MATHEMATICAL MODELS IN FINANCE MOD. 1
cod. 1006141

Academic year 2015/16
2° year of course - Second semester
Professor
Chiara GUARDASONI
Academic discipline
Analisi numerica (MAT/08)
Field
Attività formative affini o integrative
Type of training activity
Related/supplementary
48 hours
of face-to-face activities
6 credits
hub: PARMA
course unit
in - - -

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

Learning objectives

- To learn numerical methods for solving financial problems of differential character

- To acquire competence in the analysis of numerical results

Prerequisites

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Course unit content

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

Full programme

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Bibliography

Most of the program is based on:

- P.Wilmott, J. Dewynne and S. Howison, 'Option Pricing', Oxford Financial Press, 1993

- R. Seydel, 'Tools for Computational Finance', Springer, 2009

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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