QUANTITATIVE FINANCE MOD. 2
cod. 1004670

Academic year 2011/12
2° year of course - First semester
Professor
Academic discipline
Metodi matematici dell'economia e delle scienze attuariali e finanziarie (SECS-S/06)
Field
Attività formative affini o integrative
Type of training activity
Related/supplementary
48 hours
of face-to-face activities
6 credits
hub:
course unit
in

Integrated course unit module: QUANTITATIVE FINANCE

Learning objectives

The course aims to provide an overview on the most recent valuation models of financial stocks and derivatives. Starting from the axiomatic foundations, it analyzes the market with the intention of showing students how to formalize some financial phenomena.
The course has as main objective the study of the main methods for the numerical approximation of partial differential equations and stochastic differential equations.
In particular, we will analyze the main differential models for the evaluation of financial securities and derivatives. You will have several hours of computer lab, during which students can experience the main theoretical concepts presented and deepen their understanding and use through the development of application programs that use the software Matlab.

Prerequisites

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Course unit content

- Stochastic differential equations. Kolmogorov equation.
- Numerical methods for partial differential and stochastic equations. Monte Carlo Method and Finite Difference Method.
- Valuation of derivative securities.
For each topic applications are provided.

Full programme

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Bibliography

WILMOTT P., Introduzione alla Finanza quantitativa, Egea, Milano, 2001
HULL J.C., Opzioni, futures e altri derivati, Prentice Hall, Sesta Edizione, 2006.

Lecture notes will be provided by the teacher and made available on the Internet.

Teaching methods

Oral and practical lectures

Assessment methods and criteria

Written exam with possible integration by Matlab programming

Other information

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