QUANTITATIVE FINANCE - MOD. 1
Learning outcomes of the course unit
The course aims to provide an overview on the most recent valuation models of financial stocks and derivatives. Starting from the axiomatic foundations, it analyzes the market with the intention of showing students how to formalize some financial phenomena.
In particular, we will analyze the main differential models for the evaluation of financial securities and derivatives. You will have several hours of computer lab, during which students can experience the main theoretical concepts presented and deepen their understanding and use through the development of application programs that use the software Matlab.
Course contents summary
- Hedging strategies.
- Jump-diffusion and stochastic volatility models.
- Term structure of stochastic interest rates: Vasicek, Cox, Ingersoll and Ross, Ho e Lee models.
Pricing of interest rate derivatives. Affine term structure models.
WILMOTT P., Introduzione alla Finanza quantitativa, Egea, Milano, 2001
HULL J.C., Opzioni, futures e altri derivati, Prentice Hall, Sesta Edizione, 2006.
Lecture slides will be provided by the teacher and made available on the Internet.
Oral and practical lectures
Assessment methods and criteria
Written exam, with possible integration by Matlab programming.