Programme and Activities

IMEF - Programme and Activities

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

The course is entirely taught in English.

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

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.

Activities are divided into four terms:

  • First term: October* – December
  • Second term: January – March
  • Third term: April – May
  • Fourth term: May–June

* for students who are required to follow Maths and Statistics Pre-Courses, lessons will begin in September.

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]


IMEF programme a.y. 2018/2019

Mathematics and Statistics

Instructors

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

Syllabus
Part I - Mathematics

  1. Matrices and linear algebra: vectors, matrices, linear systems, eigenvalues, positive definiteness
  2. Optimization problems with many variables: examples from economics
  3. Unconstrained optima: first and second order conditions
  4. Constrained optima: the Lagrange conditions
  5. Differential equations
  6. Calculus of variations and Eulero equation
  7. 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

  1. Probability and distribution theory
  2. Properties of a random sample
  3. Point estimation and interval estimation
  4. Hypothesis testing

Reading List

  • Lecture notes

Stochastic Processes

Instructors

  • Marco Tolotti
  • Martina Nardon

Syllabus

  1. Stochastic processes and Brownian motion
  2. Martingales
  3. Stochastic integrals, stochastic differential equations and Itô Lemma
  4. Financial applications of Itô Lemma

Reading List

  • Mikosch T. (1998), Elementary stochastic calculus

Programming Tools

Instructors 

  • Michele Costola
  • Lorenzo Frattarolo

Syllabus

  1. Introduction to Matlab
  2. Introduction to VBA
  3. Interface with Bloomberg and Datastream

Reading List
to be defined

Numerical Methods

Instructor

  • Roberto Casarin

Syllabus

  1. Monte Carlo methods
  2. Quasi-Monte Carlo methods
  3. Importance sampling
  4. Accept/Reject methods
  5. Metropolis-Hastings and Gibbs sampling
  6. Stochastic process simulation
  7. 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

Econometrics

Instructors

  • Giorgio Calzolari
  • Domenico Sartore

Syllabus

  1. Linear Regression Model
  2. Multiple Equation Models
  3. Dynamic Modelling: Univariate Stochastic Processes
  4. Dynamic Modelling Univariate Linear Model
  5. 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

  1. Macroeconomic analysis of a country
  2. Analysis of the current international
  3. The FED and the ECB: Causes of the different behaviour
  4. Exchange rate systems
  5. Macroeconomic interdependence of national economies
  6. Global imbalances
  7. Speculative bubbles

Reading List

  • Material supplied by the Instructor

Microeconomics for finance

Instructor

  • Marco Tolotti

 

Syllabus

 

  1. Choice among risky prospects. The expected utility hypothesis
  2. Measures of risk aversion. “Paradoxes” in actual decision making
  3. Portfolio selection. Liquidity preference. Demand for insurance
  4. Prices of marketed assets and state prices
  5. Absence of arbitrage opportunity and pricing of derivative securities
  6. Efficiency of complete markets for contingent commodities
  7. Complete financial markets under rational expectations
  8. Pricing in complete financial markets: the consumption based capital asset pricing model (CCAPM)
  9. Allocation of risks
  10. Linear risk tolerance, quadratic utilities in complete markets
  11. Introduction to the capital asset pricing model (CAPM)
  12. 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.

Risk, Uncertainty and Business Cycle

Instructor

  • Micheal Donadelli

 

Syllabus

  1. Consumption-Saving Choices

    • Two-Period Model: Optimization under Certainty
    • Intertemporal Optimization
    • Sequential and Intertemporal Budget Constraint

  2. Risk, Insurance, Market Completeness

    • Insurance and Consumption Smoothing
    • State-Contingent Securities
    • Arrow-Debreu Pricing and Equilibria
    • Full Risk Sharing

  3. Intertemporal Choices under Uncertainty

    • Expected Utility and the EE
    • The C-CAPM
    • CRRA Preference
    • Consumption Dynamics

  4. Asset Pricing Anomalies

    • The Equity Premium Puzzle
    • The Riskfree Rate Puzzle

  5. 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.

    Corporate Finance I

    Instructor

    • Elisa Cavezzali

    Syllabus

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

    Term Structure I

    Instructors

    • Andrea Berardi
    • Marcello Pericoli

    Syllabus

    1. The basics
    2. Modern term structure theory
    3. 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

    Risk Management I

    Instructors

    • Andrea Giacomelli
    • Stefano Bragoli

    Syllabus

    1. Definition of risk management process
    2. Sources of risk
    3. Risk measures
    4. 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 

    Interest Rate Risk

    Instructor

    • Alina Preger

    Syllabus

    1. ALM introduction: repricing gap, NII and EV sensitivities;
    2. Behavioural models (NMD and prepayment);
    3. IRRBB regulation
    4. Liquidity risk management introduction: maturity ladder, CBC, liquidity gaps
    5. Liquidity risk regulation: LCR and NSFR
    6. Liquidity risk regulation: ALMM

    Reading List

    • Material supplied by the Instructor

    Financial Econometrics I

    Instructors

    • Monica Billio
    • Massimiliano Caporin

    Syllabus

    1. Efficient frontier: empirical aspects 
    2. The Capital Asset Pricing Model
    3. The Arbitrage Pricing Theory 
    4. Risk measurement
    5. 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

    Investment

    Instructor

    • Michele Trova

    Syllabus

    1. Multifactor Asset Pricing Models for Portfolio and Risk Management
    2. The Black-Litterman Model
    3. Market Timing Ability
    4. Robust Asset Allocation
    5. Resampled Efficient Frontier
    6. Portable Alpha Strategies 

    Reading List

    • Slides and papers supplied by the Instructor

    Corporate Finance II

    Instructors

    • Maurizio Murgia
    • Alberto Plazi

    Syllabus

    1. Dividends, taxes and Firm Value
    2. Capital structure and debt policy: Modigliani – Miller theory
    3. Capital structure and debt policy
    4. Corporate risk management

    Reading List

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

    Machine Learning for Finance

    Instructor

    • Marco Corazza

    Syllabus

    1. Theoretical Issues
    2. Financial Microstructure
    3. Real Markets
    4. Econometric Tools

    Readings 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

    Asset Pricing and Derivatives

    Instructors

    • Teresa Grava
    • Stephen Schaefer

    Syllabus

    1. Introduction to derivatives and Arbitrage
    2. Forwards, Swaps and Futures
    3. Fixed income derivatives
    4. Introduction to Options
    5. Trading Strategies Involving Options and Introduction to the Binomial Model
    6. The Black-Scholes Model
    7. Options on Currencies and Futures
    8. The management of Market Risk
    9. 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.

    Financial Econometrics II

    Instructors

    • Alain Monfort
    • Yacine Ait-Sahalia
    • Massimiliano Caporin

    Syllabus
    Part I – Volatility modeling

    1. Stylized facts
    2. Stochastic processes
    3. Statistical modelling of a stochastic process
    4. Univariate ARCH models
    5. Generalisations of univariate ARCH models
    6. Inference in ARCH-GARCH models
    7. Multivariate GARCH models
    8. Hidden Markov Chain models
    9. Discrete factor models
    10. 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

    1. Continuous‐time calculus
    2. Arbitrage and risk‐neutral pricing
    3. Classical interest‐rate models
    4. Multifactor interest‐rate models
    5. Credit risk and default
    6. Nonparametric density estimation for interest rates
    7. Nonparametric estimation of volatility
    8. Nonparametric pricing of interest‐rate derivatives
    9. Practical model building

    Reading List

    • Material supplied by the instructors

    Term Structure II

    Instructors

    • Andrea Berardi
    • Marcello Pericoli

    Syllabus
    to be defined

    Reading List
    to be defined

    Risk Management II

    Instructors

    • Andrea Giacomelli
    • Stefano Bragoli

    Syllabus

    1. Definition of credit risk
    2. The estimate of the different credit risk components
    3. Pricing of instruments subject to credit risk
    4. Portfolio models
    5. Definitions of operational risk
    6. Bayesian Networks
    7. 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

    Economics of Risk in Insurance I

    Instructor

    • Roberto Casarin

    Syllabus

    1. Utility Theory
    2. Principles of Premium Calculation
    3. The Collective Risk Model
    4. The Individual Risk Model
    5. Risk process and ruin probability
    6. 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
    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: 17/04/2019