Unit QUANTITATIVE RISK MANAGEMENT

Course
Finance and quantitative methods for economics
Study-unit Code
A003081
Location
PERUGIA
Curriculum
Statistical data science for finance and economics
Teacher
Gianna Figa' Talamanca
Teachers
  • Gianna Figa' Talamanca
Hours
  • 42 ore - Gianna Figa' Talamanca
CFU
6
Course Regulation
Coorte 2022
Offered
2023/24
Learning activities
Caratterizzante
Area
Matematico, statistico, informatico
Academic discipline
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
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