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Università degli Studi di Parma Università degli Studi di Parma
Second cycle degree course in
Mathematics
Università degli Studi di Parma
Department of Mathematical, Physical and Computer Sciences

MATHEMATICAL MODELS IN FINANCE MOD. 2
cod. 1006142

Academic year 2015/16
2° year of course - Second semester
Professor
Marzia BISI
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 - - -
lectures timetable unavailable
exam calls

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

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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

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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

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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