•GUIDA ECONOMIA 07-08 - Università degli studi di Udine

244 prospectus udine
2.6 Official sources for economic territorial
analysis. Community and National
classifications.
Bibliography
- T. DI FONZO, F. LISI, Serie storiche economiche,
Carocci, Roma, 2005.
- R. GUARINI, F. TASSINARI, Statistica economica,
Il Mulino, Bologna, 2000.
- G. MARBACH (ed.), Statistica economica,
Utet, Torino, 1991.
- A. RINALDI, Fonti informative e indicatori
statistici per l’analisi socio-economica territoriale,
Istituto Tagliacarne, working
paper 31, Roma, 2002.
- S. ZANI (ed.), Metodi statistici per le analisi
territoriali, Franco Angeli, Milano,
1993.
Notes
Readings and notes must be studied in
accordance with the recommendation
given by the teacher during lessons. Students
who do not attend lessons must
contact the lecturer to arrange a program
of study.
The Ho-Lee model.
Zero Coupon Bond pricing in Equilibrium
and Arbitrage models.
- Trinomial trees
Interest rate trinomial trees.
The Ho-Lee model.
Two-stage procedure.
Ancillary tree with mean reversion.
Tree displacement in arbitrage models.
- Diffusion processes
Introduction to diffusion processes.
The Vasicek model.
The Cox-Ingersoll-Ross model.
The Hull-White model.
- The pricing of interest rate sensitive assets
Zero Coupon Bond pricing.
Caplet, Floorlet, Swaptions.
Bibliography
- J.C. HULL, Options, Futures and Other
Derivatives, Prentice-Hall, chapters 16, 18,
20, 21.
- D. BRIGO, F. MERCURIO, Interest Rate
Models: Theory and Practice, Springer
Finance, Chapter 3.
- Professor’s notes available on line.
STOCHASTIC FINANCE
Prof. Flavio Pressacco
Contents
- Review of interest rate trees and diffusion
models
Single period and multiperiod markets of
interest rate sensitive assets.
Review of stochastic differential equations.
- Recall on basic definitions
Spot and forward rates.
Yield to maturity, term structure of interest
rates.
- Binomial trees and interest rate sensitive
assets arbitrage free pricing
Interest rate binomial trees.
Equilibrium models.
Arbitrage models.
STOCK EXCHANGE
OPERATIONS TECHNIQUES
Prof. Maurizio Polato
Aims
The course aims to provide students with
the basic skills required for the comprehension
of securities markets as regards
structure, functioning and organizational
issues.
Contents
Financial markets and securities markets.
Securities and investment service markets.
Regulated markets and Alternative Trading
Systems.
Market microstructure.