Laurea Magistrale (Second cycle degree/Two year Master - 120 ECTS) in Quantitative Finance

Degree programme

Programme type Laurea Magistrale (Second cycle degree/Two year Master - 120 ECTS)
Academic Year 2018/2019
General policies and regulations D.M. 270
Code 8854
Degree Programme Class LM-16 - Finance
Years in which the programme is being held

1°year, 2°year


Teaching mode Traditional lecture (classroom-taught)
Admission typology Open access with assessment of personal competencies
Place of teaching Bologna
Degree Type Multiple degree
Inter-University programme KAROL ADAMIECKI UNIWERSITET EKONOMICZNY W KATOWICACH , ECOLE NATIONALE SUPERIEURE D' INFORMATIQUE POUR L'INDUSTRIE ET L'ENTERPRISE , UNIVERSITY OF APPLIED SCIENCES DI VIENNA , UNIVERSITÉ D’EVRY-VAL-D’ESSONNE , ANGLO-AMERICKA VYSOKA SKOLA , UNIVERSITE PARIS SACLAY , LUDWIG-MAXIMILIANS-UNIVERSITAT MUNCHEN
Type International Degree Programme
Degree Programme Director Silvia Romagnoli
Teachers Teachers
Language English

Admission requirements and assessment of previously acquired knowledge/competences

1. For admission to the Second Cycle Degree Programme in Quantitative Finance, candidates must have acquired knowledge of mathematics, economics, and statistics at the first-cycle graduate level.

2. Admission to the 2nd cycle degree programme is also subject to the possession of a 1st cycle degree in one of the following classes, or other suitable qualification obtained abroad:

ex. Italian Ministerial Decree no. 270/04: L 35, Mathematical Sciences, L 41 Statistics, L 33 Economic Sciences, L 18 Economic and Business Management Sciences, L 31 Computer Sciences and Technologies, L 9 Industrial Engineering, L 30 Physical Sciences and Technologies, L 36 Political Sciences and International Relations Ex Ministerial Decree no. 509/99: class 32 (Mathematical Sciences, class 37 (Statistical Sciences), class 28 (Economic Science), class 17 (Economic and Business Management Sciences), class 26 (Computer Sciences and Technologies), class 25 (Physical Sciences and Technologies), class 15 (Political Sciences and International Relations).

Previous four-year degree programme system: Degree in: Mathematics, Physics, Economics and Trade, Statistical Sciences, Information Technology, Engineering.

3. If no degree certificate is held by the candidate, admission to the 2nd Cycle Degree Programme is subject to assessment by a Board to ascertain the required skills and competencies through the assessment of the curriculum vitae of the candidate.

If the Board considers the level of the candidates' knowledge and skills to be satisfactory, they will be allowed to enrol in a test to assess their personal competencies and skills.

4. Admission to the degree programme is subject to the assessment of knowledge and skills in English language, to level B2. Students holding a corresponding language certification may be exempted from sitting this exam.

5. Admission to the Second Cycle Degree Programme is in any case for all candidates subject to the possession of the established curricular requirements and to the assessment of personal competencies and skills by a Board appointed by the Degree Programme Board (which may be that indicated in paragraph 3). Personal competencies and skills will be assessed through the evaluation of the curriculum in line with the procedures indicated in the admission procedure.

6. Second Cycle Degree Programmes may include a specific session for international students, appointing a

Board to assess personal competences and skills, compatibly with the schedule laid down in the call for applications for study grants (the deadline of which is indicatively in May).

International students who pass the above-mentioned entrance exam are exonerated from the following assessment of their personal competencies and skills required for students generally.

Programme profile

The programme is oriented to providing students with specific high-level specialisation in mathematical, statistical and computing techniques applied to financial and insurance markets and a full command of the tools required to:

i) assess financial and insurance assets consistently with commodity pricing;

ii) measure the risk of financial products and develop risk hedging techniques using both static and dynamic optimisation tools;

iii) design quantitative tools for portfolio management which are able to combine statistical information from historical sources and implied information in the current prices of financial products;

iv) design quantitative procedures for assessment, replication and hedging of life and casualty insurance products, using cutting-edge financial and actuarial statistical techniques.

For this purpose, the study programme is structured to provide:

- the necessary complementary mathematical, statistical and economic skills;

- in depth study of quantitative methods for financial applications;

- specialised study in one of the following areas: pricing, risk management, asset management, insurance.

The study programme includes quantitative learning areas, adopting instruments to develop quantitative finance applications, studies in the economic and legal fields, designing the context of application, as well as in the financial and actuarial fields, with a view to producing the professional figures targeted by this programme. It therefore includes a large number of course units in mathematical subjects, distinguishing itself from other 2nd cycle financial degree programmes, and by the inter-disciplinary merger of contents referring to other subject areas: Mathematical Methods for Economics and Actuarial and Financial Sciences, Statistics, Econometrics, Numerical Methods and information technology, Corporate Finance. The latter sector is considered the context in which all quantitative knowledge is applied. Students are also offered the chance to carry out an internship in financial intermediation, insurance or consulting firms.

The study programme is completed with the production of an original dissertation written in English. The dissertation is produced under the supervision of a professor and both the selection of the topic and methods are evaluated to assess the student autonomous ability at identifying a problem and proposing a rigorous, applicable solution.


More information

The agreement with ANGLO-AMERICKA VYSOKA SKOLA of Prague is no longer in place.

The following universities undersigned a new agreement for the awarding of a multiple degree:

UNIVERSITE PARIS SACLAY

ECOLE NATIONALE SUPERIEURE D' INFORMATIQUE POUR L'INDUSTRIE ET L'ENTERPRISE

Access to further study

It gives access to third cycle studies (Dottorato di ricerca/Scuole di specializzazione) and master universitario di secondo livello.

Career opportunities

Financial engineering specialist

function in a professional context:

This professional figure plays a technical role, developing and assessing financial instruments.

The main functions are to:

a. Design both plain (shares, bonds) and complex products (derivatives and structured products), for both

personal and collective investment (fund management);

b. Break down the products in the replicating portfolio and evaluate them at fair value, also taking into account

the degree of product liquidity (e.g. Over-the-Counter products);

c. Assess the impact of different structuring choices (using for example exotic products) on product value;

d. Apply financial engineering concepts to evaluate financial statement entries (applying for example real option techniques).

These functions may be performed directly, or as the coordinator of a working group, either in-house as consultant or regulator.

competencies associated to the function:

The specific skills of a quantitative finance specialist include principally:

1) In-depth knowledge of the concept of mathematical and statistical probability to calibrate market data

and assess financial products;

2) Study of mathematical techniques to analyse uncertain variables and random processes;

3) Ability to use numerical calculation to apply mathematics and statistics to

financial engineering problems;

4) Knowledge of computer tools for concrete application of knowledge to actual data.

In addition to this knowledge and self-learning and lifelong learning skills, graduates will possess

the following transversal skills:

1) Knowledge of the institutional aspects of financial products, markets and interested parties;

2) The ability to communicate the results of complex analyses using a clear, simple language;

3) The ability to transfer knowledge within a working group and tackle new knowledge and problems.

career opportunities:

- Financial and insurance intermediaries

- Consulting and auditing firms

- Research centres

- Supervisory and regulatory authorities

- University (PhD)

Risk manager

function in a professional context:

This professional figure plays a technical role, developing financial risk management strategies and measures.

The main functions are to:

a. Break down both traditional and modern financial products (structured products and derivatives) into exposures to

a set of risk factors (risk mapping);

b. Develop and apply risk measuring techniques and report to the the decision makers in the organisation, including

financial intermediaries (as a whole or as a business unit), non-financial companies and retail customers;

c. Design static and dynamic risk hedging strategies and techniques to measure the hedge effectiveness in order to orient choices;

d. Design simulation techniques and stress test analyses of risk management systems under extreme conditions.

These functions may be performed directly, or as the coordinator of a working group, either in-house or as consultant or regulator.

competencies associated to the function:

The specific skills of a risk manager include principally:

1) In-depth knowledge of the working of markets and of products in terms of organisation

and operations in order to be able to assess potential misfunctionality;

2) In-depth knowledge of the principles of mathematical finance, particularly concerning the breakdown of

products into their elementary components (replicating portfolio), in order to identify risk factors;

3) Knowledge of mathematical, statistical and econometric tools and the concept of probability, to estimate the distribution of risk factors and profits and losses;

4) Knowledge of database architecture for storing and searching information to retrieve data on

portfolio securities to be analysed and the corresponding market data for the evaluation of risk.

In addition to this knowledge and self-learning and lifelong learning skills, graduates will possess

the following transversal skills:

1) The ability to organise the learning process in order to tackle new problems, which represents the typical working condition of the risk manager;

2) The ability to organise a working group, assigning tasks and problems for both routine risk measurement and in order to solve new problems under tight deadlines;

3) The ability to simply and clearly communicate risk factors and their relevance, along with the possible hedging alternatives available to the user, to audiences of both a top managers and retail clients.

career opportunities:

- Financial and insurance intermediaries

- Consulting and auditing firms

- Supervisory authorities

- Non financial companies with financial management activity

- University (PhD)

Asset manager

function in a professional context:

This professional figure plays the role of a technical specialist dealing mainly with investment strategies for individual investors and fund managers.

The main functions are to:

a. Design quantitative strategies to choose investments, both as passive managers

and as active portfolio managers using both stock-picking and market-timing techniques;

b. Use the most common Bayesian techniques to merge different sources of information, from historical to implied and to that provided by analysts;

c. Design products with capital or return guarantees and develop the relative asset-liability management (ALM) techniques;

d. Design dynamic long-term portfolio management techniques, in order to manage pension funds and life insurance policies;

e. Design exchange risk hedging techniques and generally the use of derivatives to improve passive replication

of an index or the risk-return features of a long-only portfolio.

These functions may be performed directly, or as the coordinator of a working group, either in-house or as consultant or regulator.

competencies associated to the function:

The specific skills of an asset manager include principally:

1) In-depth knowledge of investment products and their use for

the implementation of strategies;

2) Knowledge of econometric and statistical techniques, particularly Bayesian techniques for merging information from different sources;

3) Knowledge of the principles of macro and micro economics, and how to use them to develop investment ideas;

4) Knowledge of statistical and econometric software used to produce forecasts and analyses of the general economy, industrial sectors and firms.

In addition to this knowledge and lifelong learning skills, graduates will possess appropriate transversal skills

concerning:

1) The ability to organise individual tasks and working groups to analyse scenarios for developing investment ideas (views) and represent them hierarchically in terms of probability;

2) The ability to clearly and simply explain investment ideas and how these are transformed into the

recommended financial position;

3) The ability to gather information on economic crises and the exposure of the portfolio to several risk factors.

4) In-depth knowledge of the investment products available on the market and their correct use.

career opportunities:

- Asset management companies (SGR - Società di Gestione del Risparmio)

- Banks and insurance companies

- Independent consulting services

- Supervisory authorities

- Private equity companies

- Family offices

- University (PhD)

Insurance specialist

function in a professional context:

This professional figure plays a technical role, dealing mainly with the management and evaluation of insurance risks and products.

The main functions are to:

a. Design products for risk transfer for both individual and collective clients and assess the prospects of loss from a probability point of view;

b. Assess life insurance policies, break down financial and actuarial risk factors and draw up hedging strategies (for example using longevity bonds);

c. Study and apply statistical models to forecast changes in expected lifetime and risks

linked to life portfolios (longevity risk);

d. Study insurance techniques for catastrophic events and related risk management and hedginf strategies both through the purchase of market protection (cat options) and re-insurance from other insurance brokers.

These functions may be performed directly, or as the coordinator of a working group, in the role of either consultant or regulator.

competencies associated to the function:

The specific skills of an insurance specialist include principally:

1) In-depth knowledge of the concept of mathematical and statistical probability, particularly focusing on Lévy and other distribution processes to analyse financial and insurance risk factors;

2) Knowledge of the principles ruling the structuring process and the evaluation of financial and insurance products;

3) Knowledge of the insurance and financial risk transfer markets and products (re-insurance and

securitisation);

4) Knowledge of computer tools and methods for the numerical analysis applied to

product evaluation.

In addition to this knowledge and self-learning and lifelong learning skills, graduates will possess

the following transversal skills:

1) Knowledge of European and international insurance regulations;

2) The ability to interact in a research and development group, breaking down the analysis into its elementary components and managing its coordinated development (for example, linking financial and insurance risks, or integrating the structuring, evaluation and re-insurance processes);

3) The ability to simply and clearly propose and discuss the structure of insurance products, analytically illustrating risk transfer and management strategies.

career opportunities:

- Insurance companies and financial intermediaries

- Pension fund and life insurance policy management companies

- Consulting firms

- Supervisory authorities

- University (PhD)

The career opportunities also include the possibility to register with the association of actuaries, upon passing the relative

state exams.