Informazioni di Financial Engineering

Dipartimento: Ingegneria
Settore Ministeriale: MAT/06
Codice di verbalizzazione: 8039155
Metodi di insegnamento: Frontale
Metodi di valutazione: Orale
Prerequisiti: Advanced probability, stochastic calculus
Obiettivi: The aim of the course is the resolution of the pricing and hedging problems for European options when the underlying market model is set as a diffusion model. Further topics in stochastic calculus are first recalled and developed (Markov processes, Girsanov's theorem, diffusion processes and Feynman-Kac type representation formulas); secondly, diffusion models are introduced for the study of the arbitrage and the completeness of the financial markets. A special emphasis is given to the Black and Scholes model. A part of the course is devoted to Monte Carlo numerical methods in Finance.
Ricevimento: su appuntamento

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