Learning objectives
The course will deal with the analysis of continuous and discrete dynamical systems and the theoretical and numerical study of ordinary and stochastic differential equations in finance. It will analyse the main differential models for the evaluation of derivative securities. The course includes a number of hours of study in the computer laboratory, during which students will be able to test the theoretical concepts presented, consolidating their understanding and use of them through the elaboration of applications which use Matlab software.
Prerequisites
Basic mathematics and calculus.
Course unit content
Sequences and discrete dynamical systems – Ordinary differential equations and continuous dynamical systems – Partial differential equations – Stochastic differential equations – Numerical methods for ordinary and stochastic differential equations – Evaluation of derivative securities.
Full programme
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Bibliography
S. Salsa, A. Squellati, Modelli dinamici e controllo ottimo, EGEA, Milano, 2006. <br />
In addition the teacher will provide students with course notes. <br />
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Teaching methods
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Assessment methods and criteria
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Other information
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