LUISS

Course Info

Course Contents – Part I:

Bond market: we will define fixed income instruments, their valuation and their risk. The instruments analyzed will be: zero coupon bonds, fixed rate bonds, floating rate bonds, mortgages, FRAs and Swaps. The course will also introduce the term structure of interest rates.

Course Contents – Part II:

Stock market: we will study the problem of portfolio selection with Markowitz theory and the Capital Asset Pricing Model.

Textbooks and Teaching Material:

Title: Investment Science, Author: David G. Luenberger, Ed: OXFORD University Press. Lecture slides and Excel spreadsheets for TA Sessions

Course Formative Objectives:

The objectives of the course are the introduction to basic financial instruments in the bond and in the stock market, as well as to the risk associated with them. The valuation of the financial assets and their risk will be quantitative, using the necessary mathematical tools.

Prerequisites:

Standard tools in calculus: exponential and logarithmic function, derivatives, linear algebra (matrices, systems of linear equations).

Probability: mean, variance, correlation, random variables, distribution and density function.

Teaching Method:

Traditional lectures and TA laboratory sessions.

Assessment Method:

Written test and oral test.

Office Hours:

1) Monday, 6:30 pm – 7:30 pm.
Where: Professors room – room 408.
2) Tuesday, 10:00 am – 11:00 am, by appointment to mpapi@luiss.it Where: Professors room – room 408.

Course Guidelines:

Summary

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