Financial and actuarial sciences (l.m)

Financial and actuarial sciences

Professore: Alessandra Carleo, Andrea Gheno


Type of course
SSD  (SECS-S/06)
Language English
Course Year  1°
Hours of lecturers 60
Hours of self study
Web page 

Objectives of the course

The course is structured in two modules: Financial Sciences and Actuarial Sciences.

The objective of the Financial Sciences module is to explore topics for which the basic course on Financial mathematics has already laid the foundations. In this module three main areas will be covered: basic stochastic calculus, derivatives pricing, and derivatives hedging.

The objective of the Actuarial Sciences module is to introduce to life contingencies, the theory behind the actuarial work around life insurance and pension funds and will appeal to the student who likes applied mathematics. In addition to model of life contingencies, various forms of life insurance and their mechanism are discussed in their basic model and it is shown how to calculate net premium and reserves.

Course content

Financial Sciences
Wiener Processes and Ito’s Lemma
The Black-Scholes-Merton Model
Options on Stock Indices and Currencies
Greek Letters
Volatility Smiles
Basic Numerical Procedures
Exotic Options

Actuarial Sciences
The Mathematics of Compound Interest
The Future Lifetime of a Life Aged x
Life Insurance
Life Annuities
Net Premiums
Net Premium Reserves

Methods of evaluation

Oral exam

Examination schedule


Course books

Financial Sciences

Textbook: Hull, J. (2018) Options, futures and other derivatives, Pearson


Actuarial Sciences

Textbook: Gerber, H. (2010) Life Insurance Mathematics, Springer

Teaching materials


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