Unit QUANTITATIVE RISK MANAGEMENT
- Course
- Finance and quantitative methods for economics
- Study-unit Code
- A003081
- Curriculum
- Statistical data science for finance and economics
- Teacher
- Marco Patacca
- Teachers
-
- Marco Patacca
- Hours
- 42 ore - Marco Patacca
- CFU
- 6
- Course Regulation
- Coorte 2024
- Offered
- 2025/26
- 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
- English
- 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. Quantitative Risk Management:, McNeil, R. Frey, A., Embrechts, P., Ed. Princeton University Press (Chapters 2-3 and part of Chapters 5-6). Opzioni, Futures e altri derivati, 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