Study-unit QUANTITATIVE RISK MANAGEMENT
| Course name | Finance and quantitative methods for economics |
|---|---|
| Study-unit Code | A003081 |
| Location | PERUGIA |
| Curriculum | Statistical data science for finance and economics |
| Lecturer | Gianna Figa' Talamanca |
| Lecturers |
|
| Hours |
|
| CFU | 6 |
| Course Regulation | Coorte 2022 |
| Supplied | 2023/24 |
| Supplied other course regulation | |
| Learning activities | Caratterizzante |
| Area | Matematico, statistico, informatico |
| Sector | SECS-S/06 |
| Type of study-unit | Obbligatorio (Required) |
| Type of learning activities | Attività formativa monodisciplinare |
| Language of instruction | Inglese |
| Contents | Hedging strategies within Black and Scholes setting Risk Measures Volatility modeling |
| Reference texts | Manuale di Finanza, G. Castellani, M. De Felice, F. Moriconi, Ed. Il Mulino Strumenti (essenzialmente per i richiami)¿ Quantitative Risk Management:, McNeil, , R. Frey, A., Embrechts, P., Ed. Princeton University Press (Chapters 2-3 and part of Chapters 5-6).¿¿ Optonsi, Futures and other derivativesi, J. Hull, Ed. Pearson, Prentice-Hall.¿ |
| Educational objectives | The course points at giving basic knowledge on hedging strategies and risk measures for capital allocation. |
| Prerequisites | Statistical Inference, Probability theory and random variables. Linear algebra and multivariate calculus. |
| Teaching methods | Classes and exercise sessions |
| Other information | Note that this is a course with a strongly quantitative approach in the macro area of mathematics and statistics. It is intended for students who have already passed quantitative methods exams of the first year of the Degree- Laurea Magistrale. |
| Learning verification modality | Written and Oral Exam |
| Extended program | See the Course page in Unistudium |