Financial Mathematics (2009-2010)

Anno Accademico: 
Financial Mathematics
Gianni Bosi
This is an introductory undergraduate course whose aim is to provide the students with the basic elements of classical financial mathematics. Some notions concerning more advanced topics such as duration matching strategies and immunization theory will also be presented. Essentials of linear algebra and multivariable optimization will be introduced as important tools.
Essentials of linear algebra. Multivariable optimization and constrained optimization in the general case of n variables. The basic deterministic model. Interest and discount. Simple interest. Discount functions. Compound interest. Force of interest. The constant interest case. Axiomatic derivation of the law of compound interest. Annuities and perpetuities. Introduction to obligations. Basic concepts related to loans/mortgages. Choice among investments: net present value and internal rate of return. Duration matching strategies and immunization.
Testi consigliati: 
The material will be available during the lessons.
Ultimo aggiornamento: 11-12-2013 - 16:27