Generali:

  • 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

Didattica:

  • A.A.: 2016/2017
  • Canale: UNICO
  • Crediti: 6