FINANCIAL MARKET METHODS AND MATHEMATICAL MODELS - QUALIFICATION
Learning outcomes of the course unit
The student has to be able to judge the efficiency of a given market model, to understand the representation of the preferences of a rational decision-maker and to calculate the capital market line and the market portfolio knowing returns and (co)variances of the traded assets.
Course contents summary
The student will have to show proficiency in the basic tools to evaluating and managing financial assets. Besides the main concepts of Probability, this will include:
- the 'State Preference Model', a simple financial market model, used to introduce the concepts of a derivative asset and of arbitrage pricing;
- an introduction to Expected Utility Theory;
- Markowitz porftolio selection method;
- some highlights to model based on hidden variables (esp. CAPM)
E. Castagnoli, Brevissimo Abbecedario di Matematica Finanziaria, available online or at the Faculty Copy Center;
E. Castagnoli, M. Cigola, L. Peccati, Probability. A Brief Introduction, 2° edizione, Egea, 2009;
G. Favero, Contare oltre le dita. Elementi di calcolo combinatorio, available online or at the Faculty Copy Center.
No special classes are scheduled for the qualification examination.
Assessment methods and criteria