MATHEMATICAL MODELS IN FINANCE
cod. 1006050

Academic year 2016/17
1° year of course - First semester
Professor responsible for the course unit
Marzia BISI
integrated course unit
9 credits
hub: PARMA
course unit
in - - -

Course unit structured in the following modules:

Learning objectives

Mod. 1:
- To learn numerical methods for solving financial problems of differential character
- To acquire competence in the analysis of numerical results

Mod. 2:
To provide to the students some specific tools in order to properly investigate current research topics in the frame of kinetic equations for socio-economic sciences.

Prerequisites

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Course unit content

Mod. 1: Numerical methods for differential problems linked to the Black-Scholes equations for the evaluation of financial options.

Mod. 2:
Introduction to kinetic equations for a simple market economy.
Investigation (from a modelling and an analytical point of view) of several interaction models for wealth exchange:
- basic deterministic model;
- model with random variables;
- model with taxation and redistribution.

Full programme

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Bibliography

Mod. 1:
La maggior parte del programma è basato su:
- P.Wilmott, J. Dewynne and S. Howison, 'Option Pricing', Oxford Financial Press, 1993
- R. Seydel, 'Tools for Computational Finance', Springer, 2009

Mod. 2:
Books or extended reviews:
- B. During, D. Matthes, G. Toscani, "A Boltzmann-type approach to the formation of wealth distribution curves", Riv. Mat. Univ. Parma 1 (2009) 199–261.
- L. Pareschi, G. Toscani, "Interacting multiagent systems. Kinetic equations and Monte Carlo methods", Oxford University Press (2013).

Research papers:
- A. Chakraborti, B.K. Chakrabarti, "Statistical mechanics of money: how saving propensity affects its distributions", Eur. Phys. J. B. 17 (2000), 167-170.
- S. Cordier, L. Pareschi, G. Toscani, "On a kinetic model for a simple market economy", J. Stat. Phys 120 (2005) 253–277.
- D. Matthes, G. Toscani, "On steady distributions of kinetic models of conservative economies", J. Stat. Phys. 130 (2008), 1087-1117.
- M. Bisi, G. Spiga, G. Toscani, "Kinetic models of conservative economies with wealth redistribution", Comm. Math. Sci. 7 (2009) 901–916.

Teaching methods

Lectures and laboratory

Assessment methods and criteria

Oral exam with any term paper.

Other information

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2030 agenda goals for sustainable development

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Contacts

Toll-free number

800 904 084

Segreteria studenti

E. segreteria.scienze@unipr.it
T. +39 0521 905116

Quality assurance office

Education manager
dott.ssa Giulia Bonamartini

T. +39 0521 906968
Office E. smfi.didattica@unipr.it
Manager E.giulia.bonamartini@unipr.it

President of the degree course

Prof. Luca Lorenzi
E. luca.lorenzi@unipr.it

Faculty advisor

Prof. Luca Lorenzi
E. luca.lorenzi@unipr.it

Career guidance delegate

Prof. Francesco Morandin
E. francesco.morandin@unipr.it

Tutor Professors

Prof.ssa Alessandra Aimi
E. alessandra.aimi@unipr.it

Prof. Luca Lorenzi
E. luca.lorenzi@unipr.it

Prof. Adriano Tomassini
E. adriano.tomassini@unipr.it

 

Erasmus delegates

Prof. Leonardo Biliotti
E. leonardo.biliotti@unipr.it

Quality assurance manager

Prof.ssa Alessandra Aimi
E. alessandra.aimi@unipr.it

Internships

Prof. Costantino Medori
E.
 costantino.medori@unipr.it

Tutor students

Dott.ssa Fabiola Ricci
E. fabiola.ricci1@studenti.unipr.it