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77942 - METODI PROBABILISTICI PER LA FINANZA

Academic Year 2017/2018

                
                        Docente:
                        Andrea Pascucci
                    
                        Credits:
                        6
                    
                        SSD:
                        MAT/06
                    
                        Language:
                        Italian
                    
                        Teaching Mode:
                        Traditional lectures
                        
                            Campus:
                            Bologna
                        
                            Corso:
                            First cycle degree programme (L) in
                            Mathematics (cod. 8010)

                            Teaching resources on Virtuale

Learning outcomes

At the end of the course the student will know the most elementary models used in quantitative finance to price derivative products. To this end, the elementary theory of discrete stochastic processes and martingales will be presented.

Course contents

See

https://docs.google.com/document/d/1bVH1yzm5IVELoXrJAtaP9Mje4FsMX189FgvRAXDwyNw/edit?usp=sharing

Readings/Bibliography

A. Pascucci, Calcolo stocastico per la finanza [http://math-finance.blogspot.com/], Springer Unitext 33, Springer-Verlag Italia, Milano (2007)

Teaching methods

Classroom lectures

Assessment methods

At the end of the course each student will take an oral exam in which they will answer questions about the subjects covered in the program.

Teaching tools

Theoretical and computer exercises. Mathematica codes.

Links to further information

https://docs.google.com/document/d/1bVH1yzm5IVELoXrJAtaP9Mje4FsMX189FgvRAXDwyNw/edit?usp=sharing

Office hours

See the website of Andrea Pascucci