Title:                     Quantitative Finance

Instructor:          Pier Giuseppe Giribone, pier.giuseppe.giribone@edu.unige.it

Teaching Assistants:     Michelangelo Fusaro, michelangelo.fusaro@edu.unige.it

Giacomo Gaggero, giacomo.gaggero@edu.unige.it

Alessio Tissone, alessio.tissone@edu.unige.it

Credit points (CFU):      3

Lectures: 30 hours

Chapter Readings, Exercises, Literary Review and Final Project: 45 hours

Lectures Period: November 23 – January 24.

Course Description and objectives

Quantitative Finance is a discipline that requires knowledge across different subjects, in particular mathematics, statistics, computer science and banking. The course aims to show that the scientific knowledge provided by these sectors is crucial to solve typical problems in finance, such as:

- know how to correctly evaluate complex financial instruments (Pricing).

- know how to choose how much to cover from price fluctuations (Hedging).

- effectively manage financial and credit risk in a bank (Risk measures).

- correctly allocate weights in a portfolio of financial assets (Portfolio Optimization).

- deal with actuarial problems (term structure modelling).

During the course, many research topics related to quantitative finance will be discussed.

Prerequisites

A specific background is not strictly required for the reader, although basic notions of financial mathematics, statistical programming and banking would be recommended. 

Course Materials

Lecture slides, codes, book chapters and exercises are provided to the students. 

Assessment

Students will be assessed in the final exam, which will consist of three parts:

- The first part regards the writing of a literary review in accordance with the academic interests in the field of Quantitative Finance. [22/30].

- The second part deals with the implementation of a mathematical model in R, Matlab or Python [4/30].

- The third part consists of the presentation of the project to the class, including code discussion [4/30].

Lecture Schedule