Finance entry exam topics and list of suggested books

                                                                                                             ADMISSION TEST

                                                                                                                 MSc in Finance

                                                                                                         academic year 2022-23

Candidates may be required to sit for an admission test, aimed at verifying their skills and competencies. After the test, candidates may be asked to sit for a short interview.

Committee

Proff. Claudio Pacati, Costanza Consolandi, Antonio Fasano, Antonio Roma (substitutes: proff. Nicola Dimitri, Maria Elena Salerno, Marcello Basili, Giuliano Curatola).

Mode

The test will consist of a written or computer-based exam and/or an oral interview, covering three disciplinary areas: Macroeconomics, Financial Mathematics, and Financial Markets.

Topics and suggested textbooks

I − Macroeconomics (monetary and financial aspects)

The financial system: operations and institutions; the role of the Central bank; money and bond markets, interest rate determination; term-structure of interest rates; open market operations; money and monetary base; definition of monetary aggregates M1, M2, M3, money supply and demand; monetary expansions/contractions in the IS-LM model; the deposit multiplier.

Suggested textbooks:

Blanchard O., Macroeconomics, 7th Edition, Pearson, 2017.

Mishkin F. and Eakins S., Financial Markets and Institutions, 8th Edition, Pearson, 2009.

II – Financial Mathematics:

Preliminaries: basic calculus (limits, derivatives, integrals).

Basic quantities (factors, rates, yields), law of simple interest (linear law), law of compound interest (exponential law), annuities and amortisation; internal rate of return; term structure of interest rates (spot and forward); duration and interest rate risk; floating rate notes; interest rate swaps.

Suggested textbooks:

David G. Luenberger, Investment Science, 2nd Edition, Oxford University Press, 2013 (Ch. 1-4, 12 – up to 12.5, including).

G. Castellani G., De Felice M., Moriconi, F., Manuale di Finanza vol. I (Tassi d'interesse. Mutui e obbligazioni), Il Mulino, 2005.

III – Financial Markets

Intermediation circuits and financial balances of economic operators; financial instruments traded in markets and their derivatives; pricing and valuation models for bonds, equities and their derivatives; construction of financial portfolios; performance measurements of portfolios.

Suggested textbooks:

Hull J. C., Options, Futures, and Other Derivatives, Pearson College Division, 9th Edition, 2014 (Ch. 1−13, 15, 19−20).

Caparrelli F., Economia del mercato mobiliare, Milano, McGraw-Hill, 2004.

Fabrizi P. L., L’economia del mercato mobiliare, Milano, Egea, 2006.