Mathematical Finance
- Professors:
- Carbone Raffaella
- Year:
- 2015/2016
- Course code:
- 504507
- ECTS:
- 6
- SSD:
- MAT/06
- DM:
- 270/04
- Lessons:
- 48
- Period:
- I semester
- Language:
- Italian
Objectives
The aim is to give some fundamental notions about the applications to finance of the theory of probability and of stochastic processes.
Teaching methods
Lectures
Examination
Oral examination
Prerequisites
The contents of the courses "Probabilità e Statistica" and "Probabilità\?
Syllabus
Introduction to some basic notions of mathematical finance: markets, options, strategies, options' pricing and hedging. Study of some main properties of markets in a discrete setting and of the Black and Scholes' model.
Bibliography
"Introduction to Stochastic Calculus Applied to Finance", D.Lamberton e B. Lapeyre, Chapman&Hall/CRC
Dipartimento di Matematica ''F. Casorati''
Università degli Studi di Pavia -
Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602