also expected to deliver a short report in
pdf format, containing:
- a description of the financial and mathematical problem;
- a description of the solution of the problem;
- the explanation of the numerical algorithms adopted;
- MATLAB code scripts and user-defined functions;
- discussion of the results.
As a general rule, try to write the code in the most efficient possible way, trying
to avoid for loops when possible by vectorizing the calculations.
I will supervise the projects and assist the groups in the making of the code.
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ATTIVITÀ DI SUPPORTO
english
Office hours.
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PROGRAMMA
english
- Introduction to Matlab and basics: arrays and matrices, plotting.
- Programming in Matlab: scripts, functions, control flow and operators, data
handling.
- Statistical and mathematical tools in Matlab: statistical functions, regressions, (un) constrained optimization,
interpolation, numerical integration,
random variables generation.
- Sampling paths of continuous diffusions and jump processes;
- Pricing Derivatives via Monte Carlo Simulation;
- Variance Reduction Techniques;
- Lattice methods and binomial pricing.
italiano
TESTI CONSIGLIATI E BIBLIOGRAFIA
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english
P. Glasserman, 2003, Monte Carlo Methods in Financial Engineering, Spinger.
J. Kienitz and D. Wetterau, 2012, Financial Modelling: Theory, Implementation and Practice with MATLAB Source,
Wiley.
P. Brandimarte, 2006, Numerical methods in finance and economics: a MATLAB-based introduction, Wiley.
W. Schoutens, 2003, Lévy Processes in Finance, Wiley.
Cox, John C., Stephen A. Ross, and Mark Rubinstein. "Option pricing: A simplified approach." Journal of financial
Economics 7.3 (1979): 229-263. Black, Fischer, and Myron Scholes. "The pricing of options and corporate
liabilities." Journal of political economy 81.3 (1973): 637-654.
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NOTA
Starting from 6th March, 2016 the class will be held on Monday and Tuesday, always from 17.30 to 19.30.
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=qitd
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Anno accademico:
2016/2017
Codice attività didattica: ECO0262
Docente:
Prof. Giovanna Nicodano (Titolare del corso)
Contatti docente:
0116706073 o 5006, [email protected]
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
9
SECS-P/01 - economia politica
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Obbligatoria
Tipologia esame:
Scritto
PREREQUISITI
Inglese
Fundamentals of calculus, statistics, econometrics, finance are prerequisites. Essential background material is found
in the following textbook: Bodie Z., Kane A., Marcus A.J., Investments, McGraw Hill, – International Edition, senza
scheda S&P. cap. 5-11, 13 e 24-27
OBIETTIVI FORMATIVI
inglese
This course focuses on asset pricing and quantitative investment management methods.
The first part deals with asset pricing theory.
The second part addresses quantitative portfolio choice methods and their ex-post performance. Such methods
account for investors' horizons, return predictability and estimation risk.
The third part is devoted to some special topics.
inglese
1. Knowledge and understanding ability
The first part of the course allows to recognize risk-based drivers of pricing in simple, static contexts.
It will also show the drivers of return predictability.
Based on the second part of the course, students will be able to address the following issues:
1. Why should investors diversify across assets? Which are relevant characteristics of asset classes?
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2. When should a worker reduce investment into stocks as retirement approaches? Which is the optimal asset
allocation for a pension fund, that caters to a specific pool of workers?
3. Is it possible to reliably predict the return on one asset? On a portfolio of assets? On the relative return of two
assets?... Are stock returns more predictable over a day, a month, a year, a decade?
4. Do ex ante optimal portfolios perform better relative to simpler ones in ex post experiments? How large are gains
from portfolio diversification across assets?
5. Are stocks safer in the long run? How large are gains from portfolio diversification over time?
6. Why do "alternative assets" increase the Sharpe ratio of portfolios? Are the returns on such assets similar to those
of other assets?
2) Capability to apply knowledge and understanding
The course enables to choose from a set of tools to cope with practical problems of risk assessment, portfolio
management and asset pricing. For instance:
1. How to measure expected returns on different stocks on the basis of a small set of determinants. How to use
existing assets to price redundant assets. How to identify arbitrage opportunities.
2. How to use asset pricing models to design long-short strategies? And portfolios with desired risk exposures. How
to replicate a stock index? How to use asset pricing models to evaluate ex post performance of mutual funds?
3. How can a worker smooth consumption during working years (given labor income risk) and during retirement? Is
she saving enough for retirement? Should a worker reduce investment into stocks as retirement approaches? Which
is the optimal asset allocation for a pension fund?
4. Which techniques can a portfolio manager use to improve on ex- post performance?
5. How can we exploit predictability while optimizing the risk/return trade-off?
6. Can we use standard portfolio optimization tools to invest in alternatives? And what about ex-post performance
measures: should we modify them to evaluate portfolios that include alternatives?
3) Capability to approach the subject in a critical manner
This is a key challenge.
The asset and risk management industry acts upon an evolving body of knowledge, so that the portfolio manager
must be able to critically cope with new concepts and techniques. So as to train to this, we will present some
unsettled issues - such as the possibility to exploit return predictability for improving portfolio performance -and the
different actions to take depending on one's own critical assessment of the matter.
We will also emphasize the difficulty in choosing to reduce risk taking when the asset manager's incentives are tilted
towards maximizing short term returns.
4) Communication abilities
Students are expected to solve three problem sets in randomly-formed teams.
If time allows, random participants in each team will be asked to present some results.
5) Learning ability
The reading list includes a variety of materials, from beginners' textbooks to technical hadbooks and scientific
papers.
This ought to teach how to refer to different sources, when necessary. Lecture notes ease the approach to complex
sources.
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The course is based on both formal lectures and at least as many hours of at‐home
reading and solving exercises.
Inglese
Class- work:
The entry test, during the first lecture, is based on Bodie Kane and Markus (see prerequisites). Max Points 4.
There will be the possibility to retake the entry test once, in any of the official dates during the summer session. Pass
grades at the entry test will be considered valid.
The entry test allows to understand whether most students know the basics. It consists of multiple choice questions
and very simple exercises, drawn from Bodie Kane Marcus.
EXAMS: the second part of the grade (up to 26/30) is based on a test taken in the official usual exam dates.
Inglese
Weekly office hours during the course.
PROGRAMMA
inglese
Review of the Basics Mean Variance Optimization
Equilibrium Pricing and Arbitrage Pricing
The 3-factor Model and Liquidity-adjusted Factor Model
Some industry practices: performance evaluation, Treynor Black..
Risk-based Asset Pricing
1. Pricing with the Stochastic Discount Factor
2. Efficient Frontier and CCAPM
3. Return Predictability and Market Efficiency
4. Contingent Claim Pricing
5. Risk Neutral Probabilities
6. Equilibrium pricing in complete markets
Portfolio Choice
7. Human Capital, Life Cycle Saving and Investing
8. Return Predictability: Stylized Facts
9. Estimation risk and ex post performance of optimal portfolios.
10. Return Predictability and long term asset allocation
Topics
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11. Pricing votes and ownership structure
12. Pricing information (news, insider trading, Merton's investor base)
13. Investing in alternative assets (higher order risk; hedge fund strategies, commercial real estate..)
14. Governance-based portfolio strategies
15. Tax arbitrage
16. Firm value and firm diversification
17. Risk measures
18. Liquidity and liquidity risk
19. "Smart" Investing and smart selling
20. The costs and benefits of securities regulation
Changes will be communicated at the beginning of the course.
This reading list is indicative. The complete reading list wil be available on Moodle at the beginning of the course. It
will comprise both book chapters and scientific papers.
1-6
Cochrane J., Asset Pricing, Princeton University Press, 2001
Ch.1-5
7-10.
Campbell J.Y and L. M. Viceira, Strategic Asset Allocation, Oxford Un. Press, 2002 , Ch. 6, Introduction; Ch. 6.1.1; Ch.
7
D- Lou, C. Polk, S. Skouras, A Tug of War: Overnight vs. Intraday Expected Returns , LSE 2015.
Goyal A., and I. Welch, 2008, "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction",
Review of Financial Studies, 21(4),455-508
Jorion P., International Portfolio Diversification with Estimation Risk, Journal of Business, 58(3), 1985, 259-277
Garlappi Uppal, 1/N, The Review of Financial Studies, 2009
Avramov D. and T. Chordia, Predicting Stock Returns, Journal of Financial Economics, 2006.
Barberis N., Investing For the Long Run when Returns Are Predictable, Journal of Finance, Feb 2000
NOTA
REGISTER ONLINE by the first lecture of the course, on Moodle, adding a picture of yourself. Thanks!
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=8bbg
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BANKING
BANKING
Anno accademico:
2016/2017
Codice attività didattica: SEM0018 - SEM0063
Docente:
Alberto Eichholzer (Titolare del corso)
Luca Martina (Titolare del corso)
Prof. Giorgio Spriano (Titolare del corso)
Contatti docente:
[email protected]
Corso di studio:
Finance
Anno:
1° anno 2° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
9
SECS-P/11 - economia degli intermediari finanziari
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Scritto
PREREQUISITI
italiano
Non vi sono prerequisiti formali.
english
There are no formal requirements.
OBIETTIVI FORMATIVI
english
Commercial Banking: to provide the students with general understanding of banking activities, products, markets,
rules and basic principles of business, planning and risk management
Investment Banking: to provide the students with general understanding of infrastructure financing, market
practices, analytical tools and basic principles of legal and regulatory framework
Private Banking: to provide the students with the basic of the private banking business dynamics and a picture of the
main features of the sector and its new regulatory framework
italiano
english
Commercial Banking: students should acquire an understanding of the main banking activities and how they
contribute to the asset-liabilities and profit and loss of the bank, together with the first elements of planning and risk
management
Investment Banking: students should acquire the basic elements of infrastructural financing and related markets
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Private Banking part students should acquire knowledge of the private banking business dynamics and have a clear
picture of the geographic main features of the sector. The new regulatory framework and the role of the private
banker will be emphasized and are required to be learned and understood.
italiano
english
The course is based on 63/72 hours, divided into 3 modules of 21/24 hours each: Commercial Banking, Investment
Banking and Private Banking. Lesson frequency is recommended
italiano
english
Written examination. Every part of the course (Commercial, Corporate, Private) will assign 10/30 of the final vote
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L'esame consiste in una prova scritta che verte sulle tre parti del corso: a) General commercial banking (10 punti), b)
investimenti banking (10 punti), c) Private Banking (10 punti).
PROGRAMMA
english
Commercial Banking (G. Spriano)
The economic function and the typical activities of a Bank
Balance sheet and profit and loss of a Bank
Basic principles of banking planning and budgeting
Italian and European banking system: trends and shape in the recent history
The present regulatory framework
Investment Banking (A. Eichholzer)
Infrastructure Financing
Public Private Partnerships
Project Finance
Case Studies
Private banking (L. Martina)
Private Banking: Definition, History, Ranking and Global View on Regional Markets
Value Proposition/Industry Dynamics/ Introduction to Client Needs, Behaviors and preferences
The Role of the Private Banker: Behavioral Finance Basics
Priorities for capturing the new generation of clients/The Advisory Processes
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The Advisory Model
Main Asset Classes Basics
Strategy implementation, Asset Protection
italiano
english
All the course materials will be provided on the website
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Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=pdlo
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Anno accademico:
2016/2017
Docente:
Dott. Federico Riganti (Titolare del corso)
Contatti docente:
+39 (0)11 034 22 22, [email protected]
Corso di studio:
Finance
Anno:
2° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
6
IUS/04 - diritto commerciale
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
PREREQUISITI
english
Knowledge of Corporate Law
italiano
Conoscenza del diritto commerciale (diritto delle società)
OBIETTIVI FORMATIVI
english
The class aim is providing students with instruments to understand financial markets law, with a specific focus on the
EC rules about intermediaries, markets and issuers
italiano
L'insegnamento si propone di fornire allo studente gli strumenti per comprendere i principali istituti del mercato
finanziario, con particolare riguardo alla disciplina comunitaria degli intermediari, del mercato e degli emittenti
english
- Knowledge and understanding: we hope that students gain knowledge and understanding on the current rules of
financial markets law
- Applying knowledge and understanding: we hope that students are able to properly apply the institutions of
financial markets law to cases and works hypothesis
- Making judgements: we hope that the students gain critical skills in evaluating the answers/solutions provided to
the main financial markets law issues
- Communication skills: we hope that the students are able to discuss the issues and to propose solutions
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- Learning skills: we hope that the students gain the methodological basis about the legal research on financial
markets law matters and are able to examine in depth the subjects discussed during the course
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- Conoscenza e capacità di comprensione: si auspica che lo studente possa acquisire conoscenze e capacità di
comprensione dei principali istituti del diritto dei mercati finanziari
- Capacità di applicare conoscenza e comprensione: si auspica che lo studente possa applicare correttamente a
casi concreti semplici la disciplina positiva dei principali istituti dei mercati finanziari
- Autonomia di giudizio: si auspica che lo studente acquisisca capacità critica nel valutare le soluzioni date alle
problematiche dai vari operatori del settore
- Abilità comunicative: si auspica che lo studente sia in grado di discutere problemi e prospettare soluzioni
relativamente a casi di studio
- Capacità di apprendimento: si auspica che lo studente acquisisca i fondamenti metodologici per l'applicazione dei
principali istituti del diritto dei mercati finanziari
english
The course includes a series of lectures, each dedicated to one or more institutions and declined in its illustration,
followed - where appropriate - by the presentation of case law of particular importance
italiano
L'insegnamento prevede una serie di lezioni frontali, ciascuna dedicata a uno o più istituti e declinata nella relativa
illustrazione, seguita - ove consentito dalla natura istituzionale della trattazione - dalla presentazione di casi di
particolare rilevanza
english
Oral examination. The examination will verify the knowledge of the main principles of EU Securities and Financial
Market Regulation
Students must be registered to the examination and must have passed exams as provided in Department rules. The
evaluation of the examination must be recorded immediately
For the attending students it will be possible to take a partial examination (50% of the Final Exam) through a paper of
8.000 words, related to one of the items of the program. More detailed information will be provided at the
beginning of the course
italiano
Esame orale. L'esame è finalizzato a verificare che lo studente abbia appreso le nozioni chiave della materia,
nonché la capacità di orientarsi fra le norme
Lo studente è ammesso a sostenere l'esame solo se regolarmente iscritto all'appello; lo studente è ammesso a
sostenere l'esame solo se ha rispettato le propedeuticità fissate dal regolamento; non e' in alcun modo possibile far
sostenere l'esame e "conservare" il voto per una futura registrazione
Per gli studenti frequentanti sarà possibile sostenere una parte dell'esame, pari al 50%, in forma scritta sotto forma
di relazione (8.000 parole) su uno degli argomenti trattati nel corso. Ulteriori spiegazioni in merito saranno fornite
durante le prime lezioni
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english
Class attendance, although not mandatory, is recommended due to the technical nature of the subject. In any case,
classroom attendance must be accompanied by the study of the manual and of the papers provided
italiano
La frequenza alle lezioni, pur non obbligatoria, è consigliata in ragione del carattere tecnico della materia. In ogni
caso, la frequenza in aula dev'essere accompagnata dallo studio del manuale e dei materiali consigliati
PROGRAMMA
english
Historical Introduction
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Law-making
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Capital-raising
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Investment Firms and Investment Services
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Gatekeepers
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Market Abuse
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Supervision and Enforcement
italiano
Introduzione storica
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Le fonti del diritto rilevanti
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Inquadramento ed evoluzione della disciplina comunitaria
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Operatori e Servizi di investimento
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I c.d. "Gatekeepers"
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Le patologie del sistema: i c.d. market abuse
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Supervisione e enforcement
english
Text
Moloney N., EU Securities and Financial Markets Regulation, Oxford EU Law Library, Third Edition (January, 2016)
Available at: https://global.oup.com/academic/product/eu-securities-and-financial-markets-regu lation9780199664351?cc=hk&lang=en# or https://www.amazon.it/EU-Securities-Financial-MarketsRegulation/dp/0199664358/r ef=sr_1_2?s=english-books&ie=UTF8&qid=1470070586&sr=1-2&keywords =moloney
pp. (from/to): 1/48 – 48/194 - 320/419 – 634/770 – 942/1023
N.B. – The Text will also be available at the Library of the University
Please note:
Indicative readings are provided on the webpage of the Course (under section "materiale didattico")
italiano
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Manuale
Moloney N., EU Securities and Financial Markets Regulation, Oxford EU Law Library, Third Edition (January, 2016)
Disponibile su: https://global.oup.com/academic/product/eu-securities-and-financial-markets-regu lation9780199664351?cc=hk&lang=en# or https://www.amazon.it/EU-Securities-Financial-MarketsRegulation/dp/0199664358/r ef=sr_1_2?s=english-books&ie=UTF8&qid=1470070586&sr=1-2&keywords =moloney
pp. (da/a): 1/48 – 48/194 - 320/419 – 634/770 – 942/1023
N.B. - Il libro, in corso d'acquisto, sarà anche disponibile presso la Biblioteca della Scuola
N.B.
Per quanto concerne le letture integrative consigliate si veda la sezione "materiale didattico" sulla pagina del corso.
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=e00a
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CORPORATE FINANCE
CORPORATE FINANCE
Anno accademico:
2016/2017
Docente:
Contatti docente:
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
6
SECS-P/09 - finanza aziendale
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
Mutuato da: CAPITAL MARKETS AND CORPORATE FINANCE - MODULO MANAGERIAL CORPORATE FINANCE
(SEM0060A)
Corso di studio in Economics
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=lv0j
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Anno accademico:
2016/2017
Docente:
Paolo Ghirardato (Titolare del corso)
Contatti docente:
011 6705220, [email protected]
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Affine o integrativo
Crediti/Valenza:
6
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Scritto
OBIETTIVI FORMATIVI
english
This is a course which introduces students to the formalization and analysis of decision making both in a singleperson environment. While the course's emphasis is on theoretical issues, specific attention is given to the
application of the concepts developed in class to economic and financial problems.
italiano
english
At the end of the course, the student is expected to be capable of:
-using the basic tools and results to pose, formalize and analyse a single-person or multi-person decision problem
-knowing the extent to which the results obtained in the previous step are dependent on the assumption that s/he
has made about the preferences, information and behavior of actors in the problem
-knowing therefore the extent to which the results are robust to different assumptions on preferences, information
and behavior
-being able to think about possible and useful generalizations of the posited model(s)
-being able to communicate such findings using appropriate and clear mathematical notation and language
italiano
english
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The course-work is articulated in 48 hours of formal in-class lecture time, and in at least as many hours of at-home
work solving practical exercises.
italiano
english
Generalities:
The course grade is determined solely on the basis of written examinations. The objective of the examination is
to test the student's ability to do the following:
1) Present briefly the main ideas, concepts and results developed in the course, also explaining intuitively the
meaning and scope of the definitions and the arguments behind the validity of the results
2) Use effectively the concepts and the result to answer questions in Economics and related areas --e.g., using a
specific decision model to make a policy prescription.
Practicalities:
There are 5 possible exam sessions in each academic year. The first session takes place during the first semester
(while the course is being taught), and it is administered in early December in a single comprehensive examination.
The remaining four sessions (from January until September) work the same way.
Each exam lasts 165 minutes, and it is typically articulated in 4 questions. Some of the questions have an essay part,
and some of the questions also have a more practical ("exercise") part. Each question is scored between 20 and 40
points, and the maximum score for the exam is typically 120. The final score in 120ths is computed, and it is
transformed into 30ths, taking also into account the general class performance in the two exams (i.e, giving some
weight to relative, as well as absolute performance).
italiano
english
Weekly homework sets will be assigned, and their solution will be posted and (if time allows) discussed in class.
italiano
PROGRAMMA
english
-Introduction and overview of decision models.
-Decision analysis in action: Your decision problem
-Choice under certainty: Relations and revealed preferences
-Known probabilities: The Expected Utility Model
-Subjective probability: The Subjective Expected Utility model (Anscombe-Aumann and Savage)
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-Non-expected utility models: The Allais and Ellsberg paradoxes and their rationalizations
italiano
english
The exam is mostly going to be based on the class notes and some readings assigned in class. However, for
supplemental reading (and some homework exercises) the following are the suggested textbooks for the course:
-David Kreps, Notes on the Theory of Choice, Westwood Press, 1988, chapters 1-12
-Howard Raiffa, Decision Analysis, McGraw-Hill 1997 (1968), chapters 1-5
italiano
NOTA
For further details:
https://dl.dropboxusercontent.com/u/343639/web/didattica/du/du.html
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=oou7
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DERIVATIVES
DERIVATIVES
Anno accademico:
2016/2017
Docente:
Elisa Luciano (Titolare del corso)
Andrea Romeo (Titolare del corso)
Contatti docente:
0116705742, [email protected]
Corso di studio:
Finance
Anno:
2° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
9
Erogazione:
Tradizionale
Lingua:
Italiano
Frequenza:
Facoltativa
Tipologia esame:
Orale
OBIETTIVI FORMATIVI
english
The course aims at presenting the main valuation and hedging techniques for derivatives, mainly futures and
options. It covers both derivatives traded in regulated markets and OTC ones: special emphasis is given to
counterparty risk. Lab sessions for application of the theory (Excel based) are included.
italiano
english
Ability to evaluate and hedge the main derivative contracts on stock markets.
italiano
english
The course is articulated in hours of formal in‐class lecture time, and in hours of at‐home work solving practical
exercises.
italiano
english
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Exam: paper and computer based.
(Second part of the course: two sections.
First section: one or more question about the theoretical part.
Second section: one exercise on Excel.)
italiano
english
italiano
PROGRAMMA
english
First part: from Financial Economics to Financial Mathematics
- The portfolio problem
- Absence of arbitrage and equilibrium
- Valuation in complete and incomplete markets
- Arrow Debreu prices
- Kernels
- Risk neutral Probabilities
-
Fundamental pricing Theorem
-
Its use for derivative assets
Second part: applications (theory and computer lab):
Futures
European Options:
-
Pricing, Binomial and Black Scholes models
Hedging: naked and covered positions, stop-loss strategies, delta and gamma hedging in discrete and
continuous time
-
Hedging errors and valuation of hedging strategies
Simulation of asset returns
- 21 -
Third part: Credit and counterparty risk
-
Option theory in order to evaluate credit risk
Intensity-based models
italiano
english
Jarrow, R:, Turnbull, S., Derivative Securities, South Western Publishing, 1996 (1st ed.) or 1999 (2nd edition):
http://www.amazon.com/Derivative-Securities-Robert-Jarrow/dp/0538877405
•Hull, J. (2014). Options, Futures, and Other Derivatives, (9th Edition), Pearson.
•Ballotta L, Fusai, G. (2015), 'An Introduction to Stochastic Calculus with Matlab examples' in Andrea Roncoroni,
Gianluca Fusai, Mark Cummins (ed.), Handbook of Multi-Commodity Markets and Products: Structuring, Trading and
Risk Management, Wiley
italiano
· Jarrow, R:, Turnbull, S., Derivative Securities, South Western Publishing, 1996 (1st ed.) or 1999 (2nd edition):
http://www.amazon.com/Derivative-Securities-Robert-Jarrow/dp/0538877405
· Hull, J. (2014). Options, Futures, and Other Derivatives, (9th Edition), Pearson. · Ballotta L, Fusai, G. (2015), 'An
Introduction to Stochastic Calculus with Matlab examples' in Andrea Roncoroni, Gianluca Fusai, Mark Cummins
(ed.),Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management, Wiley.
NOTA
You can find an updated version of lectures timetable in the section "Materiali didattici".
Potete trovare l'aggiornamento dell'orario delle lezioni nella sezione "Materiali didattici".
Lectures on November 18 and November 21 will be held in room 10, 8.30am. Lab classes will be on November 25
and 28.
Homework on Poisson processes, due on November 28, 2016.
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=su87
- 22 -
ECONOMETRICS II
ECONOMETRICS II
Anno accademico:
2016/2017
Docente:
Contatti docente:
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
12
SECS-P/05 - econometria
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
Mutuato da: ECONOMETRICS II (ECO0143)
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=v2ak
- 23 -
Anno accademico:
2016/2017
Docente:
Prof. Elsa Maria Fornero (Titolare del corso)
Prof. Mariacristina Rossi (Titolare del corso)
Contatti docente:
[email protected]
Corso di studio:
Anno:
1° anno
Tipologia:
Crediti/Valenza:
6
SECS-P/01 - economia politica
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
OBIETTIVI FORMATIVI
english
italiano
Apprendimento delle tecniche di base della ottimizzazione interetemporale. Conoscenza dei sistemi pensionistici a
ripartizione e contributivi.
english
italiano
Padronanza dei concetti quali il risparmio e stock di ricchezza, processo di accumulazione e decumulazione, sistemi
pensionistici
english
italiano
Lezioni ed esercitazioni
english
italiano
Esame scritto e orale facoltativo
Esercitazioni in laboratorio
PROGRAMMA
- 24 -
english
1. Content and objectives Pension systems are designed to meet three main objectives: to allow people to smooth
consumption in their life cycle; to prevent poverty in old age; to establish a compact among generations. These
goals, in their turn, are meant to insure individual risk, to overcome individual planning limitations and to provide
some sharing for aggregate risks. Within the first category of risks, longevity and earnings risks are predominant;
within the second, myopia and time inconsistency have to be addressed; within the third, demographic, economic
and political risks should be as much diversified as possible.
Starting from this framework, the course aims at placing European pension systems and reforms in the context of
the economic theory of households' savings, where imperfect and incomplete (financial and insurance) markets
make room for the state to play an insurer's role, besides its traditional redistributive tasks. The logic behind the
"insurance perspective" does not imply giving up the traditional objective of solidarity, both within and between
generations; indeed, this aim is strengthened by highlighting the key role of risk diversification. Furthermore, thanks
to an analytical framework based on insurance, measures aimed at achieving a given distributional goal are easily
designed; while, if the insurance framework is ignored, redistribution in practice ends up with unforeseen and
undesirable features.
2. Learning outcomes
1) Knowledge and understanding Economic and psychological determinants of savings; functioning of both public
and private pension systems; incentive and redistributive effects of pension systems. 2) Applying knowledge and
understanding Application are possible to both simulation and econometric models. 3) Making judgments Improving
the ability to understand the economic determinants of savings, to evaluate the costeffectiveness of different
insurance programs, to compare the cost of different saving products. 4) Communication skills To acquire greater
precision of concepts and language and to learn the economics behind welfare programs 5) Learning skills For a
successful in learning, students must acquire a good familiarity with economic, financial and risks concepts
3. Covered topics are: i. Microeconomic foundations of retirement savings • Basic deterministic saving models: the
LCH and the PIH (intertemporal optimization models: assumptions and main results) • Introducing uncertainty •
Certainty Equivalence • Permanent Income Hypothesis
• Euler Equation • Precautionary savings • Life uncertainty and its effects. • The introduction of (actuarially fair) life
insurance and the dominance of annuities • Why is the market for annuities everywhere so thin? • Why are reverse
mortgages almost ignored?
ii. An economic analysis of social security (micro and macroeconomic features of social security) • Financing mode:
PAYG vs. Funding • Pension formulae (DB vs. DC) • Actuarial fairness and neutrality • Measures of financial
sustainability • Measures of adequacy • Redistribution (both within and between generations) • Incentive structure •
(Induced) retirement • The aggregate pension wealth (debt) iii. Theoretical and empirical models of retirement •
Stylised facts about retirement • Determinants of retirement choice • The implicit tax on postponing retirement (and
related measures)
iv. The economics of pension reforms and the importance of Economic-Financial Literacy
• A political economic approach to social security • Assessing the political sustainability of social security reforms •
EFL: concept, measurement, stylized facts, consequences of illiteracy
4. Course organization Lectures, followed by discussions, and possibly a written composition at the end of the
course.
5. Minimum requirements Basic quantitative and economic courses (microeconomics and public finance);
Attendance of lectures
6. Selected Readings (Students may select one or two according to their specific interests)
italiano
- 25 -
english
1. Browning, M., A. Lusardi, 1996, "Household Saving: Micro Theories and Micro Facts", Journal of Economic
Literature, 34, 1797-1855. 2. Barr N, P. Diamond, Reforming Pensions, http://ssrn.com/abstract=1315444 3. Coronado
J. L., D. Fullerton, T. Glass, 1999, "Distributional Impacts of Proposed Changes to the Social Security System in Tax
Policy and the Economy, Vol. 13, Poterba, Jim, ed., 1999, pp. 149-186. 4. Diamond P. and P. Orszag, 2004, Saving
Social Security. A Balanced Approach, Brookings Institution Press, Washington DC. 5. Diamond Peter, 2005, "Social
Security Rules that Vary with Age", in: Fornero, E. and P. Sestito (eds), 2005, Pension Systems: Beyond Mandatory
Retirement, Cheltenham: Edward Elgar .
6. Diamond, P. 2004, 'Social Security', The American Economic Review, 94(1), March 2004 7. Disney, R., "Actuarialbased public pension systems", in: G. Clark, A. Munnell and M. Orszag, The Oxford Handbook of Pensions and
Retirement Income, OUP, 2006. 8. Fenge R. and Pestieau P., 2005, "Social Security and Early Retirement", Cesifo
Book Series, the MIT Press.
9. French E, 2005, The Effects of Health, Wealth and Wages on the Labour Supply and Retirement, Review of
Economic Studies, vol 72, no 2, Aprile, 395-427. 10. Fornero E, A Lusardi, C Monticone, Adequacy of Saving for Old
Age in Europe, prepared for the ESF Forward Look project Ageing, Health and Pensions in Europe (the Hague, April
22nd, 2009)
11. Fornero E., Economic-financial literacy and (sustainable) pension reforms: why the former is a key ingredient for
the latter, Bankers, Markets & Investors, 134, January-February 2015.
12. Geanakoplos J., O.S. Mitchell, S. P. Zeldes, 1998, "Social Security Money's Worth", PaineWebber WP Series in
Money, Economics and Finance 98-05, Columbia Business School, August.
13. Gourinchas P.O., Parker J., 2002, "Consumption over the life cycle" Econometrica, vol. 70, no 1 (January, 47-89
14. Gruber J., D. Wise (eds.), 1999, Social Security and Retirement Around the World, Chicago: University of Chicago
Press. 15. Lindbeck A. and M. Persson, 2003, "The Gains from Pension Reform", Journal of Economic Literature, vol.
41 (1), pp. 74-112. 16. Mitchell O. S., S. P. Zeldes, 1996, "Social Security Privatization: a Structure for Analysis",
American Economic Review, 86(2), pp: 363-67. . 17. Scholtz K. Seshadri A., Khitatrakun S., 2006, "Are Americans
Saving "Optimally" for Retirement?" Journal of Political Economy, 114(4), pp. 607-643.
Additioanl Material will be uploaded into Dropbox folder
NOTA
Verranno distribuite slide e materiale aggiuntivo a lezione
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=kubo
- 26 -
FIXED INCOME
FIXED INCOME
Anno accademico:
2016/2017
Docente:
Marina Marena (Titolare del corso)
Luca Martina (Titolare del corso)
Contatti docente:
Corso di studio:
Finance
Anno:
2° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
6
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Scritto
OBIETTIVI FORMATIVI
English
The purpose of the course is to discuss:
1) how to construct and manage a fixed-income portfolio
2) how to model the term structure of interest rates
3) how to price and hedge interest rate derivatives
Fundamental mathematical tecniques will be presented. Practical applications will be greatly discussed.
English
understanding fixed-income markets and instruments
evaluating the impact of the determinants of interest rate movements
constructing and maintaining a fixed-income portfolio, and assessing its credit risk
applying the basic course knowledge to theoretical issues and concrete market situations
approaching the subject in a critical manner through the examination of different approaches in the literature
and practice of the fixed-income market
enhanced communication skills, through the debate during the lectures
enhanced learning abilities, through a variety of learning tools (teaching material, class discussion, lab
sessions, homework and tests)
English
Lectures, class discussion and lab sessions.
- 27 -
English
40% coursework and 60% written examination.
PROGRAMMA
English
BOND ANALYSIS:
- Bond definition and characteristics
- Bond types
- Bond structure and priority
- Bond valuation
- Bond Return Measures (CY, YTM, YTC)
- Yield curve
- The effect of interest rate changes on bond prices
- Duration
- Determinants of Interest Rates
- Bond ratings and CRAs
- Bond spread
- Bond Yields
- Government Bonds
PORTFOLIO MANAGEMENT:
- Portfolio competition and market/strategy comments
FIXED INCOME DERIVATIVES:
- Fixed-income derivatives
- Bootstrap of the interest rate curve
- Interest rate models
English
Material and lecture notes will be made available via Moodle.
References for FIXED INCOME DERIVATIVES:
Brigo, D., Mercurio, F., Interest Rate Models: Theory and Practice With Smile, Inflation and Credit, Springer, 2006.
Kienitz, J., Interest Rate Derivatives Explained, Palgrave Macmillan, 2014.
NOTA
English
The course should be taken together with "Derivatives". Students who cannot attend classes are kindly requested
to contact instructors at the beginning of the course.
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=zlte
- 28 -
Anno accademico:
2016/2017
Docente:
Gabriele Pieragnoli (Titolare del corso)
Contatti docente:
[email protected]
Corso di studio:
Anno:
2° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
12
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Obbligatoria
Tipologia esame:
Scritto ed orale
PREREQUISITI
italiano
Mathematics for Insurance
english
Mathematics for Insurance
OBIETTIVI FORMATIVI
english
italiano
english
italiano
english
italiano
english
italiano
- 29 -
english
italiano
PROGRAMMA
english
italiano
english
italiano
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=cvph
- 30 -
Anno accademico:
2016/2017
Docente:
Contatti docente:
Corso di studio:
Anno:
1° anno
Tipologia:
Crediti/Valenza:
6
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
Mutuato da: QUANTITATIVE METHODS FOR ECONOMICS - MODULO DI MATHEMATICAL ECONOMICS (SEM0058A)
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=4ssz
- 31 -
Anno accademico:
2016/2017
Docente:
Bertrand Lods (Titolare del corso)
Marina Marena (Titolare del corso)
Contatti docente:
[email protected]
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
12
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Obbligatoria
Tipologia esame:
Scritto
PREREQUISITI
english
A good knowledge of basic calculus (Matematica Generale), of the foundations of probability calculus and statistical
infererence (Statistica)
OBIETTIVI FORMATIVI
english
This course is a 2‐module course (9 credits) aimed at introducing and developing many of the mathematical tools
which are used in applied finance and insurance. ln this module, particular stress will be posed on the development
of the measure theoretical tools and advanced probability concepts with emphasis on their applications to
investment and insurance decisions. The introduction of stochastic processes and their properties is always
motivated by the wish to develop models for observed phenomena.
english
using the basic tools and results to pose, formalize and solve a probability problem of applied interest
knowing the extent to which the results obtained in the previous step are dependent on the assumption that
s/he has made about the behavior of the economic agents
being able to think about possible and useful generalizations of the model
being able to communicate such findings using appropriate and clear mathematical notation and language
- 32 -
english
The course is articulated in 63 hours of formal in‐class lecture time, and in at least as many hours of at‐home work
solving practical exercises.
english
The course grade is determined solely on the basis of a written examination. The examination (2 hours and 45
minutes) test the student's ability to do the following:
Present briefly the main ideas, concepts and results developed in the course, also explaining intuitively the
meaning and scope of the definitions and the arguments behind the validity of the results
Use effectively the concepts and the results to answer questions in basic measure theory and stochastic process
theory, e.g. computing the Ito integral of some given stochastic process.
The above is accomplished by asking the student to answer 5‐6 questions. Each of the questions has an essay part,
and some of the questions also have a more practical ("exercise ") part.
english
Weekly homework sets will be assigned, and their solution will be posted and (if time allows) discussed in class
PROGRAMMA
english
The course is divided into two parts:
Part 1: Measure, Probability and basics of decision making (Lods) -Foundations of measure theory. Measures,
measurable functions, Lebesgue integrals, Lp spaces, theorems of Fubini and Radon-Nikodym -Applications of
measure theory to probability calculus. Conditional probabilities and expectation, filtrations Part 2: Stochastic
Processes (Marena) -Martingales and their convergence -Markov chains -The Poisson process: construction and
properties. Some examples -Probability measures on real-valued function spaces. The Wiener measure -Brownian
motion: construction and properties. Variation in Brownian motion
english
The following are the required textbooks for the course:
Part I - Capinski, Kopp (2005). Measure, Integral and Probability, Second Edition, Springer-Verlag. Part II
- Brzezniak, Zastawniak (1999). Basic stochastic processes, Springer.
- Capiński, Kopp, Traple (2012). Stochastic Calculus for Finance, Cambridge University Press.
- Björk (2009). Arbitrage theory in continuous time, Oxford University Press.
- Lamberton, Lapeyre (2007). Introduction to stochastic calculus applied to finance, Chapman and Hall.
- Mikosch (1998). Elementary stochastic calculus with finance in view, World Scientific.
- 33 -
- Oksendal (2010). Stochastic differential equations, Springer.
- Shreve (2004). Stochastic calculus for finance I & II, Springer.
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=8quu
- 34 -
Anno accademico:
2016/2017
Docente:
Elena Vigna (Titolare del corso)
Contatti docente:
Corso di studio:
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
6
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Scritto
PREREQUISITI
italiano
Lo studente dovrebbe possedere i concetti di base del calcolo finanziario e del calcolo delle probabilità.
English
Students should be familiar with the introductory financial calculus and the theory and calculus on probability
OBIETTIVI FORMATIVI
english
The main purpose is to introduce Insurance Mathematics, both life and non-life. In particular, the fundamentals tools
of actuarial mathematics are provided and used for the calculation of the fair premium and the mathematical
reserves for a variety of insurance products. Different loading principles are introduced, starting from simple
models to more complex models in the expected utility framework or by means of distorsion of probabilities. The
goal of the course is to make students familiar with the tools of actuarial mathematics for the calculation of premiums
and reserves of insurance products.
italiano
Il corso si propone di fornire le tecniche di base della matematica per le assicurazioni, sia nel ramo vita sia nel ramo
danni. In particolare, vengono introdotti e approfonditi gli strumenti fondamentali della matematica attuariale, e
vengono utilizzati per il calcolo dei premi puri e delle riserve matematiche per diversi prodotti assicurativi. Diversi
modelli di caricamento di sicurezza dei premi vengono introdotti, a partire dai modelli semplici per arrivare ai
modelli più complessi inquadrabili nella teoria dell'utilità attesa e di distorsione delle probabilità. Obiettivo del
corso è imparare a utilizzare gli strumenti della matematica attuariale per il calcolo di premi e riserve di un prodotto
assicurativo.
Il corso si propone di fornire le tecniche di base della matematica per le assicurazioni, sia nel ramo vita sia nel ramo
danni. In particolare, vengono introdotti e approfonditi gli strumenti fondamentali della matematica attuariale, e
vengono utilizzati per il calcolo dei premi puri e delle riserve matematiche per diversi prodotti assicurativi. Diversi
modelli di caricamento di sicurezza dei premi vengono introdotti, a partire dai modelli semplici per arrivare ai
modelli più complessi inquadrabili nella teoria dell'utilità attesa e di distorsione delle probabilità. Obiettivo del
corso è imparare a utilizzare gli strumenti della matematica attuariale per il calcolo di premi e riserve di un prodotto
- 35 -
assicurativo
english
At the end of the course the student should be able to:
- master basic techniques and tools of actuarial mathematicse;
- make use of such techniques and tools to calculate pure premiums and riserve for life insurance products;
- master basic stochastic models for collective claim in non-life insurance;
- calculate loaded premiums using different loading principles.
The acquired skills will form the basic background for insurance problems and will allow students to complete and
deepen their knowledge in more advanced profession-focused courses. Eventually, students will have the
necessary background required in workplaces where actuarial and insurance problems are tackled.
italiano
Al termine del corso, lo studente deve essere in grado di:
- padroneggiare le tecniche e gli strumenti di base della matematica attuariale;
- utilizzare tali tecniche e strumenti per il calcolo di premi puri e riserve matematiche di prodotti caso vita;
- conoscere i modelli di base per la copertura di sinistri del ramo danni;
- calcolare premi caricati utilizzando diversi principi di calcolo del caricamento.
Le abilità acquisite permettono allo studente di completare la propria preparazione nei diversi aspetti della pratica
assicurativa, inserendosi proficuamente in ogni ambiente di lavoro rivolto ai problemi attuariali e assicurativi.
english
Front lectures and class work.
italiano
Lezioni ed esercitazioni frontali.
english
Written exam, that includes both theory and exercises.
italiano
Esame scritto, che comprende sia teoria sia esercizi.
- 36 -
english
italiano
PROGRAMMA
english
Concept of insurance and different types of insurance. Life insurance, and non-life insurance. Actuarial fairness
principle. Pure premium. Non-life insurance: collective risk modeling. Individual claim size modeling. Premium
loading principles. Expected utility theory framework. Life insurance: Lifetime of an individual aged x. Life statistical
tables and analytical models. Endowment, pure endowment, insurance in case of death. Life annuities. Fair
premium, natural premium, loaded premium. Mathematical reserve and its behaviour over time. Recursion formulas
for reserves. Decomposition of a premium into savings and risk premium. Source of profit to the insurer.
italiano
Concetto di assicurazione. Tipi di coperture assicurative. Assicurazioni vita e assicurazioni contro i danni. Principio di
equivalenza attuariale. Concetto di premio puro. Ramo danni. Sinistri, danni, risarcimenti. Teoria collettiva del
rischio. Distribuzioni per ammontare del danno. Caricamenti e premi di tariffa. Richiami di teoria dell'utilità
Assicurazioni individuali sulla durata di vita. Tavole statistiche di sopravvivenza e modelli analitici. Assicurazioni in
caso di vita, di morte, miste. Riserva matematica. Segno ed andamento della riserva matematica. Relazioni di
ricorrenza di Fouret, Kanner e Homans. Premi naturali, di rischio e di risparmio. Impiego delle relazioni di ricorrenza
per il calcolo delle riserve. Origine del profitto per l'assicuratore.
english
M. V. Wüthrich (2016). Non-Life Insurance: Mathematics and Statistics. Available at
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2319328
T. Mikosch (2009). Non-Life Insurance Mathematics, Springer.
E. Straub (1998). Non-Life Insurance Mathematics, Springer.
D. Dickson, M. Hardy, H. Waters (2009). Actuarial Mathematics for Life Contingencies Risks, Cambridge University
Press.
A. Olivieri, E. Pitacco (2011). Introduction to Insurance Mathematics, Springer.
italiano
M. V. Wüthrich (2016). Non-Life Insurance: Mathematics and Statistics. Disponibile al link
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2319328
T. Mikosch (2009). Non-Life Insurance Mathematics, Springer.
E. Straub (1998). Non-Life Insurance Mathematics, Springer.
D. Dickson, M. Hardy, H. Waters (2009). Actuarial Mathematics for Life Contingencies Risks, Cambridge University
Press.
- 37 -
A. Olivieri, E. Pitacco (2011). Introduction to Insurance Mathematics, Springer
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=akop
- 38 -
Anno accademico:
2016/2017
Docente:
Prof. Stefano Favaro (Titolare del corso)
Raffaele Argiento (Titolare del corso)
Contatti docente:
+39 011 6705724, [email protected]
Corso di studio:
Finance
Anno:
1° anno
Tipologia:
Caratterizzante
Crediti/Valenza:
12
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Scritto
PREREQUISITI
Is very important for the students to be familiar with the basic topics in mathematics, probability and statistics
acquired in the three-year undergraduate program. These topics are presented in the short course "Essentials of
Mathematics and Probability" usually given in September: see www.masters-finins.unito.it/ for more details.
OBIETTIVI FORMATIVI
Ability to solve, through the use of simulation tools, some standard problems in probability and statistical inference.
Ability to apply statistical concepts and statistical techniques with respect to the point estimation, hyphotesis testing
and confidence sets. Ability to the code with the language R/Matlab and to use some of its main packages.
Knowledge and understanding
Advances knowledge of statistical modeling via point estimation, hypothesis testing and confidence intervals; basic
knowlegde of Monte Carlo simulation techniques for statistical models; basic knowlegde of the language R/Matlab.
Applying knowledge and understanding
Ability to convert various problems of practical interest into statistical models and make inference on it; ability to
implement a Monte Carlo simulation of a statistical model using the language R/Matlab.
Making judgements
Students will be able to discern the different aspects of statistical modeling and of Monte Carlo simulation with the
language R/Matlab.
Communication skills
Students will properly use statistical and probabilistic language arising from the classical statistics and Monte Carlo
simulation; students will properly use the language R/Matlab.
Learning skills
The skills acquired will give students the opportunity of improving and deepening their knowledge of the different
aspects of statistical modeling and Monte Carlo simulation using the language R/Matlab.
- 39 -
Main lectures are devoted to the theorerical aspects of statistical inference based on the likelihood function and
Monte Carlo simulation. Exercises will be assigned during these lectures. Lecture devoted to exercises and practical
sessions with the language R are included in the course.
With regards to statistics, the exam consists of two parts: the first part is a formal discussion of one of the main topics
of statistical infence based on the likelihood function; the second part is an exercise, typically with more than two
questions.
With regards to simulation, the exam consists of two parts: the first part is a written exam on theory; the second part
is a practical session with R.
italiano
PROGRAMMA
1. Statistics: The module deals with some key themes of the theory of statistical inference, with emphasis on the role
of the likelihood function. Topics include
Random samples and their distributions, the statistical model, the likelihood function, exponential family.
Sufficient statistics and minimal sufficient statistics, finite properties for estimators, asymptotic properties for
estimators, methods for evaluating estimators.
Methods for constructing point estimators: method of moments and generalizations, method of the least
square errors, method of maximum likelihood, methods of minimum distance.
Hypothesis testing: probabilistic structure of hypothesis testing, Neyman-Pearson lemma, likelihood ration
tests, asymptotic tests, confidence sets.
2 Simulation: this module aims at introducing the students with computational statistics methods. The program
includes some computationally intensive methods in statistics, such as Monte Carlo methods, bootstrap, and
permutation tests. An important part of the module will be devoted to practicals. All the methods discussed during
the course will be will be implemented in the R software.
Topics includes:
Pseudo-random number generator. Linear congruential generators.
Methods for Generating Random Variables: the inverse transform method, the acceptance-rejection method,
the transformation methods.
Monte Carlo integration methods.
Variance Reduction, the importance sampling (sampling importance resampling) and the stratified sampling.
Monte Carlo methods in Inference in a Bayesian and frequentist framework.
Bootstrap and Jackknife.
Permutation Tests for Equal Distributions.
1. Probability: • Baldi, P. (2011). Calcolo della probabilità. McGraw-Hill; • Grimmett, G. and Welsh, D. (2014).
Probability: an introduction. Oxford University Press.
2. Statistics: • Azzalini, A. (1996). Statistical inference based on the likelihood function. Chapmal and Hall/CRC; •
Casella, G. and Berger, R. (2001). Statistical inference. Cengage Learning Press.
3. Simulation:
- 40 -
Rizzo, M.L. (2015) "Statistical Computing with R (Second Edtion)" -- Chapman & Hall/CRC The R Series.
Ross. S.M. (2006) "Simulation 4th edition" -- Academic Press.
Jones, O., Maillardet, R. and Robinson A. (2009). "Introduction to scientific programming and simulation usig
R" -- Chapman and Hall/CRC;
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=2cfa
- 41 -
STATISTICS II
STATISTIC II
Anno accademico:
2016/2017
Docente:
Contatti docente:
Corso di studio:
Anno:
1° anno
Tipologia:
Crediti/Valenza:
6
Erogazione:
Tradizionale
Lingua:
Inglese
Frequenza:
Facoltativa
Tipologia esame:
Orale
Mutuato da: MULTIVARIATE STATISTICAL ANALYSIS (MAT0041)
M.Sc. in Stochastics and Data Science
Pagina web del corso: http://www.masters-finins.unito.it/do/corsi.pl/Show?_id=m6vd
- 42 -
Stampato il 12/03/2017 05:45 - by CampusNet
- 43 -

Brochure dei corsi - Quantitative Finance and Insurance

Transcript

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