Organizzazione della Didattica



Corsi comuni


Frontali Esercizi Laboratorio Studio Individuale
ORE: 18 0 46 69


I anno1 semestre







Calendario Attività Didattiche



affine/integrativo Nessun ambitoSECS-P/059

Responsabile Insegnamento

Prof. CAPORIN MASSIMILIANOSECS-S/03Dipartimento di Scienze Statistiche

Altri Docenti

Non previsti.

Attività di Supporto alla Didattica

Non previste.


Elements of Economics and Mathematics of Financial Markets, elements of Statistics and Econometrics.

The course, based on two modules, aims at providing to the students the ability to address computational problems and issues in the broad area of finance. Emphasis will be given to the asset allocation framework. A the end of the course students will become advanced users of a statistical software enabling them to formalize and solve the computational problem related to an empirical finance question. The main module of the course will cover the formalization of computational problems into a statistical package. The minor introductory module (first 10-12 lectures) will focus on an introduction to the financial economic theories and models needed to understand the main quantitative module.

Theoretical lectures and empirical computer sessions.

Introduction (minor module) - Introduction to financial instruments and markets; - Investment choices under uncertainty and the approach of Markowitz; - Market equilibrium, CAPM and APT, and market efficiency. Main module: 1. The formalization of computational problems into a statistical package 2. Asset Allocation: from the approach of Markowitz to Risk Budgeting 3. Backtesting and performance evaluation 4. Introduction to Market Risk Management The program might be subject to changes depending on a number of elements including: the interest of the students and their ability to solve computational problems with the statistical sowftare; the occurrence of particular events in the financial markets. Changes to the program content will affect the list of tasks included in the team work.

The exam will be given in the form of a group homework. Each group (a team), will receive, at a beginning of the course (groups will be formed within the first two weeks of lectures), a list of tasks pointing at computational finance questions. Each team will have to coordinate activities, inducing team members to interact. During the exam session, each team will show results in the form of a presentation (PowerPoint-like). Each team member must have full knowledge of the presentation and of the analyses performed by the team and of the main findings.

The evaluation of the group homework will be based on the following criterias: - presence of appropriate answers to the various tasks assigned to the team; - appropriateness of the quantitative tools adopted by the team; - interpretation/economic intuition of the results obtained; - interaction across team members.

Roncalli, T., Introduction to risk parity and budgeting. : Chapman & Hall, Bodie, Z., Kane, A. and Marcus, A.J., Investments. : McGraw Hill, Hull, J.C., Risk management and financial institutions. : Wiley Finance, Barucci, E., Marsala, C., Nencini, M., and Sgarra, C., Ingegneria finanziaria. : Egea, Elton, E.J., Gruber, M.J., Brown, S.J., and Goetzmann, W.N., Modern Portfolio Theory and Investment Analysis. : Wiley, Hull, J.C., Options, Futures and other derivatives. : Prentice Hall,

Lecture notes will be distributed to students Computer sessions and example codes will also be made available as well as the data sets used.