cod. 1006142

Academic year 2017/18
1° year of course - First semester
Academic discipline
Fisica matematica (MAT/07)
A scelta dello studente
Type of training activity
Student's choice
24 hours
of face-to-face activities
3 credits
hub: PARMA
course unit

Integrated course unit module: MATHEMATICAL MODELS IN FINANCE

Learning objectives

At the end of the course the students should know some specific tools in order to properly investigate current research topics in the frame of kinetic equations for socio-economic sciences, and they should be able to present contents in a clear way and with a mathematically correct language.


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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.


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, joint with modulus 1 (the exams of the two parts should be done simultaneously).

Other information

The course "Mathematical Models for Finance" is composed by two modula, which have to be simultaneously chosen by the students. The exam of the two parts will give rise to a unique final grade.