QUANTITATIVE FINANCE MOD. 2
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.
The course has as main objective the study of the main methods for the numerical approximation of partial differential equations and stochastic differential equations.
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
- Stochastic differential equations. Kolmogorov equation.
- Numerical methods for partial differential and stochastic equations. Monte Carlo Method and Finite Difference Method.
- Valuation of derivative securities.
For each topic applications are provided.
WILMOTT P., Introduzione alla Finanza quantitativa, Egea, Milano, 2001
HULL J.C., Opzioni, futures e altri derivati, Prentice Hall, Sesta Edizione, 2006.
Lecture notes 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