- Docente: Alberto Lanconelli
- Crediti formativi: 6
- SSD: MAT/06
- Lingua di insegnamento: Inglese
- Modalità didattica: Convenzionale - Lezioni in presenza
- Campus: Bologna
- Corso: Laurea Magistrale in Quantitative finance (cod. 8854)
Conoscenze e abilità da conseguire
Students will acquire new mathematical/probabilistic skills in the field of stochastic processes becoming more self-conscious in applying them to models of financial market and any pricing issues.
Contenuti
- Brownian motion: definition and basic properties
- Ito integral: definition and key features
- Extension of the Ito integral and examples
- Ito's formula and applications
- Stochastic differential equations: existence, uniqueness and examples
- Poisson process: definition and basic properties
Testi/Bibliografia
Lecture notes.
Suggested readings:
- H. H. Kuo, Introduction to Stochastic Integration, Springer, 2006
- B. Øksendal, Stochastic differential equations - VI edition, Springer, 2003
- R. L. Schilling and L. Partzsch, Brownian Motion. An Introduction to Stochastic Processes, De Gruyter, Berlin, 2012
Metodi didattici
Regular lectures
Modalità di verifica e valutazione dell'apprendimento
Written exam, articulated in a series of 3 exercises each with a maximum grade of 10 points. Every exercise attains to elements of the syllabus covered during the course lectures. Online exams will be supported by the softwares Teams, Zoom and EOL (https://eol.unibo.it/)
Strumenti a supporto della didattica
Slides and exercises with solutions
Orario di ricevimento
Consulta il sito web di Alberto Lanconelli
SDGs
L'insegnamento contribuisce al perseguimento degli Obiettivi di Sviluppo Sostenibile dell'Agenda 2030 dell'ONU.