- Docente: Rossella Agliardi
- Credits: 6
- SSD: SECS-S/06
- Language: Italian
- Teaching Mode: Traditional lectures
- Campus: Rimini
- Corso: Second cycle degree programme (LM) in Statistical, Financial and Actuarial Sciences (cod. 8877)
Learning outcomes
The aim is to provide the fundamentals of modern mathematical finance, in particular, stochastic calculus for financial applications (stock prices, interest rates and derivative pricing).
Course contents
Financial risk. Arbitrage.
Non-defaultable bonds. The term structure of interest rates. Mathematical models for stock prices. Probability theory and random variables. Stochastic processes, in particular, martingales, Wiener processes, geometric Brownian motion. Stochastic calculus. Derivatives. Black-Scholes model. EMM. Exotic options.
Readings/Bibliography
E. Agliardi, R. Agliardi. Mercati finanziari. Analisi stocastica delle opzioni. McGraw-Hill (2001)
Some exercises will be made available online. The following textbook is suggested:
E. Rosazza Gianin, C. Sgarra. Esercizi di finanza matematica. Springer
Teaching methods
Lectures and exercises.
Assessment methods
Written exam (exercises) followed by an oral exam. Students are admitted to the oral part only if they have successfully passed the written exam.
Teaching tools
Slides of the lectures. Exercises are provided for individual self-assessment. Excel speadsheets will be made available as well.
Office hours
See the website of Rossella Agliardi