Vai al contenuto principale Vai al footer
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. 1
cod. 1006141

Academic year 2016/17
1° year of course - First semester
Professor
Academic discipline
Analisi numerica (MAT/08)
Field
A scelta dello studente
Type of training activity
Student's choice
48 hours
of face-to-face activities
6 credits
hub: PARMA
course unit
in - - -
lectures timetable unavailable
exam calls

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

Print

Learning objectives

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

- To acquire competence in the analysis of numerical results

Prerequisites

- - -

Course unit content

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

Full programme

- - -

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

- - -