cod. 1006141

Academic year 2017/18
1° year of course - First semester
Academic discipline
Analisi numerica (MAT/08)
A scelta dello studente
Type of training activity
Student's choice
48 hours
of face-to-face activities
6 credits
hub: PARMA
course unit

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

Learning objectives

- To learn numerical methods for solving financial problems modeled by partial differential equations

- To acquire competence in the numerical and financial analysis of results.


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Course unit content

Description of some types of financial options and of differential models that model their evaluation. Description of numerical methods for differential problems applied to the Black-Scholes equation.

Full programme

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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

During the lectures the contents of the course will be analyzed, highlighting the difficulties related to the introduced numerical techniques. Moreover, the course will consist of a part of supervised autonomous re-elaboration consisting in the application of the numerical techniques through laboratory programming. This activity will allow students to acquire the ability to deal with "numerical" difficulties, it will allow to evaluate the reliability and consistency of the obtained results and to analyse them from a financial point of view.

Assessment methods and criteria

The exam consists of
an assessment of the knowledge through a discussion of topics of the course or of a deepening job carried out autonomously by the candidate on a specific task. The threshold of sufficiency consists in the knowledge of the characteristics that allow to evaluate efficiency and stability of a numerical method and the knowledge of some foundations of quantitative finance illustrated during the course.

Other information

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