Skills to be developed and expected learning outcomes:
a) Knowledge and ability to understand.
In the first part of the course the student will acquire the basic quantitative tools to approach quantitative finance. In particular functions in several variables are presented.
Modern finance is today an extremely rich field and often uses complex mathematical tools.
The main purpose of the first part of the course is to present the main topics of quantitative finance in a clear and accessible way with the aim to stimulate intuition without abandoning the aspects of formalization that are now indispensable for anyone wishing to operate on financial markets.
In the second part of the Course the student will study the most recent valuation models of financial stocks and derivatives. Starting from the axiomatic foundations, he will analyze the market with the intention of learning how to formalize some financial phenomena.
Finally, he will study the main methods for the numerical approximation of partial differential equations and stochastic differential equations.
In particular, he will analyze the main differential models for the evaluation of financial securities and derivatives.
He will attend several hours of computer lab, during which the student can experience the main theoretical concepts presented and deepen her/his understanding and use through the development of application programs that use the software Matlab.
b) Ability to apply knowledge and understanding.
Students can apply what they have learned to work on the most common financial products, both from a theoretical point of view (knowledge of derivatives and, more generally, markets), and from a technical-quantitative point of view (knowledge of the most used technicalities in modern finance).
c) Autonomy of judgment.
The student will be able to critically evaluate the different situations and different financial products offered by the markets. It will also be able to calculate the price of a derivative under non-arbitrage conditions.
d) Communication skills.
The student will acquire a wealth of knowledge, methods and skills in solving problems absolutely essential for the training, presentation and communication of a quantitative analyst in the financial markets.
e) Ability to learn.
The student will experiment with a traditional teaching method together with lessons in the laboratory and the possibility of presenting an assignment to be solved by MatLab. He will therefore be stimulated from the point of view of learning on different sides.
In short: at the end of the course, the student:
- will have understood and adopted the main models presented in the course;
- will be able to solve problems of a practical nature (in the form of exercises and IT applications);
- will have achieved a good judgment autonomy;
- will be able to communicate clearly what has been learned.