MATHEMATICAL MODELS IN FINANCE MOD. 2
cod. 1006142

Academic year 2015/16
2° year of course - Second semester
Professor
Academic discipline
Fisica matematica (MAT/07)
Field
Attività formative affini o integrative
Type of training activity
Related/supplementary
24 hours
of face-to-face activities
3 credits
hub: PARMA
course unit
in - - -

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

Learning objectives

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

- - -

Course unit content

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

Wealth distribution function and macroscopic fields of an economic model.
Boltzmann-type evolution equation and its major properties.
Investigation of several interaction models for indiviuals exchanging money:
- basic deterministic model;
- model with random variables taking into account possible non-deterministic effects in the market;
- model with taxation and redistribution of the collected wealth.
We will study existence and properties of a steady state for these models, with particular reference to suitable asymptotic regimes ("continuous trading limit").
We will discuss about the possible formation of distributions with Pareto tails, in agreement with experimental data.

Bibliography

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

Class lectures

Assessment methods and criteria

Oral exam

Other information

- - -