Navigazione di Sezione:
Financial Engineering 2016/2017
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