77942 - METODI PROBABILISTICI PER LA FINANZA

Course Unit Page

Academic Year 2018/2019

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://1drv.ms/w/s!AqFHqfUowiJljooFFfAVeE1vG0Xd2A

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://1drv.ms/w/s!AqFHqfUowiJljooFFfAVeE1vG0Xd2A

Office hours

See the website of Andrea Pascucci