GIACOMO MORELLI

Office hours: Before and after classes. Please, send me an email to schedule a meeting.
 
Teaching 2025-2026:
 
1) Asset Pricing 9CFU- Master in Actuarial and Financial Sciences (Laurea Magistrale in Scienze Attuariali e Finanziarie-SAF) curriculum Quantitative Finance.

Classes start on 24-11-2025 with the following scheduling:
Wednesday, 12:00-14:00, Aula XIII
Thursday, 12:00-14:00, Aula XIII
Friday, 12:00-14:00, Aula V

 Prerequisites: Probability, Stochastic Processes, Financial Econometrics

Syllabus:

- Returns: stylized facts, definitions, estimation
- Performance metrics
- Linear models for returns (CAPM, Fama-French, Liquidity Adjusted CAPM)
- Estimation of linear models for returns
- Shrinking the variance covariance matrix (linear, nonlinear if time permits)
- Continuous-time asset pricing (mathematical background)
- Fundamental Theorem of Asset Pricing I and II
- Hedging
- Pricing Vix options and Interest rate options
- Beyond Black-Scholes and Merton
- Trading strategies with Forward, Futures and Options)

! Advanced Risk and Portfolio Management (ARPM) is an education company founded by Attilio Meucci. In collaboration with University of Sapienza, ARPM offers:

• The ARPM Lab: A multi-channel repository of study materials, including theory, case studies, code, animations, slides, proofs, and exercises, all accessible online without installation.  
• The ARPM Quant Bootcamp: An intensive 4+2-day program providing an in-depth overview of advanced data science and quantitative finance, featuring a comprehensive curriculum and world-renowned guest speakers.

2) The Master of Actuarial and Financial Sciences in partnership with ARPM, offers Advanced Risk and Portfolio Management as one of its courses as elective, assigning 6 CFU upon successful completion of the final exam.
Upon successful completion of the course, you will be able to:

• correctly map all the techniques adopted in quantitative finance onto a unified theoretical framework, appreciating the interconnections, and gaining a fresh perspective on the known techniques;
• avoid the most common pitfalls in risk management and portfolio management applications;
• interact with your classmates (and with the ARPM community) using a common language and notation;
• navigate the ARPM Lab to find detailed reference material to deepen your knowledge of the topics covered by the course, and more.

 
3) Financial Risk Management 9CFU- Master in Actuarial and Financial Sciences (Laurea Magistrale in Scienze Attuariali e Finanziarie-SAF) curriculum Quantitative Finance. (Here is the link)
 
Classes start 26-02-2024 
 
Prerequisites: Probability, Stochastic Processes, Financial Econometrics, Asset Pricing
 
Syllabus:
 
- Regulation for FRM: Basel I,II,III and the importance of RWA
- Definitions and properties of risk measures: VaR, ES, TVaR, CTVaR
- Market Risk. Definitions. Risk Factors. P&L.
- Market Risk. Non-parametric approach: historical simulation
- Market Risk. Parametric approach: discrete-time processes
- Market Risk. Parametric approach: continuous-time processes
- Market Risk. Semi-Parametric approach (if time permits)
- Market Risk. Backtesting
- Correlations and copulas
- Credit Risk.  Definitions. PD, LGD, EAD, RR 
- Credit Risk. Standard Method
- Credit Risk. Internal Rating Based Advanced
- Credit Risk. CVA and DVA
- Credit Risk. Credit VaR
- Scenario analysis and Stress Testing (if time permits)
- Operational Risk. Definitions. RAF 
- Liquidity Risk. Definitions. LCR, NSFR
- Systemic Risk (if time permits)
 
Study Materials:
 
- Reference textbook: Quantitative Risk Management: Concepts, Techniques, and Tools - Revised Edition. Alexander j. McNeil, Rudiger Frey, and Paul Embrechts. Princeton Series in Finance.
-   Other research papers and technical documents will be discussed in class. 
 

Previous courses:

- Modelli dei Mercati Finanziari - Laurea SEFA 
 
Le lezioni iniziano il 24-09-24 e terminano il 20-12-2024 con i seguenti orari:
Martedì: 14:00-1600. Aula XIV
Giovedì: 10:00-12:00. Aula XIII
 
Pubblicati i risultati dell' Appello del 12.06.2025. Gli studenti che accettano il voto finale sono pregati di inviarmi una mail entro Lunedi 16.06.2025 ore 23:59 con le seguenti specifiche:
Oggetto: "Accettazione voto MMF - Cognome Nome"
Testo: "accetto il voto"
 
Per i frequentanti il Syllabus è il seguente:
 
PARTE PRIMA
- Cenni storici riguardo i modelli di finanza tradizionale
-Teoria delle preferenze e dell'utilità
- Il modello media-varianza
- Selezione di portafoglio con criterio media-varianza
- La frontiera efficiente in presenza di N titoli rischiosi
- Portafogli ortogonali
- La teoria della separazione di due fondi di investimento
- Selezione di portafoglio con asset privo di rischio
- l'indice di Sharpe
- Derivazione del modello CAPM
- Indici di performace (extra)
- Cercare l'alpha e backtesting (extra)
- Valutazione di equity e investimenti (extra)
 
PARTE SECONDA
- Materiale ed esercitazioni svolte in classe con il Prof. Francesco Polimeni
 
Per i non frequentanti l'esame scritto composto da domande a risposta aperta/esercizi si basa sullo studio del testo (tutto) "Efficienty Inefficient: how smart money invests and prices are determined" di Lasse Heje Pedersen.