MODELLI MATEMATICI PER L'ECONOMIA E LA FINANZA
(objectives)
KNOWLEDGE AND UNDERSTANDING The course is in line with the general objective of the course of study to provide economic skills and mathematical techniques for an adequate understanding of the economic system and the functioning of financial markets. The course, in particular, aims at equipping students with the mathematical tools necessary for understanding financial phenomena with the aim to formulate and solve basic problems of modern finance. The student is expected to assimilate the fundamental notions of understanding the functioning of financial markets and of analyzing economic and financial phenomena; to adequately know the main economic and financial phenomena; to be able to correctly set and solve problems of modern finance; to be able to communicate effectively on economic and financial issues, using an appropriate technical language.
APPLYING KNOWLEDGE AND UNDERSTANDING The student must be able to interpret the main economic and financial phenomena. In particular he/she must be able to build models to formulate and solve problems of modern finance on all the topics included in the course program.
MAKING JUDGMENTS The student must be able to independently assess the necessary information, to conduct surveys and to set up quantitative analysis of financial phenomena.
COMMUNICATION SKILLS The student must be able to communicate effectively on economic and financial issues, using an appropriate technical language. The ability to communicate on a multidisciplinary level economic and financial topics is, in this respect, the main target of the course.
LEARNING SKILLS The student must acquire a significant analytical ability and a well-founded quantitative survey method to be able to deal with subsequent teachings.
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Teacher
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Mari Carlo
(syllabus)
1. The binomial model and its applications in market finance and corporate finance. 2. Elementary stochastic calculus: Brownian motion; the Ito integral; Ito's Lemma; stochastic differential equations. 3. Monte Carlo simulation. 4. The Black-Scholes model and its applications in market finance and corporate finance. 5. Stochastic interest rate modeling.
(reference books)
S.M. Ross, “An Elementary Introduction to Mathematical Finance”. Cambridge University Press (2011).
J.C. Hull, “Options, Futures, and Other Derivatives”. Pearson (2021).
P. Wilmott, “Quantitative Finance”. John Wiley and Sons, Ltd (2007).
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Dates of beginning and end of teaching activities
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From to |
Delivery mode
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Traditional
At a distance
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Attendance
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not mandatory
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Evaluation methods
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Written test
Oral exam
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