Unit QUANTITATIVE RISK MANAGEMENT
- Course
- Finance and quantitative methods for economics
- Study-unit Code
- A003081
- Location
- PERUGIA
- Curriculum
- Data science for finance and insurance
- 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
- Affine/integrativa
- Area
- Attività formative affini o integrative
- 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