APPLIED FINANCE LAB
Stampa
Anno immatricolazione
2019/2020
Anno offerta
2020/2021
Normativa
DM270
SSD
SECS-S/06 (METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE)
Dipartimento
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
Corso di studio
ECONOMICS, FINANCE AND INTERNATIONAL INTEGRATION - ECONOMIA, FINANZA E INTEGRAZIONE INTERNAZIONALE
Curriculum
Finance
Anno di corso
Periodo didattico
Primo Semestre (28/09/2020 - 22/12/2020)
Crediti
3
Ore
30 ore di attività frontale
Lingua insegnamento
English
Tipo esame
SCRITTO
Docente
AHELEGBEY DANIEL FELIX (titolare) - 3 CFU
Prerequisiti
Knowledge of the basic topic of Mathematics for the Economics, Statistics, Econometrics
Obiettivi formativi
The course aims to provide the student an introduction to the numerical techniques for the quantitative analysis of economics and financial markets.
The numerical methods are applied using Matlab. The software Matlab and its programming language is presented.
The applied part of the program concerns some financial application, where the numerical methods play a central role.
Programma e contenuti
Introduction to Matlab
Linear algebra with a numerical software
Variables, vectors, matrices, functions and strings
Conditional statement (IF) and loops (FOR, WHILE)
Graphics
Introduction to numerical optimization
Introduction to random variable simulation
Option pricing
Monte Carlo methods
Metodi didattici
Lectures and computer lab
Testi di riferimento
C. Pocci, G. Rotundo, R. De Kok, Matlab, Apogeo, 2017
C. Moler, Numerical Computing with Matlab, Revised Reprint 2nd Edition, SIAM, 2004
P. Brandimarte, Numerical Methods in Finance and Economics a Matlab-Based Introduction, Wiley-Interscience, 2006
V. Martin, S. Hurn, D. Harris, Econometric Modelling with Time Series: Specification, Estimation and Testing, Cambridge University
Press, 2012
M. Gilli, D. Maringer, E. Schumann, Numerical Methods and Optimization in Finance, Academic Press, 2011
Modalità verifica apprendimento
Teamworks and written exam
Altre informazioni