Insegnamento mutuato da: B029675 - PORTFOLIO CHOICE AND BOND MARKETS Laurea Magistrale in FINANCE AND RISK MANAGEMENT - FINANZA E GESTIONE DEL RISCHIO
Lingua Insegnamento
INGLESE
Contenuto del corso
The Bond Markets module presents the basic models for the pricing of financial instruments whose value is related to the interest rate. Forward rate agreements, Eurodollar Futures and Bonds are analyzed in detail. The course also deals with the strategies that can be implemented to contrast interest rate risk.
The Portfolio Choice module deals with the fundamental concepts of portfolio optimization. Applications with Python, Matlab and R are also discussed.
The learning material for the Bond Markets module will be made available by the teacher.
The platform ARPM will be available for the Portfolio Choice module.
Obiettivi Formativi
The aim of the Bond Markets module is to make the students familiar with the financial instruments related to interest rates. In particular, by the end of the course, the students will be able to price such instruments and evaluate different risk reduction strategies.
The aim of the Portfolio Choice module is to make the student familiar with the theory and practice of portfolio optimization.
Prerequisiti
Computational Finance. Quantitative Finance and Derivatives. Microsoft Excel.
Metodi Didattici
Bond Markets: regular classes held in person.
Portfolio Choice: online classes managed with the learning system by ARPM.
Altre Informazioni
The course comprises two modules: Portfolio Choice (6 cfu) and Bond Markets (6 cfu).
Attendance is COMPULSORY. To attend it is necessary to enroll in the ARPM platform by September 19. After this deadline, the students will not be able to enroll in the course.
Modalità di verifica apprendimento
Bond Markets: Oral exam.
Portfolio Choice: the final grade will be based on four components:
1. Lab [40%]: the ARPM platform monitors the time actively spent by the students on theory/video lectures/code week by week. ARPM evaluates whether the activity is sufficient.
2. Flipped classroom [25%]: the instructors record the presence and/or active participation during the weekly meetings.
3. Homework [20%]: ARPM provides weekly homework, to be graded by the instructors.
4. Q&A forums [15%]: the platform counts the postings on the Theory/Code forum boards, and assigns a score to questions and answers. There is no "right" or "wrong" question or answer, as long as they are compliant with some basic posting guidelines.
Programma del corso
Bond Markets:
- Valuation of cash flows and zero coupon bonds.
-Term structures
-Bond Performance Indexes.
-Forward rates.
-Forward rate agreements and Eurodollars futures.
-Floating rate bonds.
-The Italian Government Bond Market.
-Interest rate risk, duration, convexity.
-Basis Point value, volatility of a bond and dollar duration.
-Financial immunization.
-Swaps and swap rates.
-Effects of the financial crisis on the valuation of swaps.
-Convertible bonds.
Portfolio Choice:
- Fundamental concepts of portfolio optimization
- Smooth and convex programming
-Mean-variance principles
-Analytical solutions to the mean-variance problem
- Estimation and model risk
- Robust allocation
- Black-Litterman
- Generalized probabilistic inference
- Signals
- Cross-sectional strategies
- Time series strategies
- High-frequency risk drivers
- Market impact models
- Coding Lab in Phyton, Matlab, R