- Docente: Andrea Pascucci
- Credits: 6
- SSD: SECS-S/06
- Language: English
- Moduli: Andrea Pascucci (Modulo 1) Carlos Vazquez (Modulo 2)
- Teaching Mode: In-person learning (entirely or partially) (Modulo 1); In-person learning (entirely or partially) (Modulo 2)
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Mathematics (cod. 8208)
Learning outcomes
The course contains an introduction to the theory of stochastic differential equations and partial differential equations of elliptic-parabolic type beginning from some classical kinetic models from physics and finance. Prerequirements are the institutional courses of mathematical analysis, in particular the multidimensional differential calculus and the theory of Lebesgue integral.
Course contents
Contents available at the web page
https://docs.google.com/View?id=dcf394s9_46mn8xndcg
Readings/Bibliography
A. Pascucci, PDE and Martingale methods in option pricing, Bocconi & Springer Series, 2010
http://math-finance.blogspot.com/
Teaching methods
Lectures.
Assessment methods
Oral exam.
Links to further information
https://docs.google.com/View?id=dcf394s9_46mn8xndcg
Office hours
See the website of Andrea Pascucci
See the website of Carlos Vazquez