# Programme and courses

International Master in Economics and Finance

## Educational programme

### Where

The programme of the International Master in Economics and Finance will be held at the **Department of Economics **[map], Ca’ Foscari University of Venice, **in cooperation with ICEF (International Center for Economics and Finance)**.

### Duration

- Lessons take place
**from October to June: Monday to Friday**(usually Monday, Tuesday and Wednesday are devoted to frontal lessons; Thursday and Friday may be used for recovery lessons and/or exams). - June onwards: internship; December: final diploma

### Learning activities

Activities are divided into four terms:

**First term**: October-December (for students who are required to follow Maths and Statistics Pre-Courses, lessons will begin in September)**Second term**: January-March**Third term**: April-May**Fourth term**: May-June

Training activities involve classroom lectures, interactive classes, exercises, seminars, practical training sessions and the preparation of a final paper.

250 hour of internship are also planned: for the modality and activation visit the dedicated web page: Stage [ITA] / Internships [ENG].

### Attendance

IMEF is a **full-time Master’s Programme**: attendance is mandatory. Absences cannot exceed 30% of the entire programme. Only in exceptional cases, absences will be justified if properly supported by documentary evidence.

### Language

The course is entirely taught in **English**.

## IMEF courses a.y. 2019/2020

#### Corporate Finance I

**Instructor**

- Elisa Cavezzali

**Syllabus**

- Introduction to Corporate Finance
- Financial Statement Analysis & Financial Planning
- Single Period Valuation, Multi-Period Discounting
- Net Present Value, Payback Period Method, Discounted Payback Period, Average Accounting Method
- Internal Rate of Return, Profitability Index, Capital Budgeting
- Weighted Average Cost of Capital (WACC)

#### Econometrics

**Instructors**

- Giorgio Calzolari
- Domenico Sartore

**Syllabus**

- Linear Regression Model
- Multiple Equation Models
- Dynamic Modelling: Univariate Stochastic Processes
- Dynamic Modelling Univariate Linear Model
- Applied Econometrics and Empirical Finance

**Reading List**

- Greene W. H. (2006), Econometric Analysis, fourth edition, Prentice Hall, Upper Saddle River
- Chatfield C. (1996), The Analysis of the Time Series: Theory and Practice, Chapman and Hall
- Gourieroux C. and Monfort A. (1997), Time Series and Dynamic Models, Cambridge University Press
- Banerjee A., Dolado J. J, Galbraith J. W., Hendry D. F. (1993), Co-integration, Error Correction and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford
- Hendry D.F. (1995), Dynamic Econometrics, Oxford University Press, Oxford

#### Macroeconomics for Finance

**Instructor**

- Lucia Trevisan

**Syllabus**

- Macroeconomic analysis of a country
- Analysis of the current international
- The FED and the ECB: Causes of the different behaviour
- Exchange rate systems
- Macroeconomic interdependence of national economies
- Global imbalances
- Speculative bubbles

**Reading List**

- Material supplied by the Instructor

#### Mathematics and Statistics

**Instructors**

- Diana Barro
- Martina Nardon
- Lorenzo Frattarolo
- Silvia Bozza

**Syllabus**

**Part I - Mathematics**

- Matrices and linear algebra: vectors, matrices, linear systems, eigenvalues, positive definiteness
- Optimization problems with many variables: examples from economics
- Unconstrained optima: first and second order conditions
- Constrained optima: the Lagrange conditions
- Differential equations
- Calculus of variations and Eulero equation
- Dynamic programming

**Reading List**

- Sundaram (1996), A first course in optimization theory, Cambridge University Press
- Simon C., Blume L. (1994), Mathematics for economists, Norton and Company
- Seierstad A., Sydsæter K. (1987), Optimal control theory with economic applications, North-Holland
- Luenberger D. (1987),Investment Science, Oxford University Press.

**Part II – Statistics**

- Probability and distribution theory
- Properties of a random sample
- Point estimation and interval estimation
- Hypothesis testing

**Reading List**

- Lecture notes

#### Microeconomics for Finance

**Instructor**

- Marco Tolotti

**Syllabus**

- Choice among risky prospects. The expected utility hypothesis
- Measures of risk aversion. “Paradoxes” in actual decision making
- Portfolio selection. Liquidity preference. Demand for insurance
- Prices of marketed assets and state prices
- Absence of arbitrage opportunity and pricing of derivative securities
- Efficiency of complete markets for contingent commodities
- Complete financial markets under rational expectations
- Pricing in complete financial markets: the consumption based capital asset pricing model (CCAPM)
- Allocation of risks
- Linear risk tolerance, quadratic utilities in complete markets
- Introduction to the capital asset pricing model (CAPM)
- Two funds separation theorem

**Reading List**

- Hirshleifer, J. and Riley, J. G., The Analytics of Uncertainty and Information, Cambridge Surveys of Economic Literature, CUP, 1992, Part I, pp. 1 – 164.

#### Numerical Methods

**Instructor**

- Roberto Casarin

**Syllabus**

- Monte Carlo methods
- Quasi-Monte Carlo methods
- Importance sampling
- Accept/Reject methods
- Metropolis-Hastings and Gibbs sampling
- Stochastic process simulation
- Stochastic Differential Equation

**Reading List**

- Ripley B.D. (2008), Stochastic Simulation, Wiley
- Kloden P. E., Platen E. (1992) Numerical Solution of Stochastic Differential Equations, Springer
- Fishman G. (2013), Monte Carlo: concepts, algorithms, and applications, Springer
- Robert C. and Casella G. (1999), Monte Carlo statistical methods, Springer

#### Programming Tools

**Instructors **

- Michele Costola
- Lorenzo Frattarolo

**Syllabus**

- Introduction to Matlab
- Introduction to VBA
- Interface with Bloomberg and Datastream

Reading Listto be defined

#### Risk, Uncertainty and Business Cycle

**Instructor**

- Micheal Donadelli

**Syllabus **

- Consumption-Saving Choices
- Two-Period Model: Optimization under Certainty
- Intertemporal Optimization
- Sequential and Intertemporal Budget Constraint

- Risk, Insurance, Market Completeness
- Insurance and Consumption Smoothing
- State-Contingent Securities
- Arrow-Debreu Pricing and Equilibria
- Full Risk Sharing

- Intertemporal Choices under Uncertainty
- Expected Utility and the EE
- The C-CAPM
- CRRA Preference
- Consumption Dynamics

- Asset Pricing Anomalies
- The Equity Premium Puzzle
- The Riskfree Rate Puzzle

- The Impact of Uncertainty Shocks
- Vol-Shocks vs. Economic Policy Uncertainty Shock
- Risk Aversion vs. Ambiguity Aversion?

**Reading List**

- Slides and Lecture Notes provided by the instructor at the beginning of the course.

#### Stochastic Processes

**Instructors**

- Marco Tolotti
- Martina Nardon

**Syllabus**

- Stochastic processes and Brownian motion
- Martingales
- Stochastic integrals, stochastic differential equations and Itô Lemma
- Financial applications of Itô Lemma

**Reading List**

- Mikosch T. (1998), Elementary stochastic calculus

#### Asset Pricing and Derivatives

**Instructors**

- Stephen Schaefer

**Syllabus **

- Introduction to derivatives and Arbitrage
- Forwards, Swaps and Futures
- Fixed income derivatives
- Introduction to Options
- Trading Strategies Involving Options and Introduction to the Binomial Model
- The Black-Scholes Model
- Options on Currencies and Futures
- The management of Market Risk
- Numerical Methods

**Reading List**

- Hull J., Options, Futures and Other Derivative Securities, Prentice-Hall
- Stephen M Schaefer, Asset pricing: derivative assets, International Encyclopaedia of Social and Behavioral Sciences, Economics Section (O. Ashenfelter, Ed.), Princeton University Press.

#### Corporate Finance II

**Instructors**

- Maurizio Murgia
- Alberto Plazzi

**Syllabus**

- Dividends, taxes and Firm Value
- Capital structure and debt policy: Modigliani – Miller theory
- Capital structure and debt policy
- Corporate risk management

**Reading List**

- Copeland, Weston, Shastri (2005), Financial Theory and Corporate Policy, Addison Wesley

#### Financial Econometrics I

**Instructors**

- Monica Billio
- Massimiliano Caporin

**Syllabus**

- Efficient frontier: empirical aspects
- The Capital Asset Pricing Model
- The Arbitrage Pricing Theory
- Risk measurement
- Tutorial on EViews

**Reading List**

- Campbell J., Lo A., and MacKinlay A.C. (1997), Econometrics of Financial Markets, Princeton University Press
- Franses P.H. and D. van Dijk (2000), Nonlinear Time Series Models in Empirical Finance, Cambridge University Press,
- Gouriéroux, C. and J. Jasiak (2000), Financial Econometrics, Princeton University Press, Princeton
- Taylor S.J. (2001), Asset Price Dynamics, Volatility and Prediction, Princeton University Press

#### Interest Rate Risk

**Instructor**

- Alina Preger

**Syllabus**

- ALM introduction: repricing gap, NII and EV sensitivities;
- Behavioural models (NMD and prepayment);
- IRRBB regulation
- Liquidity risk management introduction: maturity ladder, CBC, liquidity gaps
- Liquidity risk regulation: LCR and NSFR
- Liquidity risk regulation: ALMM

**Reading List**

- Material supplied by the Instructor

#### Investment

**Instructor**

- to be defined

**Syllabus**

- Multifactor Asset Pricing Models for Portfolio and Risk Management
- The Black-Litterman Model
- Market Timing Ability
- Robust Asset Allocation
- Resampled Efficient Frontier
- Portable Alpha Strategies

Reading List

- Slides and papers supplied by the Instructor

#### Machine Learning for Finance

**Instructor**

- Marco Corazza

**Syllabus**

- Introduction to Artificial Intelligence and Machine Learning in finance
- Intelligent metaheuristics for complex optimization and applications
- Supervised learning and applications
- Group Method of Data Handling and applications
- Reinforcement Learning and applications
- Implementations in Matlab

**Reading List**

- O’ Hara M. (1997), Market Microstructure Theory, Blackwell Business
- Campbell J. Y., Lo A. W., Craig MacKinlay A. (1997), The Econometrics of Financial Markets, Princeton University Press
- Fantazzini D. (2004), Financial Markets Microstructure and High Frequency Data, Dupress
- Cherubini U., Luciano E., Vecchiato W. (2004), Copula Methods in Finance, Wiley

#### Real Estates

**Instructor**

- Walter Torous

**Syllabus**

to be defined

**Reading List**

to be defined

#### Risk Management I

**Instructors**

- Stefano Bragoli

**Syllabus**

- Definition of risk management process
- Sources of risk
- Risk measures
- The tasks of the risk management process

**Reading List**

- Lee A. Y. (1999), CorporateMetricsTM Technical Document, RiskMetrics Group
- Shimpi P. A. , Durbin D. , Laster D. S. (2001), Integrating Corporate Risk Management, Texere
- Fusaro P. C. (1998), Energy Risk Management: Hedging Strategies and Instruments for the International Energy Polipovic D. (1997), Energy Risk: Valuing and Managing Energy Derivatives, McGraw-Hill
- King J. L. (2001), Operational risk: measurement and modelling, Wiley
- Marshall C. L. (2000), Measuring and Managing Operational Risks in Financial Institutions: Tools, Techniques, and Other Resources, Wiley
- Doherty, N. A. (2000), Integrated Risk Management: Techniques and Strategies for Reducing Risk, McGraw-Hill
- Artzner, P., Delbaen, F., Eber, J.-M., Heath, D. (1999) Coherent measures of risk, Math. Fin. 9(3), 203-228.
- Acerbi C. (2002), Spectral measures of risk: a coherent representation of subjective risk aversion, Journal of Banking & Finance 26, 1505-1518
- The Basel capital accord and its revisions

#### Term Structure I

**Instructors**

- Andrea Berardi
- Marcello Pericoli

**Syllabus**

- The basics
- Modern term structure theory
- Empirical tests of term structure models

**Reading List**

- Cairns, A. (2004): Interest rate models: an introduction, Princeton University Press.
- Rebonato, “Interest rate option models”, Wiley.
- Hull, “Options, futures, and other derivatives”, Prentice Hall

#### Economics of Risk in Insurance I

**Instructor**

- Roberto Casarin

**Syllabus**

- Utility Theory
- Principles of Premium Calculation
- The Collective Risk Model
- The Individual Risk Model
- Risk process and ruin probability
- Introduction to Re-insurance

**Reading List**

- Dickson, D. C. M. (2005), Insurance Risk and Ruin, Cambridge University Press.

#### Economics of Risk in Insurance II

**Instructor**

- Michel Dacorogna

**Syllabus**

- The concept of risk, risk measure and the pricing of risk
- Aggregation of risk and dependencies
- Concept of capital and management of capital
- The new Solvency Regulations and the Role of Reinsurance
- Adding time diversification to risk diversification
- Entreprise Risk Management (ERM) towards a holistic approach to risk management

**Reading List**

- Practical Risk Theory for Actuaries by C.D: Daykin, T. Pentikäinen and M. Pesonen published by Chapman & Hall, second edition 1996
- Dynamic Financial Analysis, 2004, in the Encyclopaedia of Actuarial Science, vol.1 pages 505-519, edited by J. Teugels and B. Sundt published by John Wiley & Sons, with Peter Blum.
- Managing Bank Capital by Chris Matten, John Wiley, 2000
- Modelling Extremal Events for Insurance and Finance by Paul Embrechts, Claudia Klüppelberg and Thomas Mikosch, Springer, 1997
- Risk Management by Michel Crouhy, Dan Galai and Robert Mark Mc Graw Hill, 2001
- From Principle Based Risk Management to Solvency Requirements, an analytical framework for the Swiss Solvency Test, SCOR book, 20081
- Integrating Corporate Risk Management, by Prakash A. Shimpi, David Durbin, David S. Laster, Carolyn P. Helbling and Daniel Helbling, Swiss Re Book, 1999
- Reinsurance, Principles and State of the Art, 2nd Edition, contribution book edited by Andreas Schwepcke, Verlag Versicherungswirtschaft, Karlsruhe, 2004
- Quantitative Risk Management: Concepts, Techniques, Tools, revised edition by Paul Embrechts, Rudiger Frey and Alexander J. McNeil, Princeton University Press, Princeton, 2015
- Actuarial Theory for Dependent Risks: Measures, Orders and Models, by Michel Denuit, Jan Dhaene, Marc Goovaerts and Rob Kaas, John Wiley & Sons, Chichester, 2005
- Risk Management for Insurers, Risk Control, Economic Capital and Solvency II, by René Doff, Risk Books, London, 2007
- Capital Ideas Evolving, Peter L. Bernstein, John Wiley & Sons, Hoboken NJ, 2007
- The Value of Risk, Swiss Re and the History of Reinsurance, H. James, P. Borscheid, D. Gugerky and T. Straumann, Oxford University Press, Oxford, 2013

#### Financial Econometrics II

**Instructors**

- Alain Monfort
- Yacine Ait-Sahalia
- Massimiliano Caporin

**Syllabus ****Part I – Volatility modeling**

- Stylized facts
- Stochastic processes
- Statistical modelling of a stochastic process
- Univariate ARCH models
- Generalisations of univariate ARCH models
- Inference in ARCH-GARCH models
- Multivariate GARCH models
- Hidden Markov Chain models
- Discrete factor models
- Pricing and dynamic models

**Reading List**

- Hamilton J. (1994), Time Series Analysis, Princeton University Press
- Gouriéroux C. (1997), ARCH Models and Financial Applications”, Springer-Verlag
- Bertholon H., Monfort A. and Pegoraro F. (2008), Econometric Asset Pricing Modelling, Journal of Financial Econometrics, 4, 407-458

**Part II – Continuous time econometrics**

- Continuous‐time calculus
- Arbitrage and risk‐neutral pricing
- Classical interest‐rate models
- Multifactor interest‐rate models
- Credit risk and default
- Nonparametric density estimation for interest rates
- Nonparametric estimation of volatility
- Nonparametric pricing of interest‐rate derivatives
- Practical model building

**Reading List**

- Material supplied by the instructors

#### Risk Management II

**Instructors**

- Stefano Bragoli

**Syllabus**

- Definition of credit risk
- The estimate of the different credit risk components
- Pricing of instruments subject to credit risk
- Portfolio models
- Definitions of operational risk
- Bayesian Networks
- Other measurement tecniques

**Reading List**

- Duffie D. and Singleton K. J. (2003), Credit Risk: Pricing, Management, and Measurement, Princeton University Press
- Gupton G., Finger C.C. and Bhatia M. (1997), CreditMetrics, Technical Document. J.P. Morgan & Co.
- Credit Suisse Financial Products (1997), CreditRisk+. A Credit Risk Management Framework, Technical Document, CSFP.
- Daykin C.D., Pentikäinen T., Pesonen M. (1994), Practical Risk Theory for Actuaries, Chapman & Hall
- Wilson, T. (1997), Portfolio Credit Risk (I), Risk, vol. 10 n. 9, 111-117
- Wilson, T. (1997), Portfolio Credit Risk (II), Risk, vol. 10 n. 10, 56-61
- Cruz M. G. (2002), Modeling, Measuring and Hedging Operational Risk; John Wiley & Sons
- Embrechts P., Klüppelberg C. and Mikosch T. (1997), Modelling Extremal Events for Insurance and Finance, Springer-Verlag
- Pearl J. (2000), Causality: Models, reasoning, and inference, Cambridge University Press

#### Term Structure II

**Instructors**

- Andrea Berardi
- Marcello Pericoli

**Syllabus**

to be defined

**Reading List**

to be defined

#### Advanced Credit Risk

**Instructors**

to be defined

**Syllabus**

to be defined

**Reading List**

to be defined

#### Liquidity Risk

**Instructors**

to be defined

**Syllabus**

to be defined

**Reading List**

to be defined

#### Regulatory Aspects of Financial Risks

**Instructors**

to be defined

**Syllabus**

to be defined

**Reading List**

to be defined

Courses offered by Prometeia to students selected by Prometeia HR.

## IMEF timetable

Last update: 15/10/2019